TEX Options History — May 2016

In May 2016, TEX traded between $20.86 and $25.17. ATM implied volatility averaged 59.5%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 19.2% (HV 20d: 40.3%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.23.

Notable Days

2016-05-27: Highest Volume — 30,995 contracts
2016-05-20: Largest IV drop — 32.3% change
2016-05-09: Highest IV Rank — 61.6%
2016-05-12: Largest Expected Move — 20.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.79	$20.86	$25.17	$23.82	$21.20
Max Pain	$23.76	$20.00	$24.00	$24.00	$20.00
ATM IV	59.5%	34.3%	78.0%	67.2%	34.3%
Expected Move	16.6%	9.8%	20.9%	19.3%	9.8%
HV 20d	40.3%	18.8%	75.6%	20.1%	75.6%
HV 60d	41.7%	37.5%	52.7%	38.2%	52.6%
IV Rank	37.9%	2.7%	61.6%	48.1%	2.7%
IV Percentile	65.9%	3.2%	88.9%	83.3%	3.2%
Term Structure	-8.3%	-23.0%	12.2%	-14.6%	2.2%
VWIV	56.2%	34.3%	82.8%	59.4%	34.3%
Skew 25d	19.7%	-6.0%	33.3%	23.9%	3.3%
Skew 10d	43.2%	1.8%	77.5%	33.2%	1.8%
Call IV 25d	45.8%	36.8%	60.9%	53.6%	40.4%
Put IV 25d	65.5%	42.1%	83.7%	77.5%	43.7%
Bid-Ask Spread %	89.37	67.88	104.18	67.88	78.53
Gamma HHI	0.24	0.12	0.37	0.24	0.12
Net GEX	1.0M	-103.6K	3.1M	375.6K	213.3K
Net DEX	-10.0M	-30.4M	11.0M	-2.2M	3.1M
Net VEX	-190.4K	-232.0K	-114.8K	-207.1K	-128.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.20	2.56	2.18	0.63
Total Volume	7,364.238	2,915	30,995	3,865	6,235
Total OI	67,638.19	48,244	89,606	60,643	48,462

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
2016-05-02	$23.82	$24.00	67.2%	19.3%	20.1%	48.1%	59.4%	23.9%	-14.6%	375.6K	-2.2M	-207.1K	2.18	67.88	N/A	N/A	1,215	2,650	34,912	25,731
2016-05-03	$23.42	$24.00	72.5%	20.8%	19.6%	54.8%	59.4%	23.3%	-17.0%	272.6K	-234.9K	-207.0K	1.84	68.85	N/A	N/A	1,628	3,002	34,783	25,995
2016-05-04	$23.33	$24.00	71.3%	20.4%	18.8%	53.3%	59.6%	21.7%	-9.8%	213.0K	397.4K	-207.3K	1.47	78.91	N/A	N/A	1,416	2,077	34,902	26,457
2016-05-05	$23.01	$24.00	71.9%	20.4%	19.2%	54.1%	69.8%	33.3%	-6.4%	131.3K	3.3M	-199.8K	1.15	95.97	N/A	N/A	1,356	1,559	35,039	26,530
2016-05-06	$22.90	$24.00	76.6%	18.5%	18.8%	60.0%	68.0%	25.5%	-13.7%	20.1K	6.0M	-185.6K	1.65	100.56	N/A	N/A	1,735	2,855	35,108	26,542
2016-05-09	$23.41	$24.00	78.0%	19.9%	20.1%	61.6%	82.8%	25.8%	-15.8%	172.8K	889.6K	-201.8K	0.31	96.98	N/A	N/A	8,436	2,635	35,595	27,201
2016-05-10	$24.64	$24.00	72.2%	16.0%	27.3%	54.4%	59.2%	19.1%	-6.0%	961.7K	-15.4M	-220.1K	0.25	91.21	N/A	N/A	10,836	2,669	40,555	26,817
2016-05-11	$24.61	$24.00	61.0%	17.5%	26.5%	40.4%	58.2%	23.6%	-12.0%	1.7M	-24.6M	-232.0K	0.28	98.68	N/A	N/A	10,778	3,052	49,755	26,277
2016-05-12	$22.96	$24.00	73.0%	20.9%	36.3%	55.5%	59.7%	24.6%	-23.0%	892.6K	1.4M	-182.9K	2.04	94.76	N/A	N/A	1,942	3,953	58,460	26,698
2016-05-13	$22.65	$24.00	69.5%	19.9%	36.4%	51.1%	60.1%	30.9%	-16.8%	514.7K	6.4M	-179.7K	1.87	97.17	N/A	N/A	1,641	3,072	59,214	28,031
2016-05-16	$24.91	$24.00	49.9%	14.3%	49.9%	26.5%	53.5%	21.2%	-9.5%	3.1M	-29.8M	-207.5K	0.64	100.83	N/A	N/A	6,516	4,143	60,362	29,244
2016-05-17	$24.89	$23.00	53.2%	15.2%	49.9%	30.6%	55.4%	24.2%	-7.3%	2.7M	-30.4M	-203.0K	0.92	79.39	N/A	N/A	3,423	3,156	58,151	29,182
2016-05-18	$24.38	$24.00	57.1%	16.4%	50.3%	35.6%	46.6%	16.9%	-6.5%	1.8M	-23.9M	-202.3K	1.42	100.08	N/A	N/A	2,467	3,496	56,596	29,228
2016-05-19	$24.77	$24.00	60.5%	17.3%	50.5%	39.7%	75.9%	22.8%	-6.3%	2.0M	-22.8M	-196.3K	2.56	104.18	N/A	N/A	1,446	3,700	56,443	29,430
2016-05-20	$24.68	$24.00	40.9%	11.7%	50.6%	15.3%	53.8%	9.3%	12.2%	1.1M	-22.0M	-187.4K	1.70	100.15	N/A	N/A	1,817	3,089	56,828	29,620
2016-05-23	$24.68	$24.00	42.3%	12.1%	50.4%	17.1%	51.3%	23.0%	1.7%	1.2M	-15.7M	-178.4K	1.50	80.11	N/A	N/A	1,298	1,951	32,958	15,286
2016-05-24	$24.94	$24.00	47.4%	13.6%	50.0%	21.1%	43.3%	20.5%	-4.0%	1.2M	-16.1M	-180.1K	0.71	93.08	N/A	N/A	2,328	1,647	33,514	15,324
2016-05-25	$25.17	$24.00	50.2%	14.4%	50.0%	24.7%	46.2%	14.8%	-4.2%	1.5M	-20.8M	-191.3K	1.75	72.86	N/A	N/A	1,112	1,944	34,920	15,677
2016-05-26	$24.34	$24.00	53.5%	15.3%	51.4%	27.9%	39.8%	12.2%	-15.7%	1.2M	-18.2M	-186.3K	0.85	102.08	N/A	N/A	2,912	2,467	34,988	16,063
2016-05-27	$20.86	$24.00	47.7%	13.7%	75.1%	20.3%	43.6%	-6.0%	-0.7%	-103.6K	11.0M	-114.8K	0.20	74.61	N/A	N/A	25,762	5,233	36,725	16,799
2016-05-31	$21.20	$20.00	34.3%	9.8%	75.6%	2.7%	34.3%	3.3%	2.2%	213.3K	3.1M	-128.5K	0.63	78.53	N/A	N/A	3,834	2,401	30,272	18,190