TEX Options History — January 2017

In January 2017, TEX traded between $30.95 and $33.02. ATM implied volatility averaged 38.9%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 6.9% (HV 20d: 32.1%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2017-01-25: Highest Volume — 7,541 contracts
  • 2017-01-11: Largest IV spike — 13.9% change
  • 2017-01-30: Highest IV Rank — 16.2%
  • 2017-01-30: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.90$30.95$33.02$31.91$31.85
Max Pain$28.05$25.00$29.00$25.00$29.00
ATM IV38.9%34.8%42.8%37.2%42.5%
Expected Move11.4%10.4%12.3%10.7%12.2%
HV 20d32.1%22.8%44.7%44.4%30.5%
HV 60d45.0%44.0%45.7%45.5%44.0%
IV Rank11.4%6.2%16.2%9.1%15.8%
IV Percentile36.4%13.1%59.1%23.4%57.9%
Term Structure-0.3%-2.8%3.5%3.0%-1.6%
VWIV40.7%32.3%48.0%39.0%43.7%
Skew 25d4.0%2.4%6.7%3.2%5.0%
Skew 10d10.0%-0.5%19.7%18.6%7.4%
Call IV 25d38.3%35.8%41.3%36.0%41.0%
Put IV 25d42.3%39.2%46.0%39.2%46.0%
Bid-Ask Spread %72.7155.5790.8389.6586.68
Gamma HHI0.360.160.630.320.22
Net GEX989.8K194.0K1.8M1.3M622.5K
Net DEX-45.3M-66.7M-10.8M-61.6M-16.5M
Net VEX-121.6K-141.7K-107.0K-141.7K-121.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.151.290.640.79
Total Volume2,924.22,0857,5413,5822,230
Total OI35,758.6517,21144,58244,10922,246

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$31.91$25.0037.2%10.7%44.4%9.1%39.0%3.2%3.0%1.3M-61.6M-141.7K0.6489.65N/AN/A2,1781,40429,20514,904
2017-01-04$32.47$25.0036.4%10.4%44.7%8.1%33.7%2.8%3.5%1.2M-66.7M-134.7K0.7290.83N/AN/A1,9281,38128,97514,943
2017-01-05$31.78$28.0035.7%11.5%43.7%7.2%42.9%3.2%-0.5%1.3M-61.6M-135.2K1.0956.86N/AN/A1,2231,33529,15614,929
2017-01-06$31.46$28.0035.9%11.5%41.9%7.5%40.5%3.1%-0.7%1.3M-59.0M-135.3K1.1659.56N/AN/A1,1551,33729,21714,951
2017-01-09$31.24$28.0036.2%11.5%42.0%7.9%42.1%3.4%0.4%1.4M-57.0M-130.6K1.2360.12N/AN/A1,2131,49129,25814,957
2017-01-10$31.87$28.0034.8%11.2%42.5%6.2%43.7%4.1%-0.0%1.3M-63.5M-126.6K1.0459.04N/AN/A1,2201,27229,35615,127
2017-01-11$31.98$28.0039.7%11.4%38.1%12.3%43.1%4.6%-0.6%1.3M-64.0M-125.5K1.0555.57N/AN/A1,2161,27929,39715,119
2017-01-12$31.41$28.0040.4%11.6%24.4%13.2%42.5%4.8%-1.4%1.4M-58.9M-124.0K1.1263.24N/AN/A1,1691,30529,42115,097
2017-01-13$31.97$28.0039.2%11.2%23.6%11.7%42.4%6.7%-0.7%1.6M-65.0M-121.3K1.0767.24N/AN/A1,2191,29929,44815,072
2017-01-17$31.40$28.0041.5%11.9%24.5%14.7%42.3%3.3%-2.8%1.7M-58.9M-114.8K0.4267.24N/AN/A3,3731,41629,51115,071
2017-01-18$31.74$28.0039.3%11.3%22.8%11.8%40.0%4.7%-1.2%1.8M-61.6M-112.7K1.0471.15N/AN/A1,3481,40228,59815,121
2017-01-19$30.95$28.0038.8%11.1%24.3%11.1%41.7%2.4%-0.4%1.0M-52.1M-108.9K1.2680.27N/AN/A1,1961,50228,38115,120
2017-01-20$31.50$28.0038.8%11.1%24.7%11.2%32.3%4.2%-0.2%194.0K-56.1M-108.2K1.2980.84N/AN/A1,2271,58928,39915,179
2017-01-23$31.26$29.0039.5%11.3%24.4%12.1%40.0%5.5%0.1%199.5K-10.8M-107.6K0.9782.07N/AN/A1,1431,1079,8077,404
2017-01-24$32.56$29.0038.4%11.0%28.5%10.7%36.5%4.0%-0.7%218.4K-15.2M-107.0K0.7874.79N/AN/A1,2891,00410,0367,564
2017-01-25$32.80$29.0040.5%11.6%28.5%13.3%38.5%3.7%0.1%257.8K-16.6M-107.4K0.1577.13N/AN/A6,57996210,4587,594
2017-01-26$33.02$29.0041.0%11.8%28.5%14.0%43.3%3.5%0.4%624.3K-22.2M-123.5K0.7382.23N/AN/A1,21088014,2487,751
2017-01-27$33.01$29.0040.4%11.6%27.8%13.2%38.9%2.8%-0.3%630.1K-22.4M-122.7K0.8268.27N/AN/A1,14394214,2387,759
2017-01-30$31.74$29.0042.8%12.3%31.4%16.2%48.0%4.1%-1.4%585.7K-16.5M-121.9K0.7581.42N/AN/A1,32799114,3247,832
2017-01-31$31.85$29.0042.5%12.2%30.5%15.8%43.7%5.0%-1.6%622.5K-16.5M-121.5K0.7986.68N/AN/A1,24498614,4337,813