TEX Options History — April 2016

In April 2016, TEX traded between $23.12 and $24.49. ATM implied volatility averaged 62.4%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 27.2% (HV 20d: 35.2%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.95.

Notable Days

2016-04-07: Highest Volume — 25,407 contracts
2016-04-12: Largest IV drop — 12.4% change
2016-04-07: Highest IV Rank — 56.4%
2016-04-07: Largest Expected Move — 18.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.92	$23.12	$24.49	$24.17	$23.95
Max Pain	$24.33	$21.00	$25.00	$21.00	$24.00
ATM IV	62.4%	56.0%	73.8%	62.5%	58.9%
Expected Move	17.3%	15.6%	18.8%	17.9%	16.9%
HV 20d	35.2%	21.8%	48.9%	48.9%	21.8%
HV 60d	67.8%	38.5%	83.2%	83.1%	38.5%
IV Rank	42.2%	34.2%	56.4%	42.4%	37.7%
IV Percentile	78.3%	67.5%	88.1%	82.5%	73.8%
Term Structure	-10.8%	-18.2%	3.3%	-13.0%	-1.8%
VWIV	61.5%	53.5%	69.5%	69.5%	54.4%
Skew 25d	21.3%	0.2%	27.2%	0.2%	22.4%
Skew 10d	40.4%	24.9%	59.0%	24.9%	36.0%
Call IV 25d	48.9%	42.8%	69.6%	69.6%	45.3%
Put IV 25d	70.2%	66.9%	73.8%	69.8%	67.8%
Bid-Ask Spread %	64.12	48.64	91.83	91.83	73.09
Gamma HHI	0.23	0.18	0.32	0.19	0.24
Net GEX	1.6M	258.8K	3.7M	3.7M	437.0K
Net DEX	-23.2M	-61.5M	926.3K	-61.5M	-2.4M
Net VEX	-218.4K	-255.9K	-196.6K	-255.9K	-208.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.95	0.07	3.50	2.84	2.58
Total Volume	7,239.714	2,730	25,407	4,047	3,997
Total OI	76,579.571	54,253	102,447	100,531	60,635

Daily Data (21 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
2016-04-01	$24.17	$21.00	62.5%	17.9%	48.9%	42.4%	69.5%	0.2%	-13.0%	3.7M	-61.5M	-255.9K	2.84	91.83	N/A	N/A	1,055	2,992	78,442	22,089
2016-04-04	$23.60	$25.00	63.1%	15.6%	48.6%	43.1%	57.8%	26.4%	-10.9%	3.2M	-44.2M	-228.2K	1.63	49.81	N/A	N/A	1,123	1,827	78,738	23,033
2016-04-05	$23.12	$25.00	70.2%	17.9%	48.9%	51.9%	59.9%	20.7%	-15.6%	3.0M	-41.0M	-230.6K	1.42	56.45	N/A	N/A	1,127	1,603	78,956	23,240
2016-04-06	$23.48	$25.00	71.9%	17.1%	46.7%	54.1%	60.2%	19.5%	-12.9%	3.2M	-42.1M	-224.6K	0.27	61.55	N/A	N/A	6,086	1,640	79,133	23,314
2016-04-07	$23.27	$25.00	73.8%	18.8%	46.4%	56.4%	66.1%	18.8%	-15.8%	3.0M	-35.8M	-221.5K	0.07	48.64	N/A	N/A	23,675	1,732	77,064	23,418
2016-04-08	$23.51	$25.00	65.5%	17.6%	46.5%	46.1%	62.8%	18.1%	-15.5%	2.2M	-28.2M	-207.6K	0.18	69.33	N/A	N/A	14,625	2,573	58,323	23,657
2016-04-11	$23.77	$25.00	67.1%	18.3%	46.4%	48.0%	63.2%	18.6%	-13.8%	2.2M	-30.3M	-198.8K	0.55	56.91	N/A	N/A	3,470	1,905	58,363	24,504
2016-04-12	$23.89	$25.00	58.8%	17.8%	46.2%	37.6%	59.1%	20.9%	-15.2%	2.2M	-33.9M	-198.8K	1.28	50.54	N/A	N/A	3,399	4,361	60,385	24,993
2016-04-13	$24.36	$25.00	63.0%	18.0%	33.4%	42.9%	59.5%	25.6%	-15.2%	2.7M	-41.1M	-216.9K	2.75	59.91	N/A	N/A	1,806	4,967	59,745	28,032
2016-04-14	$24.31	$25.00	60.3%	17.3%	32.1%	39.5%	63.7%	22.8%	-14.5%	2.1M	-38.5M	-209.2K	2.67	65.28	N/A	N/A	1,340	3,583	59,737	28,607
2016-04-15	$24.44	$25.00	63.2%	18.1%	31.3%	43.2%	64.4%	25.9%	-18.2%	520.3K	-40.2M	-213.9K	0.76	64.72	N/A	N/A	6,883	5,239	59,733	30,500
2016-04-18	$23.91	$24.00	59.7%	17.1%	31.4%	38.7%	60.9%	22.0%	-12.4%	501.8K	-4.9M	-218.2K	2.15	62.46	N/A	N/A	1,949	4,196	32,414	21,839
2016-04-19	$23.99	$24.00	57.9%	16.6%	31.3%	36.5%	61.9%	22.2%	-11.4%	500.4K	-4.6M	-219.9K	2.26	70.23	N/A	N/A	1,767	3,994	32,796	23,990
2016-04-20	$24.29	$24.00	61.9%	17.7%	31.4%	41.5%	64.0%	19.5%	-9.6%	602.8K	-8.3M	-229.2K	2.70	64.28	N/A	N/A	1,600	4,320	32,937	24,039
2016-04-21	$24.49	$24.00	61.5%	17.6%	29.8%	41.0%	64.8%	21.8%	-4.3%	661.0K	-10.0M	-235.1K	2.56	58.38	N/A	N/A	1,739	4,456	33,584	24,291
2016-04-22	$24.47	$24.00	58.2%	16.7%	23.2%	36.9%	57.5%	22.3%	-9.1%	661.5K	-10.4M	-232.2K	1.89	74.16	N/A	N/A	2,199	4,153	33,662	24,353
2016-04-25	$24.23	$24.00	61.0%	17.5%	23.3%	40.4%	60.3%	27.2%	-12.7%	617.0K	-6.5M	-220.6K	2.85	67.96	N/A	N/A	1,552	4,427	34,774	24,520
2016-04-26	$23.78	$24.00	57.7%	16.5%	24.0%	36.3%	67.4%	24.1%	3.3%	419.8K	-1.9M	-210.8K	3.50	62.07	N/A	N/A	1,165	4,072	34,823	24,984
2016-04-27	$23.82	$24.00	58.4%	16.7%	23.5%	37.2%	59.7%	27.1%	-1.4%	433.3K	-1.7M	-209.5K	3.45	66.94	N/A	N/A	1,209	4,166	34,841	25,098
2016-04-28	$23.54	$24.00	56.0%	16.1%	23.5%	34.2%	53.5%	21.8%	-6.2%	258.8K	926.3K	-196.6K	2.56	71.98	N/A	N/A	1,141	2,921	34,915	25,670
2016-04-29	$23.95	$24.00	58.9%	16.9%	21.8%	37.7%	54.4%	22.4%	-1.8%	437.0K	-2.4M	-208.9K	2.58	73.09	N/A	N/A	1,117	2,880	34,912	25,723