TEX Options History — August 2016

In August 2016, TEX traded between $23.32 and $24.49. ATM implied volatility averaged 33.9%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 11.0% (HV 20d: 23.0%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.66.

Notable Days

2016-08-05: Highest Volume — 5,375 contracts
2016-08-02: Largest IV drop — 8.5% change
2016-08-01: Highest IV Rank — 9.6%
2016-08-01: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.01	$23.32	$24.49	$23.71	$24.27
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	33.9%	30.5%	41.4%	41.4%	31.1%
Expected Move	9.7%	8.7%	11.9%	11.9%	8.9%
HV 20d	23.0%	19.6%	30.1%	30.1%	19.6%
HV 60d	44.7%	33.2%	53.8%	53.7%	33.2%
IV Rank	1.5%	0.0%	9.6%	9.6%	0.7%
IV Percentile	2.3%	0.0%	28.2%	28.2%	0.4%
Term Structure	0.9%	-3.4%	3.5%	-3.4%	2.3%
VWIV	35.3%	31.1%	48.2%	48.2%	32.2%
Skew 25d	4.4%	1.4%	6.0%	4.5%	3.1%
Skew 10d	10.4%	4.0%	21.2%	7.6%	12.9%
Call IV 25d	32.5%	29.5%	40.5%	40.5%	30.9%
Put IV 25d	36.9%	33.5%	45.0%	45.0%	34.0%
Bid-Ask Spread %	85.03	71.55	109.58	74.64	109.58
Gamma HHI	0.16	0.13	0.23	0.15	0.15
Net GEX	279.1K	65.4K	511.2K	176.5K	331.3K
Net DEX	-9.1M	-12.1M	-5.2M	-7.6M	-9.9M
Net VEX	-122.5K	-133.0K	-111.4K	-131.9K	-111.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.05	3.30	2.23	1.05
Total Volume	2,799.304	94	5,375	4,439	1,720
Total OI	30,129	27,116	32,001	29,338	27,729

