TEX Options History — December 2015

In December 2015, TEX traded between $18.23 and $21.59. ATM implied volatility averaged 43.3%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 10.0% (HV 20d: 53.3%). Max pain ranged from $20.00 to $27.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2015-12-23: Highest Volume — 3,573 contracts
  • 2015-12-08: Largest IV spike — 53.3% change
  • 2015-12-08: Highest IV Rank — 84.7%
  • 2015-12-18: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.52$18.23$21.59$20.85$18.59
Max Pain$24.32$20.00$27.00$20.00$23.00
ATM IV43.3%36.9%62.6%40.1%42.1%
Expected Move12.0%10.6%14.8%11.5%12.1%
HV 20d53.3%43.9%68.2%68.2%48.3%
HV 60d58.7%57.5%59.8%57.5%58.8%
IV Rank36.4%20.4%84.7%28.5%33.6%
IV Percentile63.4%34.1%98.0%50.8%63.1%
Term Structure0.2%-12.6%4.9%-2.4%2.2%
VWIV42.8%36.2%51.6%40.5%48.9%
Skew 25d6.8%1.7%11.3%8.3%7.8%
Skew 10d17.8%-9.4%65.7%8.4%9.1%
Call IV 25d40.2%35.6%45.9%36.7%41.5%
Put IV 25d47.0%42.4%53.6%45.0%49.4%
Bid-Ask Spread %86.9430.13109.15109.15102.06
Gamma HHI0.210.120.410.330.17
Net GEX86.6K-56.9K381.7K276.4K-593
Net DEX14.0M7.5M17.4M11.9M14.9M
Net VEX-69.0K-101.5K-54.7K-86.1K-55.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.260.730.460.66
Total Volume2,808.0453733,5733732,641
Total OI37,720.04534,64839,59038,37935,886

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$20.85$20.0040.1%11.5%68.2%28.5%40.5%8.3%-2.4%276.4K11.9M-86.1K0.46109.15N/AN/A25511823,91414,465
2015-12-02$21.59$20.0039.8%11.4%63.8%27.8%40.3%6.5%-2.5%381.7K7.5M-101.5K0.73101.77N/AN/A1,5881,15524,01614,498
2015-12-03$21.19$27.0044.5%11.3%64.0%39.4%37.7%6.7%0.3%290.2K10.7M-90.9K0.6934.84N/AN/A1,5141,04224,04214,678
2015-12-04$21.38$27.0042.3%11.0%63.0%33.9%37.6%6.7%1.0%320.2K10.3M-89.5K0.6830.13N/AN/A1,46899324,04014,655
2015-12-07$21.51$27.0040.8%11.0%63.1%30.3%36.2%8.7%1.3%343.6K9.9M-88.3K0.2665.41N/AN/A96025324,01514,646
2015-12-08$20.18$27.0062.6%12.1%63.3%84.7%39.6%5.5%0.4%208.4K13.9M-79.6K0.5941.23N/AN/A1,9561,14624,74414,846
2015-12-09$19.30$26.0044.3%12.7%62.7%38.8%38.3%9.2%-0.7%86.7K15.9M-68.4K0.5070.66N/AN/A1,9831,00124,62114,390
2015-12-10$19.74$26.0040.0%11.5%63.4%28.2%36.4%6.9%0.9%134.2K14.6M-73.7K0.5693.27N/AN/A1,9701,11224,67714,340
2015-12-11$18.92$26.0045.3%13.0%49.3%41.4%39.7%9.2%-1.3%56.0K16.2M-65.8K0.5189.21N/AN/A1,9501,00024,74014,336
2015-12-14$18.59$26.0047.4%13.6%48.7%46.7%43.8%9.4%-1.9%-16.3K17.4M-59.7K0.6597.18N/AN/A1,9891,28424,71614,368
2015-12-15$18.29$25.0045.4%13.0%47.1%41.6%44.9%6.2%0.8%-47.6K17.3M-56.5K0.6291.37N/AN/A2,1541,33824,76314,088
2015-12-16$18.70$24.0041.3%11.9%47.8%31.6%44.3%10.9%1.4%-12.8K16.0M-60.6K0.6199.11N/AN/A2,1221,28725,24414,043
2015-12-17$18.67$24.0040.9%11.7%44.3%30.5%49.4%4.7%2.1%-50.9K16.1M-60.9K0.6392.54N/AN/A1,6581,04325,23014,103
2015-12-18$18.23$24.0051.5%14.8%43.9%57.0%48.7%8.7%-12.6%-36.5K16.2M-58.6K0.6992.72N/AN/A1,6491,13725,22414,212
2015-12-21$18.36$24.0042.3%12.1%44.1%33.9%44.2%1.8%0.8%-56.9K16.5M-54.7K0.6195.77N/AN/A1,6451,00421,39113,764
2015-12-22$19.06$24.0041.0%11.8%44.6%30.7%43.0%6.1%-0.1%-30.8K14.4M-59.8K0.5299.11N/AN/A2,2791,19521,50513,143
2015-12-23$19.70$23.0037.8%10.8%46.1%22.7%43.4%5.4%3.9%23.5K12.9M-64.6K0.47100.98N/AN/A2,4241,14922,16513,262
2015-12-24$19.77$23.0036.9%10.6%45.5%20.4%41.2%5.2%4.9%24.9K12.8M-65.7K0.4597.97N/AN/A2,4431,10622,39413,308
2015-12-28$18.59$23.0043.8%12.6%50.5%37.8%46.4%1.7%0.3%-2.5K14.6M-57.2K0.65107.21N/AN/A1,9761,28922,41413,338
2015-12-29$19.26$23.0040.4%11.6%50.7%29.3%45.3%3.2%2.3%14.4K13.5M-60.9K0.7097.27N/AN/A1,6401,15322,45113,397
2015-12-30$18.97$23.0041.8%12.0%50.3%32.6%51.6%11.3%2.6%11514.1M-58.9K0.68103.71N/AN/A1,6141,09422,46113,308
2015-12-31$18.59$23.0042.1%12.1%48.3%33.6%48.9%7.8%2.2%-59314.9M-55.3K0.66102.06N/AN/A1,5891,05222,56313,323