TEX Options History — December 2016

In December 2016, TEX traded between $29.74 and $32.86. ATM implied volatility averaged 42.3%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 5.4% (HV 20d: 47.7%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.74.

Notable Days

  • 2016-12-12: Highest Volume — 13,730 contracts
  • 2016-12-12: Largest IV spike — 45.6% change
  • 2016-12-12: Highest IV Rank — 57.3%
  • 2016-12-12: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.54$29.74$32.86$29.87$31.37
Max Pain$24.95$24.00$25.00$24.00$25.00
ATM IV42.3%33.7%75.0%41.7%35.6%
Expected Move10.7%9.7%12.4%12.0%10.2%
HV 20d47.7%33.8%54.6%53.3%44.2%
HV 60d46.4%44.4%49.1%46.0%45.5%
IV Rank15.6%4.7%57.3%14.9%7.1%
IV Percentile34.5%9.1%88.1%45.6%15.9%
Term Structure2.2%-6.0%6.5%-6.0%4.7%
VWIV39.9%35.4%45.8%45.5%45.8%
Skew 25d3.6%2.1%5.3%5.0%3.8%
Skew 10d9.9%0.2%20.5%7.4%13.2%
Call IV 25d36.5%33.4%43.6%41.1%34.7%
Put IV 25d40.0%35.4%46.3%46.1%38.5%
Bid-Ask Spread %78.3864.0987.9578.8386.31
Gamma HHI0.280.170.510.180.30
Net GEX1.2M807.3K2.1M831.8K1.3M
Net DEX-60.6M-79.4M-43.2M-45.2M-56.4M
Net VEX-133.9K-150.5K-112.0K-112.0K-150.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.346.501.381.82
Total Volume5,034.5712,18913,7302,4115,269
Total OI43,295.61935,08255,00635,08244,094

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$29.87$24.0041.7%12.0%53.3%14.9%45.5%5.0%-6.0%831.8K-45.2M-112.0K1.3878.83N/AN/A1,0151,39623,03012,052
2016-12-02$29.74$25.0040.5%11.6%53.4%13.3%45.0%2.8%-4.5%819.9K-43.2M-115.9K1.2466.50N/AN/A9781,21123,08712,411
2016-12-05$29.82$25.0042.7%10.5%53.5%16.1%37.7%3.9%1.4%807.3K-44.1M-114.4K0.4064.09N/AN/A3,2131,27523,15712,626
2016-12-06$30.98$25.0049.4%10.8%54.1%24.7%36.8%3.6%0.9%1.1M-55.5M-115.1K0.3474.34N/AN/A3,8001,30526,21512,785
2016-12-07$32.10$25.0049.7%10.7%54.6%25.0%42.0%4.5%0.5%1.4M-67.8M-125.3K1.7172.85N/AN/A1,1822,02029,41913,030
2016-12-08$32.19$25.0050.5%11.1%33.8%26.1%43.2%5.3%-0.1%1.3M-69.4M-118.8K1.7274.49N/AN/A9081,55929,47113,682
2016-12-09$31.82$25.0051.5%10.9%33.9%27.4%40.4%3.8%1.4%1.3M-65.2M-126.0K1.3075.73N/AN/A1,2001,56629,57214,004
2016-12-12$30.26$25.0075.0%12.4%39.6%57.3%43.7%2.7%0.0%1.2M-51.8M-130.6K1.9181.92N/AN/A4,7149,01629,71714,391
2016-12-13$32.86$25.0057.0%11.5%48.3%34.4%41.5%5.1%0.7%996.8K-79.4M-140.6K0.4781.41N/AN/A6,2912,98032,71519,953
2016-12-14$32.00$25.0038.1%10.9%49.8%10.4%40.3%4.7%1.4%1.6M-75.9M-148.0K0.5175.95N/AN/A4,0502,04834,46720,539
2016-12-15$31.95$25.0037.1%10.6%49.9%9.0%38.4%3.5%3.7%2.1M-75.2M-144.6K0.6671.25N/AN/A3,1172,05234,03019,994
2016-12-16$31.11$25.0037.4%10.7%51.1%9.4%39.6%3.8%4.0%1.0M-62.7M-146.1K0.5669.65N/AN/A3,0651,71634,06319,966
2016-12-19$31.46$25.0035.4%10.2%51.0%6.9%35.4%2.6%4.1%1.2M-58.4M-136.6K0.5378.06N/AN/A3,3971,81727,53112,353
2016-12-20$31.87$25.0035.0%10.0%51.0%6.3%37.0%3.9%3.9%1.2M-59.1M-141.4K0.6281.64N/AN/A2,6611,64227,49512,543
2016-12-21$32.23$25.0034.5%9.9%50.3%5.8%37.2%3.5%5.0%1.1M-61.8M-137.9K0.6486.13N/AN/A2,6231,67927,54212,615
2016-12-22$32.00$25.0035.1%10.1%46.6%6.5%36.8%2.8%4.8%1.1M-61.5M-133.2K1.3582.90N/AN/A2,5533,44827,59912,667
2016-12-23$32.26$25.0033.7%9.7%46.7%4.7%35.6%2.1%6.5%999.7K-61.5M-142.5K5.5987.43N/AN/A6293,51527,64814,797
2016-12-27$32.42$25.0036.0%10.3%45.8%7.6%38.6%2.4%4.1%1.1M-61.5M-145.2K6.5086.17N/AN/A5343,46927,76014,797
2016-12-28$31.92$25.0035.5%10.2%45.6%7.0%39.7%3.2%5.1%1.1M-58.8M-141.5K6.2187.95N/AN/A5583,46627,79614,870
2016-12-29$32.03$25.0035.9%10.3%44.5%7.4%37.5%2.3%4.5%1.2M-58.2M-146.5K1.0582.32N/AN/A3,3073,48227,83714,888
2016-12-30$31.37$25.0035.6%10.2%44.2%7.1%45.8%3.8%4.7%1.3M-56.4M-150.5K1.8286.31N/AN/A1,8693,40029,19214,902