TEX Options History — February 2016

In February 2016, TEX traded between $20.00 and $23.23. ATM implied volatility averaged 85.4%, placing in the 80.3% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded below realized volatility by 26.8% (HV 20d: 112.2%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2016-02-04: Highest Volume — 21,262 contracts
  • 2016-02-24: Largest IV spike — 21.0% change
  • 2016-02-01: Highest IV Rank — 100.0%
  • 2016-02-03: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.48$20.00$23.23$22.00$22.43
Max Pain$19.55$17.00$20.00$17.00$20.00
ATM IV85.4%69.9%101.9%91.9%80.6%
Expected Move23.8%20.0%27.2%26.3%23.1%
HV 20d112.2%43.0%131.6%130.5%43.0%
HV 60d84.8%83.1%88.0%87.5%83.5%
IV Rank80.3%56.3%100.0%100.0%70.8%
IV Percentile96.2%91.7%100.0%100.0%92.9%
Term Structure-11.2%-30.8%5.7%-19.8%-12.1%
VWIV81.1%70.9%97.6%94.0%77.2%
Skew 25d12.3%1.4%17.7%16.3%9.5%
Skew 10d24.6%-8.2%63.2%36.8%9.6%
Call IV 25d73.4%63.6%89.0%84.9%73.0%
Put IV 25d85.7%75.6%101.2%101.2%82.5%
Bid-Ask Spread %79.5867.00111.1972.17103.84
Gamma HHI0.220.120.300.130.25
Net GEX612.7K165.8K942.0K217.0K942.0K
Net DEX-16.6M-37.1M-5.0M-9.2M-19.3M
Net VEX-133.0K-146.2K-105.0K-107.1K-137.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.111.610.441.61
Total Volume7,345.42,04721,2627,4113,435
Total OI44,120.229,09453,97929,09445,140

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$22.00$17.0091.9%26.3%130.5%100.0%94.0%16.3%-19.8%217.0K-9.2M-107.1K0.4472.17N/AN/A5,1492,26216,73212,362
2016-02-02$21.67$17.0084.5%24.2%130.7%88.3%86.1%16.2%-12.0%206.9K-7.9M-105.0K0.5967.00N/AN/A6,5503,86216,76912,394
2016-02-03$20.65$17.0094.8%27.2%131.6%100.0%97.6%5.3%-30.8%169.0K-5.7M-109.5K0.5881.59N/AN/A6,5053,78918,11614,381
2016-02-04$21.20$20.0090.8%22.6%131.6%94.0%76.1%15.0%-9.3%165.8K-5.0M-111.5K0.1568.77N/AN/A18,5462,71618,14414,963
2016-02-05$21.19$20.0093.3%23.5%129.4%97.7%76.7%15.8%-10.7%531.5K-16.0M-146.0K0.3271.22N/AN/A8,8612,81230,17015,523
2016-02-08$20.74$20.00100.7%24.1%129.0%100.0%75.4%13.1%-6.6%581.4K-15.1M-143.8K0.2969.00N/AN/A7,6522,20733,23715,526
2016-02-09$20.02$20.00101.9%26.0%129.5%100.0%76.5%17.7%-12.5%493.9K-11.1M-134.6K0.2971.33N/AN/A7,1752,05733,25715,586
2016-02-10$20.16$20.0085.4%24.5%129.5%77.5%87.1%14.2%-12.0%527.4K-12.1M-136.8K0.4068.25N/AN/A5,0472,00933,22015,599
2016-02-11$20.00$20.0088.1%25.2%129.0%81.1%88.8%15.6%-9.8%513.2K-10.6M-134.8K0.4575.10N/AN/A4,4482,00933,19915,598
2016-02-12$20.52$20.0084.0%24.1%128.9%75.6%85.7%15.5%-8.5%565.6K-13.5M-134.5K0.3373.44N/AN/A6,1352,03633,24915,598
2016-02-16$20.33$20.0080.9%23.2%128.5%71.3%87.5%11.2%0.8%681.9K-16.4M-130.2K0.2579.75N/AN/A4,1771,06035,28415,604
2016-02-17$21.28$20.0073.0%20.9%125.6%60.5%75.3%12.8%5.7%862.3K-23.0M-132.0K0.2173.29N/AN/A4,7701,00935,36215,729
2016-02-18$22.15$20.0084.3%24.2%125.8%75.9%79.1%9.3%-14.2%916.9K-27.7M-137.3K0.2567.11N/AN/A6,4831,60235,26715,782
2016-02-19$22.99$20.0085.3%24.5%125.9%77.4%73.4%3.3%-13.8%700.5K-37.1M-144.4K0.1188.05N/AN/A7,09679537,48616,493
2016-02-22$23.23$20.0074.1%21.2%125.8%62.0%70.9%12.5%-13.0%893.5K-25.6M-146.2K0.3574.08N/AN/A2,37684229,21613,015
2016-02-23$22.63$20.0069.9%20.0%125.5%56.3%75.1%12.7%-7.2%912.7K-22.9M-145.3K0.4586.86N/AN/A1,78879929,67513,258
2016-02-24$22.49$20.0084.6%24.3%56.7%76.4%84.5%1.4%-11.9%756.6K-20.6M-143.3K0.59111.19N/AN/A1,29175629,74313,372
2016-02-25$21.71$20.0079.1%22.7%44.6%68.8%74.8%13.7%-12.6%795.4K-15.2M-137.9K0.9390.84N/AN/A1,9431,79929,98213,407
2016-02-26$22.25$20.0081.5%23.4%43.4%72.1%79.6%14.7%-14.0%821.3K-18.4M-142.8K1.4498.80N/AN/A1,2541,80630,59414,372
2016-02-29$22.43$20.0080.6%23.1%43.0%70.8%77.2%9.5%-12.1%942.0K-19.3M-137.4K1.61103.84N/AN/A1,3162,11930,76114,379