TEX Options History — November 2016

In November 2016, TEX traded between $22.49 and $31.00. ATM implied volatility averaged 38.6%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 11.0% (HV 20d: 49.6%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2016-11-09: Highest Volume — 10,442 contracts
  • 2016-11-28: Largest IV spike — 19.1% change
  • 2016-11-07: Highest IV Rank — 20.6%
  • 2016-11-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.29$22.49$31.00$22.67$30.60
Max Pain$23.24$23.00$25.00$25.00$24.00
ATM IV38.6%32.2%46.2%41.9%38.9%
Expected Move10.7%9.2%12.0%12.0%11.1%
HV 20d49.6%33.6%58.5%34.5%51.9%
HV 60d41.4%34.0%45.8%34.3%45.8%
IV Rank10.9%2.8%20.6%15.1%11.3%
IV Percentile27.6%4.8%57.9%45.2%29.4%
Term Structure-1.7%-4.5%0.5%-3.9%-3.7%
VWIV39.8%33.0%46.9%44.1%42.1%
Skew 25d5.9%3.5%7.0%6.0%3.5%
Skew 10d10.9%3.9%15.1%7.8%12.3%
Call IV 25d35.3%29.5%40.3%40.3%38.7%
Put IV 25d41.2%34.7%46.3%46.3%42.1%
Bid-Ask Spread %76.3567.8083.5477.7483.54
Gamma HHI0.250.170.310.220.17
Net GEX459.2K-522.9K971.2K-494.2K801.5K
Net DEX-29.2M-55.5M11.3M9.8M-50.0M
Net VEX-108.2K-128.5K-91.1K-94.5K-104.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.233.572.300.94
Total Volume3,462.5711,92010,4422,4682,635
Total OI37,013.23832,85444,23032,94334,499

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$22.67$25.0041.9%12.0%34.5%15.1%44.1%6.0%-3.9%-494.2K9.8M-94.5K2.3077.74N/AN/A7471,72113,67219,271
2016-11-02$22.56$25.0040.7%11.7%33.6%13.6%46.9%5.9%-2.3%-522.9K11.3M-91.1K0.6976.83N/AN/A1,9661,35613,66119,193
2016-11-03$22.49$23.0043.3%11.2%33.6%16.9%40.2%6.8%-0.5%-471.9K10.0M-95.3K1.5278.84N/AN/A8041,22414,63219,457
2016-11-04$22.87$23.0043.0%11.1%34.0%16.6%39.0%6.0%-1.5%-413.5K7.7M-98.7K1.3072.21N/AN/A1,0301,34414,62419,613
2016-11-07$23.50$23.0046.2%10.9%35.5%20.6%38.8%6.5%-0.9%-324.0K3.5M-96.3K1.1779.98N/AN/A1,2301,44414,77219,675
2016-11-08$23.71$23.0042.2%10.2%35.5%15.5%38.1%5.9%-1.4%-252.0K694.9K-97.6K1.2281.00N/AN/A1,2621,53614,99019,790
2016-11-09$27.00$23.0036.1%10.3%58.4%7.7%39.6%6.8%-1.1%262.1K-21.3M-94.4K0.2371.44N/AN/A8,4731,96914,98319,779
2016-11-10$27.69$23.0036.8%10.5%58.5%8.6%40.2%6.9%-0.2%574.7K-30.9M-108.0K0.4472.04N/AN/A3,5891,59018,77220,079
2016-11-11$27.83$23.0038.0%10.9%56.1%10.2%40.8%6.1%-0.8%849.8K-38.6M-128.5K1.1168.63N/AN/A1,3801,53523,21520,187
2016-11-14$28.15$23.0039.9%11.4%55.5%12.5%43.8%7.0%-1.8%831.6K-41.9M-120.8K1.4568.37N/AN/A1,1581,67423,34620,333
2016-11-15$28.48$23.0039.8%11.4%55.3%12.5%42.1%6.5%-3.0%848.3K-43.8M-122.3K3.5781.28N/AN/A8523,04523,57020,660
2016-11-16$28.50$23.0038.6%11.1%55.4%10.9%41.8%6.1%-0.3%840.3K-43.8M-122.7K2.0567.80N/AN/A1,2432,54623,61120,046
2016-11-17$28.78$23.0034.1%9.8%55.1%5.2%37.0%4.5%0.1%889.1K-46.9M-117.2K2.2076.28N/AN/A9982,19424,07419,630
2016-11-18$28.59$23.0034.2%9.8%55.3%5.3%37.2%5.9%0.5%903.1K-45.4M-121.8K1.7273.22N/AN/A1,3082,24624,25019,670
2016-11-21$28.47$23.0035.9%10.3%53.8%7.5%39.7%5.8%-2.0%971.2K-40.2M-117.1K1.1378.62N/AN/A9031,01722,63810,383
2016-11-22$29.32$23.0034.1%9.8%53.3%5.2%35.1%6.8%-0.1%910.2K-45.2M-112.1K0.8175.28N/AN/A1,09689222,63210,423
2016-11-23$31.00$23.0032.2%9.2%55.4%2.8%33.0%5.3%-1.2%781.2K-55.0M-102.4K0.7478.76N/AN/A1,9831,46322,93610,435
2016-11-25$30.91$23.0033.7%9.7%55.5%4.6%35.0%6.5%-1.7%886.0K-55.5M-109.8K0.7280.68N/AN/A1,7981,28823,93210,895
2016-11-28$30.26$23.0040.1%11.5%56.9%12.8%40.4%3.6%-4.5%897.1K-52.6M-109.9K0.2483.49N/AN/A4,2661,01723,98711,021
2016-11-29$29.68$23.0040.1%11.5%57.9%12.8%40.2%4.9%-4.3%876.5K-45.3M-107.0K0.7977.23N/AN/A1,6171,27522,77111,171
2016-11-30$30.60$24.0038.9%11.1%51.9%11.3%42.1%3.5%-3.7%801.5K-50.0M-104.7K0.9483.54N/AN/A1,3571,27822,86511,634