TEX Options History — September 2016

In September 2016, TEX traded between $23.05 and $25.63. ATM implied volatility averaged 35.2%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 5.3% (HV 20d: 29.9%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2016-09-15: Highest Volume — 3,230 contracts
  • 2016-09-09: Largest IV spike — 14.5% change
  • 2016-09-13: Highest IV Rank — 13.9%
  • 2016-09-26: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.21$23.05$25.63$23.99$25.63
Max Pain$22.10$22.00$23.00$23.00$22.00
ATM IV35.2%30.0%41.0%31.5%34.8%
Expected Move10.0%9.0%11.0%9.0%10.0%
HV 20d29.9%17.6%44.6%18.8%44.6%
HV 60d33.1%28.9%36.8%33.3%31.2%
IV Rank6.5%0.0%13.9%1.3%6.1%
IV Percentile10.7%0.0%29.8%1.2%9.9%
Term Structure-0.4%-2.9%3.0%1.9%-0.6%
VWIV35.0%30.7%38.3%32.0%35.5%
Skew 25d6.0%4.0%8.1%4.2%5.9%
Skew 10d13.3%1.4%34.0%1.4%13.1%
Call IV 25d32.4%29.3%35.8%30.5%32.1%
Put IV 25d38.4%33.3%43.6%34.7%38.0%
Bid-Ask Spread %85.7672.2998.2396.6892.84
Gamma HHI0.160.140.300.150.17
Net GEX365.5K223.8K726.2K309.4K487.7K
Net DEX-9.3M-16.7M-3.8M-8.1M-16.7M
Net VEX-106.6K-113.1K-98.2K-111.1K-98.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.592.031.450.76
Total Volume2,2061,6103,2301,6102,552
Total OI28,567.52427,72029,55827,72028,895

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$23.99$23.0031.5%9.0%18.8%1.3%32.0%4.2%1.9%309.4K-8.1M-111.1K1.4596.68N/AN/A65895214,61913,101
2016-09-02$24.36$23.0031.5%9.0%18.2%1.3%31.5%4.0%1.1%348.0K-10.2M-110.1K1.6598.23N/AN/A8521,40714,63813,145
2016-09-06$24.54$22.0032.1%9.0%18.4%2.0%31.9%5.9%0.9%371.9K-10.7M-110.1K1.5678.53N/AN/A8081,26414,66113,369
2016-09-07$25.03$22.0031.0%9.3%19.1%0.7%30.7%4.5%-0.6%406.3K-13.5M-109.0K1.5472.38N/AN/A8631,32714,66813,350
2016-09-08$25.16$22.0030.0%9.3%17.6%0.0%31.6%5.5%-1.2%436.3K-14.6M-107.5K0.9384.09N/AN/A1,3681,27514,91313,365
2016-09-09$24.28$22.0034.4%9.9%22.3%5.5%34.1%6.3%-1.6%385.1K-10.1M-113.1K1.1572.29N/AN/A1,0111,16115,50513,471
2016-09-12$24.70$22.0039.0%9.7%22.8%11.5%33.4%6.4%-1.3%435.4K-12.4M-110.7K1.1583.44N/AN/A9531,09715,50713,487
2016-09-13$23.53$22.0041.0%10.1%27.7%13.9%36.9%5.7%-1.1%334.9K-6.2M-109.1K1.1784.86N/AN/A9671,13515,46813,486
2016-09-14$23.40$22.0036.5%10.5%27.7%8.3%35.8%5.5%-2.0%316.4K-4.9M-107.4K1.1980.34N/AN/A9481,13015,46013,551
2016-09-15$24.36$22.0036.3%10.4%31.4%8.0%36.2%7.2%-2.9%391.9K-10.5M-109.2K0.5982.66N/AN/A2,0311,19915,46013,554
2016-09-16$24.07$22.0035.3%10.1%31.7%6.7%35.0%6.8%0.5%726.2K-9.9M-109.0K1.2581.24N/AN/A1,0811,35115,96913,589
2016-09-19$24.14$22.0035.5%10.2%31.5%7.0%36.0%5.7%1.1%296.1K-8.2M-108.0K1.2480.06N/AN/A1,0331,28414,71813,354
2016-09-20$23.90$22.0036.3%10.4%31.5%8.0%36.4%5.6%-0.2%304.8K-8.0M-107.1K1.3780.52N/AN/A9261,26915,00313,389
2016-09-21$24.24$22.0036.6%10.5%31.5%8.4%37.2%7.0%-0.8%326.3K-8.9M-106.5K1.4396.21N/AN/A8901,27514,96413,396
2016-09-22$24.67$22.0032.0%9.2%31.3%2.5%34.6%5.8%3.0%372.7K-11.0M-105.5K1.4287.07N/AN/A9191,30714,99013,396
2016-09-23$23.05$22.0036.3%10.4%39.9%8.0%38.0%5.9%-0.1%223.8K-3.8M-101.8K2.0386.99N/AN/A6671,35315,08013,380
2016-09-26$23.25$22.0038.5%11.0%39.9%10.8%38.3%6.2%-0.9%236.6K-4.6M-100.1K1.8390.11N/AN/A7621,39315,13213,460
2016-09-27$23.52$22.0037.4%10.7%39.8%9.5%35.9%7.8%-1.8%245.0K-5.2M-100.9K1.4895.34N/AN/A8111,20115,07813,684
2016-09-28$24.22$22.0036.1%10.3%41.3%7.7%36.0%8.1%-0.2%333.9K-8.2M-103.3K1.5584.61N/AN/A7731,19515,11213,703
2016-09-29$24.39$22.0037.8%10.8%41.4%9.9%38.3%5.7%-1.4%386.1K-10.3M-100.1K1.4892.49N/AN/A7581,12015,11513,733
2016-09-30$25.63$22.0034.8%10.0%44.6%6.1%35.5%5.9%-0.6%487.7K-16.7M-98.2K0.7692.84N/AN/A1,4541,09815,14813,747