TEX Options History — July 2017

In July 2017, TEX traded between $36.67 and $39.31. ATM implied volatility averaged 36.4%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 4.6% (HV 20d: 31.7%). Max pain ranged from $32.00 to $39.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.90.

Notable Days

  • 2017-07-28: Highest Volume — 4,112 contracts
  • 2017-07-12: Largest IV spike — 11.6% change
  • 2017-07-31: Highest IV Rank — 20.6%
  • 2017-07-31: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.28$36.67$39.31$37.18$39.31
Max Pain$36.20$32.00$39.00$32.00$39.00
ATM IV36.4%33.8%39.1%34.1%39.1%
Expected Move10.6%9.7%11.2%9.8%11.2%
HV 20d31.7%22.5%40.1%37.7%22.5%
HV 60d34.6%31.0%37.1%36.3%31.2%
IV Rank14.6%8.8%20.6%9.7%20.6%
IV Percentile52.8%34.5%72.6%36.9%72.6%
Term Structure-0.7%-3.7%3.4%3.3%-3.7%
VWIV38.6%35.3%41.9%35.3%39.9%
Skew 25d4.0%2.3%5.7%2.3%5.1%
Skew 10d8.1%-2.2%11.6%4.5%8.6%
Call IV 25d35.9%33.6%37.3%33.6%37.3%
Put IV 25d40.0%35.9%42.7%35.9%42.4%
Bid-Ask Spread %27.5718.7263.0329.9422.27
Gamma HHI0.160.090.250.150.09
Net GEX586.8K-35.5K1.1M955.1K-35.5K
Net DEX-31.5M-45.7M-8.5M-35.8M-10.4M
Net VEX-58.8K-70.9K-49.0K-70.9K-65.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.574.561.033.47
Total Volume2,387.91,2414,1122,9504,003
Total OI20,323.411,52724,91722,73416,217

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$37.18$32.0034.1%9.8%37.7%9.7%35.3%2.3%3.3%955.1K-35.8M-70.9K1.0329.94N/AN/A1,4531,49714,1928,542
2017-07-05$37.81$32.0033.8%9.7%38.0%8.8%36.9%3.0%3.4%955.9K-38.1M-66.3K2.2963.03N/AN/A6531,49714,2118,551
2017-07-06$36.67$35.0035.0%10.8%40.1%11.5%38.9%4.9%-1.2%1.1M-33.0M-69.4K2.3035.70N/AN/A6421,47514,2288,551
2017-07-07$37.25$35.0034.3%11.0%39.5%10.0%39.6%5.7%-0.8%1.0M-35.6M-67.7K2.1944.36N/AN/A6851,49714,2528,558
2017-07-10$37.26$34.0035.2%10.9%37.3%12.0%40.5%4.6%-0.5%1.1M-36.3M-64.4K2.0925.89N/AN/A7171,49514,3248,576
2017-07-11$37.87$34.0033.8%10.7%37.4%8.9%41.9%3.8%0.3%977.3K-40.0M-59.8K2.0225.90N/AN/A6971,41014,3418,617
2017-07-12$38.06$34.0037.8%10.8%37.2%17.6%39.6%3.3%-0.0%941.7K-41.3M-57.2K2.1326.17N/AN/A7151,52414,3208,636
2017-07-13$38.46$35.0036.9%10.6%35.6%15.7%40.0%3.3%-0.2%834.3K-43.2M-53.9K1.9221.65N/AN/A7031,35114,3788,733
2017-07-14$38.82$35.0036.6%10.5%34.2%15.0%39.8%2.8%0.3%726.0K-44.8M-52.4K1.8625.15N/AN/A7401,37314,3528,930
2017-07-17$38.80$35.0036.1%10.3%34.2%13.9%39.5%3.5%-0.2%768.7K-45.0M-50.9K1.7822.42N/AN/A7851,39514,4498,945
2017-07-18$38.19$35.0036.6%10.5%31.7%15.1%36.9%3.8%-0.1%865.8K-43.1M-50.8K2.0425.15N/AN/A7401,51114,4488,923
2017-07-19$38.87$38.0035.9%10.3%29.7%13.4%37.3%4.5%-0.7%618.0K-45.7M-49.7K2.1019.37N/AN/A7201,50914,4829,231
2017-07-20$38.73$38.0037.1%10.6%26.5%16.1%38.3%4.7%-0.7%566.0K-45.6M-49.0K1.9821.92N/AN/A1,1652,30514,4629,241
2017-07-21$38.42$39.0037.5%10.7%26.9%17.0%37.3%4.3%-0.7%58.1K-44.0M-53.8K1.3922.21N/AN/A1,2751,77714,83210,085
2017-07-24$38.94$38.0037.1%10.6%26.8%16.2%37.8%4.1%-1.9%115.1K-11.1M-53.9K0.8923.12N/AN/A1,1651,0335,8355,692
2017-07-25$39.20$39.0037.7%10.8%25.4%17.6%37.7%4.2%-2.2%29.1K-10.6M-59.4K0.5722.71N/AN/A8504886,3696,729
2017-07-26$38.40$39.0038.4%11.0%25.5%19.0%38.5%4.0%-3.3%50.1K-8.5M-59.8K0.6635.35N/AN/A9376236,5196,740
2017-07-27$38.68$39.0037.2%10.7%24.2%16.5%36.7%4.4%-2.4%66.8K-9.3M-60.6K0.7120.28N/AN/A7245176,6706,796
2017-07-28$38.60$39.0037.7%10.8%24.3%17.5%38.6%4.5%-2.6%68.6K-9.2M-59.9K4.5618.72N/AN/A7393,3736,6976,814
2017-07-31$39.31$39.0039.1%11.2%22.5%20.6%39.9%5.1%-3.7%-35.5K-10.4M-65.3K3.4722.27N/AN/A8963,1076,7709,447