TEX Options History — March 2017

In March 2017, TEX traded between $29.64 and $32.74. ATM implied volatility averaged 32.9%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 5.6% (HV 20d: 38.5%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.90.

Notable Days

2017-03-09: Highest Volume — 4,522 contracts
2017-03-13: Largest IV spike — 15.8% change
2017-03-14: Highest IV Rank — 14.8%
2017-03-27: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.84	$29.64	$32.74	$32.74	$31.56
Max Pain	$30.26	$30.00	$32.00	$32.00	$30.00
ATM IV	32.9%	29.8%	37.4%	31.8%	29.8%
Expected Move	9.3%	8.5%	9.9%	9.1%	8.5%
HV 20d	38.5%	35.3%	43.4%	36.6%	35.4%
HV 60d	34.5%	31.5%	37.5%	36.9%	33.9%
IV Rank	5.4%	0.0%	14.8%	2.3%	0.0%
IV Percentile	9.9%	0.0%	32.9%	4.0%	0.0%
Term Structure	3.5%	-1.2%	5.7%	0.8%	5.7%
VWIV	32.8%	30.6%	39.2%	33.6%	30.9%
Skew 25d	2.8%	1.0%	7.2%	1.0%	7.2%
Skew 10d	8.0%	1.2%	24.5%	3.2%	11.9%
Call IV 25d	32.1%	25.1%	34.5%	34.5%	25.1%
Put IV 25d	34.9%	32.3%	37.1%	35.5%	32.3%
Bid-Ask Spread %	80.90	59.35	93.29	80.49	88.64
Gamma HHI	0.16	0.15	0.20	0.20	0.17
Net GEX	207.2K	-90.3K	501.1K	501.1K	349.8K
Net DEX	-7.4M	-15.4M	-608.1K	-15.4M	-11.7M
Net VEX	-111.6K	-119.4K	-105.1K	-116.6K	-107.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	0.41	6.12	1.29	1.68
Total Volume	2,334.913	1,465	4,522	2,800	1,557
Total OI	25,622.87	22,425	27,541	24,351	25,824

