TEX Options History — October 2016

In October 2016, TEX traded between $23.59 and $25.18. ATM implied volatility averaged 39.6%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 0.1% (HV 20d: 39.5%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2016-10-28: Highest Volume — 9,832 contracts
  • 2016-10-12: Largest IV drop — 6.1% change
  • 2016-10-31: Highest IV Rank — 18.6%
  • 2016-10-31: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.40$23.59$25.18$25.07$24.07
Max Pain$24.57$22.00$25.00$22.00$25.00
ATM IV39.6%34.2%44.6%36.0%44.6%
Expected Move11.3%9.8%12.8%10.3%12.8%
HV 20d39.5%28.2%45.8%45.2%28.2%
HV 60d32.0%30.9%32.9%31.1%32.0%
IV Rank12.2%5.4%18.6%7.6%18.6%
IV Percentile31.0%8.7%55.6%11.9%55.6%
Term Structure-2.7%-6.2%1.0%-0.0%-6.2%
VWIV40.6%36.2%47.5%37.3%45.4%
Skew 25d6.3%4.5%7.4%6.4%5.9%
Skew 10d14.9%9.4%22.6%16.4%12.6%
Call IV 25d37.7%33.2%44.7%35.3%42.1%
Put IV 25d44.0%38.9%50.1%41.7%48.0%
Bid-Ask Spread %70.1659.7499.3389.8063.99
Gamma HHI0.220.150.310.150.21
Net GEX385.9K-221.8K628.0K462.1K-221.8K
Net DEX-9.1M-15.0M701.2K-13.7M701.2K
Net VEX-97.6K-105.2K-89.2K-104.0K-105.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.6514.480.781.86
Total Volume2,768.0951,6479,8322,5981,953
Total OI29,265.09521,66832,63729,80432,637

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$25.07$22.0036.0%10.3%45.2%7.6%37.3%6.4%-0.0%462.1K-13.7M-104.0K0.7889.80N/AN/A1,4571,14115,95013,854
2016-10-04$24.59$22.0034.2%9.8%45.8%5.4%36.2%7.4%1.0%431.0K-11.0M-103.0K0.7089.71N/AN/A1,5121,05215,98813,972
2016-10-05$25.01$22.0035.9%10.3%45.6%7.5%39.3%5.2%0.7%497.9K-13.8M-102.1K1.1699.33N/AN/A9341,08316,09214,031
2016-10-06$24.94$25.0037.7%10.3%45.6%9.8%37.4%7.0%-0.8%505.4K-13.6M-102.5K1.1168.48N/AN/A9891,10116,18414,081
2016-10-07$24.49$25.0037.2%10.7%44.2%9.2%37.2%6.9%-1.8%465.3K-11.3M-100.8K1.4067.33N/AN/A1,0501,47116,17914,105
2016-10-10$24.71$25.0039.3%11.0%43.9%11.9%39.4%5.8%-2.8%455.7K-11.8M-101.1K1.4168.15N/AN/A1,0211,44216,25814,595
2016-10-11$24.39$25.0041.7%11.4%40.3%14.9%39.7%5.0%-2.1%467.8K-10.4M-100.4K1.5059.74N/AN/A9451,41716,29314,671
2016-10-12$24.16$25.0039.2%11.2%40.5%11.7%38.6%7.2%-3.5%462.1K-9.0M-97.8K1.2162.47N/AN/A1,0221,23816,26314,736
2016-10-13$23.92$25.0037.8%10.8%38.0%9.9%38.3%4.5%-1.6%397.8K-7.0M-98.0K1.2071.44N/AN/A9481,14016,37114,759
2016-10-14$25.18$25.0038.2%11.0%41.9%10.4%39.8%5.9%-1.9%590.2K-15.0M-97.1K0.6562.77N/AN/A2,0441,32116,39814,762
2016-10-17$24.73$25.0039.7%11.4%42.6%12.4%41.2%6.0%-2.9%599.2K-13.2M-97.4K1.2460.73N/AN/A1,0441,29516,88614,852
2016-10-18$24.56$25.0039.7%11.4%42.5%12.3%41.8%6.7%-2.1%615.1K-12.0M-98.5K1.1565.53N/AN/A1,1321,30017,07715,183
2016-10-19$24.73$25.0039.7%11.4%42.3%12.3%40.8%7.4%-3.5%591.8K-13.1M-96.3K1.2162.55N/AN/A1,0651,28817,11315,255
2016-10-20$24.54$25.0039.2%11.2%41.9%11.7%41.7%6.0%-2.9%628.0K-11.7M-94.8K1.2461.58N/AN/A1,0851,34417,17415,297
2016-10-21$24.76$25.0039.3%11.3%33.5%11.8%40.2%6.4%-3.0%213.6K-13.3M-95.2K1.3864.68N/AN/A1,1981,65917,21015,299
2016-10-24$24.03$25.0041.3%11.9%35.4%14.4%42.0%7.1%-3.3%183.8K-3.4M-91.8K1.4467.35N/AN/A9151,31611,8819,787
2016-10-25$23.61$25.0042.0%12.0%35.9%15.2%42.7%6.9%-5.0%176.4K-2.1M-89.5K1.7071.54N/AN/A7231,22612,2489,997
2016-10-26$23.61$25.0042.8%12.3%34.2%16.2%44.7%6.9%-5.5%181.8K-1.6M-89.2K1.2865.60N/AN/A1,6582,12212,3519,998
2016-10-27$23.59$25.0042.1%12.1%34.0%15.4%41.3%6.6%-3.3%194.0K-1.4M-91.9K2.1963.01N/AN/A5171,13013,36811,001
2016-10-28$23.75$25.0044.5%12.8%28.4%18.5%47.5%5.4%-5.3%206.8K-2.9M-93.3K14.4887.49N/AN/A6359,19713,40811,003
2016-10-31$24.07$25.0044.6%12.8%28.2%18.6%45.4%5.9%-6.2%-221.8K701.2K-105.2K1.8663.99N/AN/A6831,27013,56819,069