TEX Options History — May 2017

In May 2017, TEX traded between $32.01 and $35.13. ATM implied volatility averaged 33.9%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 3.6% (HV 20d: 37.5%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2017-05-18: Highest Volume — 8,055 contracts
  • 2017-05-03: Largest IV drop — 15.2% change
  • 2017-05-02: Highest IV Rank — 24.3%
  • 2017-05-02: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.21$32.01$35.13$35.13$32.80
Max Pain$32.73$32.00$35.00$35.00$32.00
ATM IV33.9%31.2%41.5%40.1%33.4%
Expected Move9.7%9.0%11.9%11.5%9.6%
HV 20d37.5%30.0%41.6%39.1%35.2%
HV 60d36.9%35.3%38.1%37.1%36.5%
IV Rank8.9%3.2%24.3%21.4%8.1%
IV Percentile22.8%4.4%76.2%64.7%23.0%
Term Structure-0.1%-5.6%1.8%-4.6%0.5%
VWIV34.6%28.4%41.7%40.8%39.0%
Skew 25d3.6%2.5%5.0%3.5%3.8%
Skew 10d8.4%4.1%22.3%15.2%7.8%
Call IV 25d32.8%30.3%41.6%39.6%33.1%
Put IV 25d36.4%33.5%46.5%43.1%36.9%
Bid-Ask Spread %43.4821.3982.8871.1633.95
Gamma HHI0.140.120.160.160.13
Net GEX356.6K91.7K553.2K422.4K191.2K
Net DEX-10.4M-20.4M-3.2M-20.4M-10.5M
Net VEX-90.7K-97.6K-86.5K-90.6K-87.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.574.061.751.14
Total Volume3,303.4091,7708,0551,7762,861
Total OI23,274.63619,32428,99919,32425,310

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$35.13$35.0040.1%11.5%39.1%21.4%40.8%3.5%-4.6%422.4K-20.4M-90.6K1.7571.16N/AN/A6471,12911,5457,779
2017-05-02$34.77$35.0041.5%11.9%37.0%24.3%41.7%5.0%-5.6%419.4K-18.9M-90.5K4.0671.76N/AN/A8563,47511,5837,743
2017-05-03$33.16$35.0035.2%10.1%41.6%11.2%40.8%4.0%-0.8%282.6K-9.4M-93.1K1.1582.88N/AN/A9291,06411,5608,834
2017-05-04$33.31$35.0034.2%9.8%41.4%9.1%34.1%4.1%-0.1%280.5K-9.9M-92.6K1.0053.53N/AN/A91090711,7248,934
2017-05-05$33.26$34.0033.1%9.5%39.1%6.8%33.2%4.4%0.8%313.4K-9.7M-91.1K0.9859.51N/AN/A89587511,7678,987
2017-05-08$32.72$34.0033.7%9.5%39.6%8.1%33.5%2.9%0.0%328.6K-6.8M-88.5K0.7841.77N/AN/A1,25197711,7719,006
2017-05-09$32.78$32.0033.7%9.2%39.4%8.1%32.8%3.6%0.6%365.2K-7.4M-89.5K0.8945.78N/AN/A1,10698812,0959,144
2017-05-10$33.36$32.0032.1%9.2%39.9%5.2%33.3%3.5%0.4%365.6K-10.2M-88.8K0.5734.39N/AN/A1,70697412,1109,132
2017-05-11$32.73$32.0032.6%9.4%38.2%6.3%34.8%3.4%0.2%427.6K-7.1M-86.5K0.9839.15N/AN/A2,0662,02612,3619,160
2017-05-12$32.50$32.0032.9%9.4%37.7%6.9%34.8%3.1%0.1%449.5K-6.3M-90.1K0.6172.53N/AN/A2,5721,56713,33110,261
2017-05-15$33.48$32.0032.7%9.4%38.9%6.6%32.9%3.2%0.3%491.6K-11.2M-89.5K0.6824.94N/AN/A2,3541,59613,85610,762
2017-05-16$33.29$32.0032.3%9.3%38.3%5.5%30.2%2.5%0.9%553.2K-10.1M-89.4K0.6521.39N/AN/A2,4181,58113,92810,796
2017-05-17$32.01$32.0034.4%9.9%41.0%10.2%35.8%4.3%-0.3%486.7K-3.6M-87.1K0.7542.29N/AN/A2,2371,66813,95510,931
2017-05-18$32.01$32.0035.7%10.2%40.6%13.2%36.0%4.3%-0.2%487.1K-3.2M-86.5K2.5128.99N/AN/A2,2975,75813,93810,885
2017-05-19$32.75$32.0034.6%9.9%41.5%10.6%35.5%4.0%0.6%91.7K-3.8M-97.6K0.7827.68N/AN/A2,3291,81414,20514,794
2017-05-22$33.20$32.0033.5%9.6%41.3%8.3%33.7%3.8%0.1%177.3K-11.7M-94.7K0.6526.07N/AN/A2,5691,67511,89412,121
2017-05-23$33.69$32.0032.1%9.2%30.0%5.2%33.7%2.9%1.8%372.7K-15.1M-94.4K0.8360.05N/AN/A1,9081,58712,70712,152
2017-05-24$33.74$32.0032.1%9.2%30.1%5.1%32.5%3.5%1.3%397.3K-15.4M-95.1K0.9136.72N/AN/A1,7321,57512,94012,271
2017-05-25$32.86$32.0032.4%9.3%31.2%5.9%33.5%3.2%1.0%208.2K-10.8M-93.6K0.9024.82N/AN/A1,7231,55412,95312,283
2017-05-26$32.98$32.0031.2%9.0%31.0%3.2%31.1%3.2%0.8%242.9K-11.4M-92.0K2.2531.36N/AN/A7021,57612,97612,288
2017-05-30$33.98$32.0032.4%9.3%33.2%5.7%28.4%3.2%-0.2%490.6K-16.6M-87.0K2.2025.77N/AN/A7011,54012,96212,308
2017-05-31$32.80$32.0033.4%9.6%35.2%8.1%39.0%3.8%0.5%191.2K-10.5M-87.7K1.1433.95N/AN/A1,3341,52713,00212,308