TEX Options History — June 2017

In June 2017, TEX traded between $33.60 and $37.79. ATM implied volatility averaged 33.3%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 2.2% (HV 20d: 35.5%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-06-02: Highest Volume — 4,824 contracts
  • 2017-06-12: Largest IV spike — 22.6% change
  • 2017-06-13: Highest IV Rank — 22.4%
  • 2017-06-21: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.48$33.60$37.79$33.88$37.79
Max Pain$31.23$31.00$32.00$32.00$32.00
ATM IV33.3%31.3%39.9%31.3%31.3%
Expected Move9.3%9.0%9.7%9.0%9.0%
HV 20d35.5%32.7%39.5%33.1%37.0%
HV 60d35.8%34.4%36.9%36.9%36.9%
IV Rank7.9%3.3%22.4%3.4%3.3%
IV Percentile23.3%4.8%72.2%4.8%4.8%
Term Structure3.2%0.2%4.7%0.9%4.5%
VWIV33.5%31.9%35.6%32.6%31.9%
Skew 25d3.4%2.1%4.5%3.7%2.1%
Skew 10d6.7%3.9%9.1%6.0%5.0%
Call IV 25d31.9%30.7%32.9%31.1%30.9%
Put IV 25d35.2%33.0%36.7%34.8%33.0%
Bid-Ask Spread %20.0613.3846.1328.7323.16
Gamma HHI0.160.130.240.130.16
Net GEX970.8K536.3K1.4M536.3K1.0M
Net DEX-27.1M-38.9M-17.3M-17.3M-38.9M
Net VEX-82.2K-91.1K-70.7K-87.2K-70.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.271.970.270.74
Total Volume3,031.5911,9954,8244,8213,986
Total OI24,617.86420,65428,42025,71322,921

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$33.88$32.0031.3%9.0%33.1%3.4%32.6%3.7%0.9%536.3K-17.3M-87.2K0.2728.73N/AN/A3,7951,02613,38412,329
2017-06-02$33.64$32.0031.5%9.0%33.2%3.8%33.5%3.1%0.2%572.4K-17.9M-91.1K0.2715.46N/AN/A3,8101,01413,83012,335
2017-06-05$33.60$31.0033.3%9.4%33.2%7.7%33.9%3.5%2.4%588.8K-17.9M-88.3K0.4418.09N/AN/A2,27799513,89212,336
2017-06-06$33.85$31.0033.2%9.4%32.7%7.6%32.8%4.3%2.5%642.6K-19.2M-86.7K0.4213.38N/AN/A2,3601,00013,91212,353
2017-06-07$33.92$31.0034.0%9.2%32.7%9.3%31.9%3.4%2.6%701.2K-19.1M-85.0K0.4317.12N/AN/A2,3601,01313,56612,353
2017-06-08$34.78$31.0033.0%9.1%33.3%7.1%32.3%3.9%2.7%922.0K-24.3M-82.2K0.5128.87N/AN/A2,0321,03313,60712,369
2017-06-09$36.15$31.0032.4%9.5%34.7%5.8%33.0%3.8%2.3%1.1M-32.4M-78.4K0.4621.96N/AN/A2,6801,23613,85112,373
2017-06-12$36.69$31.0039.7%9.5%34.5%22.0%34.2%2.7%2.9%1.2M-36.5M-80.2K0.8517.78N/AN/A1,4671,25414,79512,647
2017-06-13$37.07$31.0039.9%9.4%33.4%22.4%34.0%2.6%2.7%1.2M-38.8M-78.4K1.0117.03N/AN/A1,1571,17114,88712,753
2017-06-14$36.03$31.0033.6%9.6%35.3%8.4%33.5%3.8%3.2%1.4M-33.1M-83.6K0.5046.13N/AN/A3,0421,52414,97912,834
2017-06-15$35.17$31.0033.7%9.7%33.2%8.7%35.6%4.0%4.3%1.4M-26.3M-87.2K1.2617.54N/AN/A1,0501,32015,20913,207
2017-06-16$35.36$31.0033.4%9.6%33.2%8.1%34.2%4.0%3.9%885.7K-27.7M-84.1K1.2117.40N/AN/A1,0681,29615,21313,207
2017-06-19$36.94$31.0032.0%9.2%35.4%5.0%33.3%3.9%3.0%900.3K-32.1M-76.2K1.1415.63N/AN/A1,0631,21013,2817,373
2017-06-20$35.83$31.0032.6%9.3%37.6%6.2%32.6%2.9%4.1%962.0K-27.3M-81.1K0.9316.24N/AN/A1,3601,26213,5487,448
2017-06-21$34.66$31.0033.8%9.7%39.5%8.8%34.9%3.3%3.4%988.8K-21.8M-84.3K1.9717.37N/AN/A6971,37214,0167,516
2017-06-22$34.77$31.0032.7%9.4%39.5%6.5%34.6%3.3%3.9%1.0M-22.0M-84.5K1.9116.32N/AN/A6891,31614,0397,749
2017-06-23$35.31$31.0032.3%9.3%38.4%5.6%33.9%4.5%4.7%1.0M-25.0M-82.6K1.8714.40N/AN/A6941,30114,0687,768
2017-06-26$36.31$31.0033.0%9.4%39.4%7.0%34.6%2.4%3.9%1.1M-30.4M-77.0K1.3419.78N/AN/A1,1951,60214,1007,757
2017-06-27$35.59$31.0033.2%9.5%39.1%7.5%33.7%2.7%4.3%1.1M-26.8M-81.1K1.1519.59N/AN/A1,3971,60114,3088,134
2017-06-28$36.51$32.0031.5%9.0%37.3%3.8%33.0%2.8%4.7%1.1M-30.9M-79.8K1.8918.44N/AN/A8531,61414,2938,341
2017-06-29$36.60$32.0032.3%9.2%35.9%5.5%34.2%3.9%4.0%1.1M-31.3M-78.9K1.6821.01N/AN/A9341,56914,3128,400
2017-06-30$37.79$32.0031.3%9.0%37.0%3.3%31.9%2.1%4.5%1.0M-38.9M-70.7K0.7423.16N/AN/A2,2941,69214,5178,404