TEX Options History — January 2016

In January 2016, TEX traded between $14.60 and $22.86. ATM implied volatility averaged 65.5%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 0.9% (HV 20d: 64.6%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2016-01-26: Highest Volume — 13,962 contracts
  • 2016-01-26: Largest IV spike — 42.7% change
  • 2016-01-11: Highest IV Rank — 100.0%
  • 2016-01-26: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.49$14.60$22.86$18.54$22.40
Max Pain$17.37$15.00$19.00$19.00$17.00
ATM IV65.5%47.1%90.7%47.1%84.9%
Expected Move17.5%12.9%25.5%12.9%24.3%
HV 20d64.6%44.1%130.7%48.1%130.5%
HV 60d64.5%56.1%89.0%58.8%88.7%
IV Rank66.7%41.0%100.0%46.0%90.6%
IV Percentile95.9%82.1%100.0%82.1%99.2%
Term Structure-7.8%-16.7%-2.2%-2.8%-10.9%
VWIV58.4%44.8%91.7%45.2%91.7%
Skew 25d9.4%-2.8%17.5%5.8%17.5%
Skew 10d22.7%4.2%49.7%25.7%49.7%
Call IV 25d56.9%44.3%94.6%45.0%75.0%
Put IV 25d66.3%50.8%92.5%50.8%92.5%
Bid-Ask Spread %85.6050.2299.8491.2572.61
Gamma HHI0.160.090.260.170.14
Net GEX-7.2K-79.4K254.6K-2.7K254.6K
Net DEX8.6M-10.9M16.6M14.7M-10.9M
Net VEX-54.2K-105.8K-34.1K-54.0K-105.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.211.401.130.49
Total Volume4,746.3682,10213,9623,9843,516
Total OI27,990.31613,57137,48635,77627,990

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$18.54$19.0047.1%12.9%48.1%46.0%45.2%5.8%-2.8%-2.7K14.7M-54.0K1.1391.25N/AN/A1,8672,11722,52013,256
2016-01-05$18.00$19.0052.6%14.1%48.4%59.6%44.8%8.3%-4.8%-36.9K15.4M-55.2K1.1081.95N/AN/A2,0692,27022,65414,379
2016-01-06$18.42$19.0061.3%15.4%49.5%81.6%46.3%14.8%-10.8%1.9K14.8M-58.0K1.1991.32N/AN/A2,2432,66922,85614,398
2016-01-07$17.38$19.0061.4%15.0%48.6%81.6%46.8%10.5%-4.2%-63.0K16.6M-51.0K1.1189.65N/AN/A2,1792,42322,91914,567
2016-01-08$16.85$19.0055.5%14.5%47.5%67.0%46.0%9.6%-3.2%-58.1K15.1M-49.7K1.4099.84N/AN/A1,7682,47322,92913,809
2016-01-11$16.46$19.0078.1%16.1%46.5%100.0%51.7%7.1%-8.0%-66.4K15.6M-45.5K0.7293.51N/AN/A1,9791,42123,05113,811
2016-01-12$16.43$19.0090.7%14.9%44.9%100.0%46.6%9.7%-3.7%-77.5K16.0M-42.9K0.7390.76N/AN/A2,1691,58622,94713,774
2016-01-13$16.02$18.0056.5%16.2%45.2%44.9%50.5%5.6%-5.6%-78.9K15.9M-41.9K0.7194.13N/AN/A1,8801,32622,98813,956
2016-01-14$15.95$18.0064.9%18.6%45.1%58.5%51.4%11.3%-14.0%-79.4K15.9M-42.1K0.6599.66N/AN/A1,9441,27323,01213,947
2016-01-15$15.56$18.0057.8%16.6%44.1%46.9%57.5%10.7%-7.9%-53.0K16.0M-39.6K0.6189.00N/AN/A2,0681,27123,00813,946
2016-01-19$14.60$17.0058.2%16.7%48.0%47.6%54.2%7.8%-5.3%-57.4K7.6M-34.1K0.4494.88N/AN/A2,1039305,6107,961
2016-01-20$14.77$16.0054.1%15.5%48.6%41.0%57.6%9.9%-2.2%-32.2K7.2M-35.5K0.6295.78N/AN/A1,2958076,5457,950
2016-01-21$14.95$15.0058.7%16.8%48.8%48.3%54.8%8.9%-6.2%-31.4K7.1M-37.5K0.5087.98N/AN/A1,6518226,5807,970
2016-01-22$15.47$15.0057.7%16.5%48.4%46.8%55.4%5.7%-6.8%-15.8K6.6M-41.4K0.5781.78N/AN/A1,5829047,0728,024
2016-01-25$14.96$15.0062.4%17.9%46.2%54.3%61.3%10.7%-9.5%-24.6K7.0M-38.2K0.4995.83N/AN/A1,6127947,1338,175
2016-01-26$20.61$15.0089.0%25.5%127.4%97.3%89.3%-2.8%-15.5%10.8K403.7K-71.4K0.2155.01N/AN/A11,5032,4597,1258,182
2016-01-27$22.86$16.0078.2%22.4%130.0%79.8%79.3%13.8%-16.7%122.4K-9.0M-89.7K0.3450.22N/AN/A7,2372,44911,9299,774
2016-01-28$21.99$17.0075.0%21.5%130.7%74.7%78.7%14.0%-10.1%151.7K-7.6M-95.5K0.2571.24N/AN/A9,2162,30613,74711,322
2016-01-29$22.40$17.0084.9%24.3%130.5%90.6%91.7%17.5%-10.9%254.6K-10.9M-105.8K0.4972.61N/AN/A2,3551,16116,58711,403