TEX Options History — April 2017

In April 2017, TEX traded between $30.54 and $35.81. ATM implied volatility averaged 36.2%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 1.7% (HV 20d: 34.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.42.

Notable Days

  • 2017-04-20: Highest Volume — 3,811 contracts
  • 2017-04-12: Largest IV spike — 25.6% change
  • 2017-04-17: Highest IV Rank — 23.4%
  • 2017-04-17: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.70$30.54$35.81$30.54$35.12
Max Pain$31.47$30.00$35.00$30.00$35.00
ATM IV36.2%30.2%41.0%32.3%39.4%
Expected Move10.7%8.8%11.8%9.3%11.3%
HV 20d34.4%29.7%39.3%37.1%39.1%
HV 60d35.3%34.2%38.0%34.2%37.2%
IV Rank13.3%0.9%23.4%5.3%20.0%
IV Percentile35.5%0.8%68.7%8.7%59.9%
Term Structure-1.3%-4.4%7.3%4.2%-3.7%
VWIV38.7%30.3%43.5%30.3%40.5%
Skew 25d3.7%-1.2%5.7%2.8%5.0%
Skew 10d11.7%4.1%26.1%8.0%10.1%
Call IV 25d36.5%30.5%39.2%30.9%37.6%
Put IV 25d40.2%33.1%43.3%33.7%42.5%
Bid-Ask Spread %67.8753.69111.7196.0373.38
Gamma HHI0.210.160.380.180.16
Net GEX627.0K115.0K1.6M115.0K414.9K
Net DEX-16.5M-23.4M-6.2M-6.4M-20.0M
Net VEX-93.1K-102.0K-82.5K-102.0K-92.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.302.741.951.10
Total Volume2,150.5261,3893,8111,5481,770
Total OI24,306.47415,63927,35025,83119,132

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$30.54$30.0032.3%9.3%37.1%5.3%30.3%2.8%4.2%115.0K-6.4M-102.0K1.9596.03N/AN/A5241,02413,39312,438
2017-04-04$30.64$30.0031.1%8.9%36.9%2.8%43.5%2.5%4.6%166.5K-6.2M-99.5K2.27105.38N/AN/A4531,03013,40012,461
2017-04-05$31.11$30.0030.8%8.8%36.6%2.1%34.4%-1.2%7.3%300.7K-9.4M-101.1K1.33111.71N/AN/A8521,13113,42612,461
2017-04-06$32.37$31.0030.2%10.5%34.4%0.9%36.5%4.1%-0.8%634.8K-17.5M-100.7K1.2364.63N/AN/A9141,12813,51212,491
2017-04-07$32.46$31.0030.3%10.7%34.1%1.0%36.9%1.3%-1.1%740.5K-19.0M-99.6K1.0759.18N/AN/A91598113,70412,600
2017-04-10$32.88$31.0031.7%10.6%34.2%3.9%37.2%3.9%-0.4%848.5K-22.1M-96.2K1.1066.20N/AN/A83091213,88212,608
2017-04-11$32.89$31.0030.9%10.6%34.1%2.4%36.7%5.0%-1.3%711.4K-20.7M-98.7K1.4759.21N/AN/A63393113,96912,600
2017-04-12$31.73$31.0038.8%11.1%34.4%18.8%40.5%4.7%-2.1%708.3K-14.6M-95.6K1.7261.43N/AN/A6351,09113,94712,624
2017-04-13$31.19$31.0039.1%11.2%33.0%19.3%38.7%5.0%-2.3%458.7K-10.4M-93.4K1.1459.31N/AN/A87899713,96712,832
2017-04-17$31.08$31.0041.0%11.8%31.6%23.4%40.9%3.7%-4.4%521.6K-10.3M-89.7K1.4358.65N/AN/A7021,00514,20312,927
2017-04-18$31.81$31.0040.7%11.7%32.4%22.7%40.6%4.9%-4.1%1.1M-15.0M-89.4K1.6863.42N/AN/A51887114,23712,988
2017-04-19$32.07$31.0039.1%11.2%29.8%19.5%39.2%3.6%-2.8%1.5M-17.7M-88.3K1.1456.96N/AN/A73984314,23812,940
2017-04-20$32.52$31.0038.7%11.1%29.7%18.5%40.1%5.7%-2.1%1.6M-21.2M-87.7K0.3055.57N/AN/A2,92388814,40412,946
2017-04-21$32.54$31.0038.9%11.2%29.7%19.0%40.0%5.4%-2.5%355.1K-21.2M-85.1K0.7664.37N/AN/A1,27097014,20112,980
2017-04-24$33.12$31.0038.4%11.0%30.1%17.8%38.1%1.6%-2.9%403.9K-14.0M-84.8K0.5455.15N/AN/A1,6378819,6246,015
2017-04-25$35.81$31.0038.7%11.1%39.1%18.6%40.4%5.2%-3.0%516.0K-23.4M-82.5K1.6053.69N/AN/A1,4342,30110,4386,088
2017-04-26$35.69$35.0038.5%11.0%39.3%18.2%39.7%2.4%-3.2%418.9K-22.4M-91.2K2.4860.27N/AN/A9352,31711,2857,696
2017-04-27$35.65$35.0038.6%11.1%38.9%18.3%40.3%4.3%-3.2%411.1K-22.1M-91.7K2.7465.03N/AN/A8012,19611,4297,737
2017-04-28$35.12$35.0039.4%11.3%39.1%20.0%40.5%5.0%-3.7%414.9K-20.0M-92.0K1.1073.38N/AN/A84392711,4367,696