TEX Options History — February 2017

In February 2017, TEX traded between $29.95 and $32.64. ATM implied volatility averaged 39.0%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 6.8% (HV 20d: 32.2%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.66.

Notable Days

  • 2017-02-06: Highest Volume — 4,426 contracts
  • 2017-02-22: Largest IV drop — 16.1% change
  • 2017-02-07: Highest IV Rank — 17.3%
  • 2017-02-13: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.68$29.95$32.64$32.12$31.23
Max Pain$31.68$29.00$32.00$29.00$32.00
ATM IV39.0%32.3%43.6%41.8%34.4%
Expected Move11.1%9.3%12.1%12.0%9.9%
HV 20d32.2%29.2%35.1%30.0%32.4%
HV 60d38.2%35.2%44.6%43.9%36.0%
IV Rank11.4%2.9%17.3%15.1%5.5%
IV Percentile39.5%5.2%63.1%55.2%13.9%
Term Structure-1.8%-3.8%1.7%-0.4%-1.8%
VWIV40.5%28.9%46.9%39.4%37.1%
Skew 25d3.4%1.0%4.8%1.8%3.1%
Skew 10d9.0%0.2%24.7%6.4%1.5%
Call IV 25d38.3%32.4%41.9%41.9%34.0%
Put IV 25d41.6%34.9%45.3%43.8%37.1%
Bid-Ask Spread %68.6849.79102.1492.9088.24
Gamma HHI0.200.150.260.220.16
Net GEX561.7K75.4K1.0M646.6K205.1K
Net DEX-14.5M-21.1M-4.3M-17.9M-8.2M
Net VEX-121.2K-130.9K-104.6K-120.0K-114.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.604.170.704.11
Total Volume2,732.4212,0904,4262,1033,364
Total OI24,145.89521,55926,25122,28923,829

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$32.12$29.0041.8%12.0%30.0%15.1%39.4%1.8%-0.4%646.6K-17.9M-120.0K0.7092.90N/AN/A1,23786614,4787,811
2017-02-02$31.75$31.0043.4%11.8%29.6%17.1%42.7%4.8%-2.2%627.5K-16.5M-119.5K0.8251.23N/AN/A1,19697714,5147,792
2017-02-03$32.64$32.0040.7%11.5%30.2%13.6%41.1%4.6%-1.4%702.1K-20.4M-119.2K0.6049.79N/AN/A1,54393214,5327,837
2017-02-06$31.73$32.0042.2%11.9%31.8%15.5%42.6%3.3%-2.1%700.0K-17.0M-115.7K0.8751.21N/AN/A2,3732,05315,0147,852
2017-02-07$31.08$32.0043.6%12.0%32.6%17.3%42.6%4.6%-3.7%641.9K-13.7M-130.4K1.4954.67N/AN/A1,3872,06016,3518,986
2017-02-08$30.95$32.0041.3%11.8%31.7%14.3%42.4%4.3%-2.8%610.1K-12.1M-130.3K1.7356.64N/AN/A1,1822,04316,4708,979
2017-02-09$31.31$32.0041.1%11.8%32.0%14.2%42.1%4.0%-2.1%703.8K-14.8M-130.7K0.7862.45N/AN/A1,17191916,5439,036
2017-02-10$32.56$32.0039.2%11.2%34.3%11.7%43.4%3.6%-2.5%921.5K-21.1M-130.9K1.0065.66N/AN/A1,2551,25916,5779,049
2017-02-13$32.46$32.0042.1%12.1%33.8%15.4%46.9%3.6%-3.2%917.4K-21.0M-128.1K1.1262.60N/AN/A1,1271,26316,5669,410
2017-02-14$32.41$32.0040.9%11.7%33.1%13.9%46.6%2.9%-2.5%922.2K-20.1M-127.6K1.1558.41N/AN/A1,1331,30016,5909,412
2017-02-15$32.63$32.0041.0%11.8%33.0%14.0%45.3%3.4%-3.8%1.0M-21.0M-127.3K1.0061.32N/AN/A1,2791,28116,5949,453
2017-02-16$32.00$32.0039.2%11.2%32.5%11.7%40.4%4.8%-0.9%777.9K-17.5M-124.4K0.8470.80N/AN/A1,2221,02516,7849,462
2017-02-17$32.00$31.0039.2%11.2%31.9%11.7%40.6%3.9%-2.2%313.2K-16.7M-123.3K0.9373.23N/AN/A1,1011,02616,7799,472
2017-02-21$32.13$31.0038.5%11.0%31.8%10.8%39.4%1.0%-2.8%317.3K-11.4M-117.7K0.7560.50N/AN/A1,5471,15912,5829,159
2017-02-22$31.40$32.0032.3%9.3%29.2%2.9%34.0%2.9%1.7%261.5K-9.3M-114.9K3.2581.06N/AN/A6802,20713,1769,337
2017-02-23$29.95$32.0033.6%9.6%33.1%4.5%28.9%2.1%-0.0%99.5K-4.3M-104.6K4.1778.18N/AN/A6282,62113,1698,390
2017-02-24$30.37$32.0033.0%9.5%33.6%3.8%37.3%2.4%-0.4%75.4K-4.3M-110.7K2.92102.14N/AN/A6952,03213,29810,023
2017-02-27$31.12$32.0033.1%9.5%35.1%4.0%37.2%2.5%-0.4%198.1K-7.8M-113.7K3.3983.82N/AN/A6312,14213,43210,034
2017-02-28$31.23$32.0034.4%9.9%32.4%5.5%37.1%3.1%-1.8%205.1K-8.2M-114.2K4.1188.24N/AN/A6582,70613,64310,186