Daily Data (23 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
2016-08-01	$23.71	$23.00	41.4%	11.9%	30.1%	9.6%	48.2%	4.5%	-3.4%	176.5K	-7.6M	-131.9K	2.23	74.64	N/A	N/A	1,373	3,066	15,177	14,161
2016-08-02	$23.32	$23.00	37.8%	10.8%	24.5%	4.8%	42.4%	4.7%	-0.3%	65.4K	-5.2M	-132.2K	2.00	84.25	N/A	N/A	1,509	3,014	15,254	16,134
2016-08-03	$23.53	$23.00	37.6%	10.8%	24.0%	4.6%	45.0%	5.7%	-2.0%	106.7K	-6.6M	-133.0K	2.16	83.93	N/A	N/A	1,396	3,009	15,437	16,154
2016-08-04	$24.01	$23.00	36.0%	9.9%	22.9%	2.4%	35.7%	4.5%	1.6%	170.0K	-9.4M	-131.8K	2.48	71.55	N/A	N/A	1,206	2,988	15,553	16,151
2016-08-05	$24.49	$23.00	35.2%	10.2%	21.8%	1.3%	35.2%	3.6%	-0.4%	215.5K	-12.1M	-129.9K	3.30	72.16	N/A	N/A	1,250	4,125	15,607	16,171
2016-08-08	$24.44	$23.00	36.7%	10.0%	21.5%	3.2%	34.7%	5.6%	0.9%	234.8K	-11.2M	-128.8K	2.10	72.46	N/A	N/A	1,489	3,125	15,343	16,454
2016-08-09	$24.15	$23.00	35.9%	9.9%	21.5%	2.2%	34.9%	5.0%	-0.1%	284.1K	-9.8M	-127.3K	2.30	76.16	N/A	N/A	1,347	3,100	15,498	15,842
2016-08-10	$23.71	$23.00	33.6%	9.6%	23.2%	0.0%	34.1%	3.8%	0.5%	242.7K	-7.3M	-125.2K	1.95	80.92	N/A	N/A	1,113	2,170	15,528	15,834
2016-08-11	$23.77	$23.00	33.3%	9.6%	23.2%	0.0%	34.8%	4.6%	0.6%	279.0K	-8.0M	-125.2K	2.52	77.29	N/A	N/A	858	2,158	15,539	15,899
2016-08-12	$23.62	$23.00	32.8%	9.4%	23.4%	0.0%	34.5%	4.7%	1.1%	259.8K	-7.2M	-124.5K	2.70	78.72	N/A	N/A	778	2,097	15,591	15,893
2016-08-15	$24.18	$23.00	33.2%	9.5%	24.3%	0.6%	34.2%	6.0%	1.2%	418.3K	-10.5M	-121.7K	2.00	83.48	N/A	N/A	1,046	2,097	15,621	15,896
2016-08-16	$24.09	$23.00	32.9%	9.4%	23.4%	0.2%	33.3%	3.3%	1.5%	419.8K	-10.4M	-121.6K	2.23	79.28	N/A	N/A	899	2,006	15,893	15,898
2016-08-17	$24.02	$23.00	34.1%	9.8%	23.6%	1.8%	32.4%	4.4%	0.2%	405.5K	-9.8M	-121.9K	1.61	83.10	N/A	N/A	36	58	15,909	15,949
2016-08-18	$24.00	$23.00	32.8%	9.4%	23.0%	0.1%	33.8%	3.0%	0.8%	511.2K	-9.5M	-120.5K	0.05	91.31	N/A	N/A	200	10	15,922	15,980
2016-08-19	$24.23	$23.00	33.1%	9.5%	23.1%	0.4%	33.4%	4.0%	2.0%	254.7K	-12.0M	-119.6K	1.79	87.76	N/A	N/A	1,145	2,044	15,965	16,036
2016-08-22	$23.97	$23.00	32.9%	9.4%	23.3%	0.2%	34.0%	4.7%	0.2%	248.1K	-7.6M	-117.9K	0.92	86.54	N/A	N/A	1,121	1,030	14,158	12,958
2016-08-23	$24.31	$23.00	31.8%	9.1%	23.0%	0.0%	33.3%	4.3%	1.5%	296.7K	-10.2M	-117.3K	0.93	85.88	N/A	N/A	1,053	977	14,447	13,068
2016-08-24	$23.85	$23.00	32.8%	9.4%	24.0%	1.3%	32.8%	4.2%	1.8%	271.7K	-8.3M	-117.2K	0.30	90.37	N/A	N/A	120	36	14,536	13,017
2016-08-25	$23.83	$23.00	31.4%	9.0%	23.2%	0.0%	33.0%	4.7%	1.7%	274.1K	-7.7M	-116.9K	0.79	89.56	N/A	N/A	1,140	900	14,644	13,078
2016-08-26	$24.01	$23.00	31.6%	9.0%	21.5%	0.3%	33.3%	5.9%	1.7%	289.4K	-8.3M	-115.6K	0.85	100.98	N/A	N/A	1,063	900	14,566	13,078
2016-08-29	$24.35	$23.00	31.8%	9.1%	20.8%	0.6%	35.3%	5.6%	3.3%	324.2K	-10.2M	-113.8K	0.96	102.25	N/A	N/A	945	909	14,611	13,078
2016-08-30	$24.36	$23.00	30.5%	8.7%	19.7%	0.0%	31.1%	1.4%	3.5%	338.9K	-10.0M	-113.0K	1.02	93.57	N/A	N/A	869	889	14,629	13,081
2016-08-31	$24.27	$23.00	31.1%	8.9%	19.6%	0.7%	32.2%	3.1%	2.3%	331.3K	-9.9M	-111.4K	1.05	109.58	N/A	N/A	838	882	14,621	13,108