TEX Options History — March 2016

In March 2016, TEX traded between $21.05 and $25.20. ATM implied volatility averaged 69.8%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 23.4% (HV 20d: 46.3%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.01.

Notable Days

2016-03-18: Highest Volume — 34,881 contracts
2016-03-15: Largest IV spike — 36.1% change
2016-03-04: Highest IV Rank — 100.0%
2016-03-01: Largest Expected Move — 23.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.43	$21.05	$25.20	$23.20	$24.97
Max Pain	$21.55	$20.00	$22.00	$20.00	$21.00
ATM IV	69.8%	54.1%	108.6%	82.2%	54.1%
Expected Move	18.5%	15.5%	23.6%	23.6%	15.5%
HV 20d	46.3%	41.3%	52.4%	44.1%	48.7%
HV 60d	83.3%	82.0%	84.1%	83.5%	83.0%
IV Rank	52.2%	31.8%	100.0%	73.1%	31.8%
IV Percentile	85.3%	73.4%	100.0%	93.7%	73.4%
Term Structure	-12.9%	-32.0%	6.5%	-10.8%	-7.4%
VWIV	71.3%	59.9%	131.7%	80.0%	59.9%
Skew 25d	12.9%	2.5%	23.0%	17.8%	15.6%
Skew 10d	23.9%	-8.8%	45.4%	14.5%	35.1%
Call IV 25d	58.6%	48.8%	78.5%	67.1%	52.2%
Put IV 25d	71.5%	60.0%	84.9%	84.9%	67.8%
Bid-Ask Spread %	90.05	70.23	113.21	94.52	83.55
Gamma HHI	0.24	0.19	0.45	0.25	0.19
Net GEX	2.3M	869.2K	4.5M	999.5K	4.1M
Net DEX	-45.3M	-86.1M	-9.8M	-25.7M	-75.3M
Net VEX	-180.9K	-325.5K	-113.1K	-139.7K	-277.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.04	2.26	1.63	0.78
Total Volume	6,790.727	2,875	34,881	3,418	5,897
Total OI	65,256.636	45,742	106,162	45,742	100,790