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$32.74	$32.00	31.8%	9.1%	36.6%	2.3%	33.6%	1.0%	0.8%	501.1K	-15.4M	-116.6K	1.29	80.49	N/A	N/A	1,225	1,575	13,695	10,656
2017-03-02	$31.86	$32.00	33.7%	9.7%	37.8%	4.7%	34.1%	1.2%	-1.2%	346.0K	-11.8M	-119.4K	1.39	83.57	N/A	N/A	1,144	1,591	14,364	10,773
2017-03-03	$32.19	$32.00	31.8%	9.1%	37.8%	2.2%	32.4%	2.0%	0.3%	422.6K	-13.3M	-118.8K	1.60	92.61	N/A	N/A	1,077	1,723	14,373	10,842
2017-03-06	$32.27	$30.00	34.1%	9.4%	36.4%	5.2%	32.3%	4.2%	4.3%	397.6K	-13.0M	-117.8K	1.84	67.99	N/A	N/A	997	1,833	14,403	11,072
2017-03-07	$31.83	$30.00	32.9%	9.3%	35.3%	4.2%	32.8%	3.0%	4.4%	294.2K	-11.0M	-116.0K	1.91	71.09	N/A	N/A	960	1,832	14,434	11,090
2017-03-08	$31.15	$30.00	32.6%	9.4%	35.4%	3.8%	33.2%	2.5%	4.0%	160.5K	-7.6M	-114.5K	1.91	73.89	N/A	N/A	936	1,792	14,300	11,088
2017-03-09	$29.67	$30.00	33.9%	9.8%	39.4%	7.8%	32.9%	3.8%	3.0%	-90.3K	-608.1K	-107.4K	0.41	68.90	N/A	N/A	3,215	1,307	14,285	11,137
2017-03-10	$30.21	$30.00	31.8%	9.3%	39.8%	3.5%	32.4%	2.6%	4.5%	112.1K	-4.5M	-115.5K	0.43	59.35	N/A	N/A	2,676	1,158	16,134	11,289
2017-03-13	$30.26	$30.00	36.8%	9.4%	36.8%	13.6%	33.5%	2.8%	4.0%	100.9K	-4.2M	-113.0K	2.09	76.48	N/A	N/A	612	1,282	16,141	11,338
2017-03-14	$30.15	$30.00	37.4%	9.4%	36.8%	14.8%	32.2%	1.9%	3.7%	85.5K	-3.7M	-111.8K	2.22	80.56	N/A	N/A	498	1,104	16,144	11,272
2017-03-15	$31.35	$30.00	32.9%	9.4%	39.8%	5.7%	33.7%	1.9%	2.6%	253.0K	-10.5M	-113.5K	2.09	80.73	N/A	N/A	619	1,295	16,187	11,277
2017-03-16	$30.39	$30.00	32.6%	9.4%	41.0%	5.5%	30.6%	2.9%	4.3%	171.4K	-5.6M	-109.6K	2.31	82.51	N/A	N/A	581	1,341	16,260	11,261
2017-03-17	$31.23	$30.00	31.7%	9.1%	41.9%	3.6%	33.0%	1.7%	4.4%	384.6K	-10.0M	-112.0K	2.88	87.62	N/A	N/A	505	1,453	16,280	11,261
2017-03-20	$30.92	$30.00	31.4%	9.0%	42.0%	2.9%	31.9%	2.3%	5.5%	354.8K	-9.7M	-109.6K	1.92	80.65	N/A	N/A	579	1,110	12,565	9,860
2017-03-21	$29.91	$30.00	33.0%	9.5%	43.4%	6.2%	33.3%	2.0%	3.6%	226.7K	-5.3M	-105.6K	1.15	85.73	N/A	N/A	1,169	1,342	12,613	9,889
2017-03-22	$29.72	$30.00	33.5%	9.6%	42.8%	7.3%	34.0%	3.1%	3.4%	221.9K	-4.2M	-105.1K	6.12	80.36	N/A	N/A	580	3,550	13,161	10,107
2017-03-23	$29.95	$30.00	33.4%	9.6%	39.5%	7.0%	32.6%	3.5%	3.1%	11.7K	-2.8M	-111.9K	2.16	82.19	N/A	N/A	519	1,123	13,208	12,341
2017-03-24	$29.98	$30.00	32.4%	9.3%	39.2%	5.0%	31.1%	3.1%	3.6%	-6.9K	-2.9M	-111.4K	1.63	84.36	N/A	N/A	556	909	13,224	12,409
2017-03-27	$29.64	$30.00	34.6%	9.9%	38.2%	9.6%	39.2%	3.4%	2.4%	-63.4K	-902.1K	-106.8K	1.71	84.41	N/A	N/A	561	958	13,244	12,413
2017-03-28	$29.97	$30.00	33.0%	9.5%	38.5%	6.2%	32.4%	1.7%	4.2%	-20.0K	-2.4M	-105.8K	1.69	86.42	N/A	N/A	590	998	13,215	12,432
2017-03-29	$30.79	$30.00	31.4%	9.0%	35.6%	2.9%	31.6%	1.3%	5.5%	175.0K	-7.3M	-108.4K	1.59	88.87	N/A	N/A	637	1,013	13,267	12,425
2017-03-30	$31.53	$30.00	30.3%	8.7%	35.6%	0.6%	31.4%	5.6%	5.0%	376.8K	-11.1M	-109.4K	1.73	93.29	N/A	N/A	593	1,028	13,337	12,436
2017-03-31	$31.56	$30.00	29.8%	8.5%	35.4%	0.0%	30.9%	7.2%	5.7%	349.8K	-11.7M	-107.0K	1.68	88.64	N/A	N/A	580	977	13,386	12,438