TEX Options History — June 2016

In June 2016, TEX traded between $19.13 and $22.44. ATM implied volatility averaged 40.7%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 22.0% (HV 20d: 62.7%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2016-06-01: Highest Volume — 4,919 contracts
  • 2016-06-24: Largest IV spike — 24.1% change
  • 2016-06-27: Highest IV Rank — 16.8%
  • 2016-06-27: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.98$19.13$22.44$21.10$20.25
Max Pain$21.73$20.00$22.00$20.00$22.00
ATM IV40.7%36.6%46.3%38.4%42.6%
Expected Move11.6%10.5%13.3%11.0%12.2%
HV 20d62.7%42.4%76.7%75.5%45.1%
HV 60d49.5%46.4%52.5%52.5%51.2%
IV Rank10.6%4.7%16.8%8.1%11.2%
IV Percentile23.1%3.6%46.0%13.5%32.1%
Term Structure1.2%-4.6%9.7%-3.3%3.9%
VWIV42.4%38.1%57.0%43.5%42.4%
Skew 25d6.8%-0.6%11.0%-0.6%7.0%
Skew 10d15.3%2.0%32.6%5.8%14.2%
Call IV 25d38.1%33.1%47.7%43.1%37.5%
Put IV 25d44.9%39.8%53.9%42.5%44.5%
Bid-Ask Spread %92.5680.02101.9798.3996.20
Gamma HHI0.170.130.280.130.21
Net GEX202.6K-264.4K1.1M282.8K-244.5K
Net DEX3.4M-3.9M13.3M1.3M11.1M
Net VEX-121.4K-138.8K-96.4K-138.8K-102.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.752.450.951.14
Total Volume3,166.6821,9434,9194,9191,943
Total OI47,214.09140,53752,86650,16542,140

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$21.10$20.0038.4%11.0%75.5%8.1%43.5%-0.6%-3.3%282.8K1.3M-138.8K0.9598.39N/AN/A2,5192,40031,94118,224
2016-06-02$21.38$22.0040.3%11.2%75.8%10.6%38.8%7.6%-0.4%352.5K-571.8K-137.1K1.0883.70N/AN/A2,2082,37431,99518,225
2016-06-03$20.79$22.0040.4%11.0%76.2%10.8%38.1%3.3%0.9%204.2K3.5M-130.0K1.0186.83N/AN/A2,1922,22332,08818,311
2016-06-06$21.24$22.0037.3%11.1%76.7%6.7%40.0%8.2%0.5%408.1K584.2K-131.4K1.0189.36N/AN/A2,0362,06232,11018,426
2016-06-07$21.27$22.0043.6%11.1%76.2%14.9%38.7%5.1%0.3%373.6K871.6K-130.7K2.0194.69N/AN/A1,0472,10532,12018,472
2016-06-08$21.34$22.0038.2%10.9%73.3%7.9%40.2%4.1%0.8%261.0K-260.0K-131.6K1.9980.02N/AN/A1,0662,12032,15118,525
2016-06-09$21.11$22.0037.8%10.8%73.3%7.4%38.6%6.5%0.7%253.3K2.2M-128.0K1.8392.94N/AN/A1,0851,99132,13118,601
2016-06-10$21.10$22.0039.4%11.3%69.6%9.4%42.7%5.1%-1.1%373.7K1.8M-129.0K1.0291.92N/AN/A1,9682,00632,32018,658
2016-06-13$21.06$22.0041.3%11.8%69.5%11.9%41.5%5.3%-2.7%368.5K1.1M-126.2K1.5194.44N/AN/A1,3752,07032,90618,658
2016-06-14$20.90$22.0042.0%12.1%58.9%12.9%43.3%7.3%-2.8%489.9K2.1M-121.6K1.4094.14N/AN/A1,4231,99633,51018,625
2016-06-15$21.02$22.0041.1%11.8%59.1%11.7%43.5%10.8%-2.5%657.5K237.2K-123.5K2.1296.50N/AN/A9361,98134,12318,660
2016-06-16$20.97$22.0042.9%12.3%58.9%14.0%42.3%6.6%-4.6%1.1M718.3K-122.1K2.1092.04N/AN/A9441,98434,17518,670
2016-06-17$21.27$22.0040.4%11.6%58.8%10.8%40.4%11.0%-0.4%-18.7K-3.9M-121.2K1.6995.33N/AN/A1,1731,98334,18318,683
2016-06-20$21.61$22.0038.8%11.1%59.4%8.7%39.9%7.2%6.1%-45.5K5.0M-119.5K2.4587.64N/AN/A8952,19724,35016,187
2016-06-21$21.82$21.0038.1%10.9%59.7%7.8%38.8%10.1%1.0%46.3K3.1M-121.8K1.5190.47N/AN/A8891,33924,54516,217
2016-06-22$21.99$21.0038.0%10.9%59.6%7.7%40.4%9.9%1.7%114.9K1.6M-123.7K1.3588.94N/AN/A9501,28124,71916,227
2016-06-23$22.44$21.0036.6%10.5%60.1%4.7%39.4%6.1%4.1%231.6K-553.4K-127.4K1.2389.08N/AN/A9581,17624,98916,259
2016-06-24$20.88$21.0045.4%13.0%63.9%15.6%46.7%7.6%3.7%-17.6K6.6M-114.9K1.3593.13N/AN/A1,0831,46624,94616,223
2016-06-27$19.31$22.0046.3%13.3%43.0%16.8%57.0%6.2%9.7%-209.1K12.6M-96.4K1.32101.11N/AN/A1,1341,49325,03816,380
2016-06-28$19.13$22.0043.8%12.6%42.4%12.9%47.7%6.8%6.9%-234.0K13.3M-96.7K0.7597.38N/AN/A1,9891,50125,21016,779
2016-06-29$19.69$22.0041.6%11.9%44.1%9.9%49.8%8.5%3.8%-264.4K13.1M-96.4K0.97101.97N/AN/A1,0711,03525,22416,786
2016-06-30$20.25$22.0042.6%12.2%45.1%11.2%42.4%7.0%3.9%-244.5K11.1M-102.2K1.1496.20N/AN/A9061,03725,29316,847