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-03-01	$23.20	$20.00	82.2%	23.6%	44.1%	73.1%	80.0%	17.8%	-10.8%	999.5K	-25.7M	-139.7K	1.63	94.52	N/A	N/A	1,299	2,119	31,013	14,729
2016-03-02	$23.51	$20.00	71.0%	20.4%	43.7%	57.8%	85.7%	2.5%	6.5%	1.1M	-29.3M	-143.9K	0.74	109.32	N/A	N/A	2,650	1,961	31,259	14,729
2016-03-03	$22.80	$22.00	86.4%	19.1%	41.3%	78.8%	62.1%	12.2%	-17.6%	997.1K	-23.7M	-141.8K	1.05	97.79	N/A	N/A	1,797	1,878	32,409	14,731
2016-03-04	$22.20	$22.00	108.6%	21.1%	41.9%	100.0%	68.0%	11.9%	-26.3%	869.2K	-19.3M	-140.2K	1.45	105.70	N/A	N/A	1,198	1,741	32,227	14,264
2016-03-07	$21.86	$22.00	94.7%	19.3%	42.4%	82.7%	68.6%	11.8%	-17.3%	1.0M	-17.7M	-132.0K	1.69	85.96	N/A	N/A	1,169	1,974	32,263	14,366
2016-03-08	$21.05	$22.00	97.6%	18.6%	43.9%	86.2%	75.1%	8.0%	5.1%	934.5K	-13.5M	-126.2K	1.28	97.33	N/A	N/A	1,537	1,975	32,490	14,435
2016-03-09	$21.55	$22.00	72.8%	20.9%	42.5%	55.2%	76.2%	2.6%	-25.8%	1.0M	-13.7M	-129.3K	1.34	103.92	N/A	N/A	1,496	2,009	33,068	14,427
2016-03-10	$21.59	$22.00	67.8%	19.4%	42.4%	48.9%	131.7%	23.0%	-18.0%	1.0M	-14.2M	-122.2K	1.34	113.21	N/A	N/A	1,496	2,009	33,080	14,467
2016-03-11	$21.48	$22.00	68.4%	19.6%	42.4%	49.7%	62.9%	18.4%	-13.0%	1.1M	-14.3M	-123.7K	1.41	100.86	N/A	N/A	1,414	1,994	33,064	14,467
2016-03-14	$21.31	$22.00	58.8%	16.9%	41.7%	37.7%	80.4%	13.7%	-8.3%	1.0M	-9.8M	-113.1K	2.26	100.24	N/A	N/A	881	1,994	33,073	14,483
2016-03-15	$23.38	$22.00	80.1%	23.0%	52.4%	64.3%	76.7%	10.7%	-32.0%	2.7M	-54.0M	-176.0K	0.30	70.23	N/A	N/A	4,220	1,261	55,391	14,524
2016-03-16	$24.02	$21.00	67.0%	19.2%	51.0%	47.9%	67.0%	10.0%	-24.4%	3.2M	-65.3M	-180.1K	0.41	80.86	N/A	N/A	3,798	1,556	58,219	14,695
2016-03-17	$24.51	$21.00	57.9%	16.6%	49.7%	36.5%	68.6%	11.8%	-18.7%	3.4M	-75.1M	-177.2K	1.54	87.09	N/A	N/A	1,291	1,987	58,603	14,933
2016-03-18	$24.97	$22.00	60.3%	17.3%	48.5%	39.5%	60.1%	15.7%	-20.0%	4.5M	-86.1M	-173.1K	0.04	80.67	N/A	N/A	33,490	1,391	58,876	15,241
2016-03-21	$24.71	$22.00	60.9%	17.5%	48.7%	40.3%	65.2%	20.3%	-14.8%	2.5M	-55.5M	-197.4K	0.18	79.76	N/A	N/A	6,644	1,179	52,396	12,442
2016-03-22	$24.43	$22.00	59.7%	17.1%	47.8%	38.8%	64.6%	15.2%	-9.9%	2.6M	-55.1M	-202.8K	0.23	77.28	N/A	N/A	6,376	1,473	55,885	12,868
2016-03-23	$23.76	$22.00	62.1%	17.8%	49.0%	41.8%	69.7%	17.9%	-9.0%	2.5M	-46.3M	-194.5K	1.75	81.77	N/A	N/A	1,065	1,860	56,003	13,310
2016-03-24	$25.02	$22.00	55.6%	15.9%	49.8%	33.7%	61.6%	9.1%	-6.4%	3.0M	-64.8M	-199.7K	0.39	75.18	N/A	N/A	17,548	6,775	56,082	13,764
2016-03-28	$25.14	$21.00	55.6%	16.0%	49.4%	33.7%	59.9%	10.0%	-2.9%	3.9M	-81.7M	-325.5K	0.52	86.76	N/A	N/A	5,105	2,652	81,774	24,388
2016-03-29	$25.20	$21.00	58.3%	16.7%	49.4%	37.0%	64.8%	15.4%	-9.1%	3.9M	-81.3M	-281.3K	0.76	87.29	N/A	N/A	3,410	2,578	75,862	20,793
2016-03-30	$24.80	$21.00	55.1%	15.8%	48.8%	33.1%	60.4%	11.0%	-4.9%	3.9M	-74.8M	-282.9K	1.04	81.87	N/A	N/A	1,590	1,659	77,960	21,803
2016-03-31	$24.97	$21.00	54.1%	15.5%	48.7%	31.8%	59.9%	15.6%	-7.4%	4.1M	-75.3M	-277.6K	0.78	83.55	N/A	N/A	3,322	2,575	78,677	22,113