TEX Options History — July 2016

In July 2016, TEX traded between $19.57 and $24.18. ATM implied volatility averaged 41.2%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 4.4% (HV 20d: 45.6%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2016-07-15: Highest Volume — 4,142 contracts
  • 2016-07-05: Largest IV spike — 19.8% change
  • 2016-07-07: Highest IV Rank — 17.0%
  • 2016-07-05: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.59$19.57$24.18$20.88$24.18
Max Pain$21.45$21.00$22.00$22.00$21.00
ATM IV41.2%37.4%46.9%38.4%40.1%
Expected Move11.9%10.7%14.0%11.0%11.5%
HV 20d45.6%29.7%51.4%45.6%29.7%
HV 60d53.0%51.7%53.6%51.7%53.6%
IV Rank9.4%4.2%17.0%5.6%7.8%
IV Percentile22.8%4.8%46.8%8.3%17.9%
Term Structure-2.2%-6.6%4.6%4.6%-1.7%
VWIV40.7%36.1%44.7%38.7%44.7%
Skew 25d6.6%4.5%10.3%7.3%5.3%
Skew 10d12.5%7.8%20.8%15.0%7.8%
Call IV 25d38.5%35.4%44.2%35.4%39.9%
Put IV 25d45.0%41.3%52.2%42.7%45.1%
Bid-Ask Spread %71.3842.0897.8197.8144.33
Gamma HHI0.180.130.290.210.14
Net GEX-17.3K-286.8K240.7K-143.6K240.7K
Net DEX2.8M-9.9M13.0M7.5M-9.9M
Net VEX-112.8K-131.6K-95.2K-108.9K-131.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.421.941.111.15
Total Volume2,741.251,8824,1421,8823,076
Total OI34,718.3524,33144,07142,18828,033

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$20.88$22.0038.4%11.0%45.6%5.6%38.7%7.3%4.6%-143.6K7.5M-108.9K1.1197.81N/AN/A89498825,32716,861
2016-07-05$19.93$22.0046.0%14.0%47.7%15.8%43.5%7.5%-5.8%-259.1K11.6M-98.8K1.9381.52N/AN/A1,0341,99125,35416,871
2016-07-06$19.83$22.0046.6%13.3%47.7%16.7%44.1%10.3%-4.0%-268.3K12.1M-97.8K1.5970.66N/AN/A1,2141,93525,52116,879
2016-07-07$19.57$22.0046.9%13.8%47.7%17.0%44.4%8.3%-5.5%-286.8K13.0M-95.2K1.7080.05N/AN/A1,1842,01325,73716,963
2016-07-08$20.20$21.0044.0%13.6%49.3%13.1%43.4%10.0%-6.6%-254.2K10.4M-101.3K1.9481.19N/AN/A1,0672,07125,84817,063
2016-07-11$20.69$22.0040.7%11.9%50.2%8.7%40.7%6.1%-2.5%-156.4K8.4M-103.3K1.8568.03N/AN/A1,1882,19626,00717,159
2016-07-12$21.25$22.0044.9%11.4%51.1%14.3%38.1%6.8%-2.2%-103.9K4.9M-108.2K0.9167.92N/AN/A1,3011,18426,29417,300
2016-07-13$21.28$22.0040.8%11.7%51.0%8.8%38.6%5.9%-2.2%-31.9K4.0M-110.4K0.9371.48N/AN/A1,2551,17226,56217,341
2016-07-14$21.45$22.0041.0%11.8%51.1%9.1%39.4%6.3%-2.9%-54.3K3.9M-110.1K1.0872.07N/AN/A1,1131,20326,60817,379
2016-07-15$21.70$22.0038.5%11.0%51.2%5.7%39.6%6.3%-0.9%-26.1K2.7M-110.8K0.4572.71N/AN/A2,8541,28826,64217,429
2016-07-18$21.73$21.0039.3%11.3%51.0%6.8%40.9%7.8%1.4%11.0K1.9M-112.4K0.7469.27N/AN/A1,4251,05511,93512,396
2016-07-19$21.42$21.0042.0%12.1%51.0%10.5%41.8%5.6%-2.9%9.2K2.6M-110.9K0.7968.62N/AN/A1,3911,10512,22812,497
2016-07-20$21.52$21.0038.3%11.0%50.9%5.4%40.0%5.7%-0.7%26.3K2.2M-113.0K0.7473.11N/AN/A1,3941,02612,45312,590
2016-07-21$21.98$21.0038.4%11.0%51.4%5.5%37.1%5.4%-1.1%51.4K628.3K-116.1K0.4270.43N/AN/A2,24194812,53912,610
2016-07-22$22.12$21.0037.4%10.7%50.9%4.2%36.1%5.3%-1.0%136.0K-668.5K-122.1K0.5173.31N/AN/A1,75890414,03112,720
2016-07-25$22.47$21.0040.6%11.6%43.6%8.6%39.6%6.2%-2.2%166.1K-2.3M-121.8K0.5675.83N/AN/A1,61890014,14212,781
2016-07-26$22.88$21.0040.4%11.6%31.2%8.2%41.2%5.7%-1.2%194.8K-4.3M-125.0K0.7668.90N/AN/A1,5161,15914,27712,815
2016-07-27$23.14$21.0039.5%11.3%30.5%7.0%40.1%5.1%-3.3%206.4K-5.1M-127.9K1.2742.08N/AN/A9271,17414,42713,057
2016-07-28$23.58$21.0041.0%11.8%29.9%9.1%41.7%4.5%-3.0%197.6K-7.4M-129.9K0.9878.28N/AN/A1,0431,02014,40613,285
2016-07-29$24.18$21.0040.1%11.5%29.7%7.8%44.7%5.3%-1.7%240.7K-9.9M-131.6K1.1544.33N/AN/A1,4311,64514,68713,346