TEX Options History — August 2017

In August 2017, TEX traded between $37.48 and $39.39. ATM implied volatility averaged 32.5%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.9% (HV 20d: 26.6%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.48.

Notable Days

  • 2017-08-31: Highest Volume — 7,357 contracts
  • 2017-08-03: Largest IV drop — 14.4% change
  • 2017-08-01: Highest IV Rank — 27.9%
  • 2017-08-01: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.46$37.48$39.39$39.01$38.57
Max Pain$38.04$37.00$39.00$39.00$38.00
ATM IV32.5%28.6%42.4%42.4%28.6%
Expected Move9.3%8.2%12.2%12.2%8.2%
HV 20d26.6%21.8%29.5%21.8%22.9%
HV 60d31.3%29.8%32.7%31.2%30.1%
IV Rank6.4%0.0%27.9%27.9%0.0%
IV Percentile21.2%0.0%93.3%93.3%0.0%
Term Structure0.9%-6.3%2.8%-6.3%2.8%
VWIV32.6%29.5%42.2%42.2%29.5%
Skew 25d3.9%2.9%5.9%4.4%3.6%
Skew 10d8.1%4.8%11.7%10.6%4.8%
Call IV 25d31.2%28.2%40.2%40.2%28.2%
Put IV 25d35.0%31.6%44.6%44.6%31.8%
Bid-Ask Spread %22.4017.4828.5522.2724.49
Gamma HHI0.260.090.730.090.19
Net GEX-26.0K-1.4M543.9K-18.8K536.0K
Net DEX-9.2M-13.7M-1.2M-9.4M-12.5M
Net VEX-58.9K-75.4K-48.9K-66.4K-52.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.480.305.753.371.85
Total Volume3,040.0877787,3575,5627,357
Total OI17,097.95711,61719,82916,37015,020

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$39.01$39.0042.4%12.2%21.8%27.9%42.2%4.4%-6.3%-18.8K-9.4M-66.4K3.3722.27N/AN/A1,2724,2906,9059,465
2017-08-02$37.58$39.0037.5%10.7%25.2%17.0%38.3%3.2%-2.6%-204.6K-1.9M-75.4K2.3227.17N/AN/A1,1962,7718,00911,272
2017-08-03$38.91$38.0032.0%9.3%25.5%5.0%33.0%3.9%1.5%-172.3K-8.9M-72.2K2.1923.45N/AN/A1,3783,0178,12211,286
2017-08-04$39.38$38.0031.9%9.3%25.3%4.7%33.0%3.8%1.3%-59.7K-12.6M-71.4K5.7517.76N/AN/A6943,9908,51011,319
2017-08-07$39.39$38.0033.5%9.4%25.3%8.3%32.8%3.9%0.7%60.4K-13.7M-66.8K5.2019.99N/AN/A7633,9718,39210,906
2017-08-08$39.21$38.0034.2%9.4%24.9%9.8%32.5%3.6%1.1%12.4K-12.5M-65.5K3.5626.36N/AN/A7522,6758,31910,929
2017-08-09$38.67$38.0033.1%9.5%25.5%7.4%33.5%4.9%1.3%-57.7K-9.0M-65.5K3.3919.10N/AN/A7902,6758,35910,947
2017-08-10$38.03$38.0034.3%9.8%25.9%10.1%34.2%3.9%1.0%-137.4K-5.5M-65.9K3.7524.45N/AN/A7112,6678,36810,975
2017-08-11$38.15$38.0034.0%9.7%25.7%9.3%33.9%5.9%0.5%-170.4K-5.3M-64.5K3.4621.32N/AN/A7512,5968,35010,976
2017-08-14$39.23$38.0031.9%9.1%27.6%4.6%32.5%4.0%1.0%40.8K-13.3M-56.9K3.8726.08N/AN/A6662,5798,42210,958
2017-08-15$39.00$38.0032.5%9.3%27.1%6.1%31.3%4.3%0.8%-42.2K-12.3M-55.0K3.0620.19N/AN/A8442,5828,42410,954
2017-08-16$38.69$37.0032.0%9.2%26.5%4.8%31.2%4.7%0.9%-191.4K-10.5M-53.5K3.0819.14N/AN/A8382,5818,60710,957
2017-08-17$37.95$38.0033.9%9.7%27.4%9.2%33.5%4.3%0.1%-898.9K-3.1M-52.9K3.2423.44N/AN/A8302,6888,62310,995
2017-08-18$37.71$38.0031.9%9.1%27.3%4.6%32.3%5.0%1.7%-1.4M-1.2M-50.0K0.9822.37N/AN/A1,1581,1308,62311,035
2017-08-21$37.48$38.0033.3%9.5%26.8%7.7%32.2%3.0%0.7%135.6K-7.9M-48.9K1.8623.61N/AN/A8231,5305,0986,519
2017-08-22$38.75$38.0030.1%8.6%29.5%0.7%31.9%3.3%1.6%184.8K-10.4M-52.5K1.1018.28N/AN/A5195715,5567,710
2017-08-23$38.07$38.0030.8%8.8%29.2%2.2%31.3%3.6%1.3%183.9K-9.3M-53.2K1.1818.60N/AN/A3944645,7327,758
2017-08-24$37.74$38.0030.2%8.7%29.2%1.0%31.1%3.1%2.3%183.7K-8.6M-53.8K1.0817.48N/AN/A4364715,8127,757
2017-08-25$37.98$38.0028.9%8.3%29.4%0.0%29.5%3.1%2.4%208.1K-9.3M-52.8K1.0428.55N/AN/A4354515,8777,774
2017-08-28$37.84$38.0030.4%8.7%28.5%3.4%30.1%2.9%1.7%222.4K-9.0M-52.3K0.3022.87N/AN/A1,2783885,9927,806
2017-08-29$38.48$38.0030.4%8.7%29.1%3.3%29.8%3.5%2.7%483.4K-12.1M-53.6K0.4523.81N/AN/A8073656,9987,863
2017-08-30$38.87$38.0029.1%8.4%25.9%0.6%29.6%3.2%2.6%543.9K-13.3M-53.3K0.9424.52N/AN/A4013777,0897,885
2017-08-31$38.57$38.0028.6%8.2%22.9%0.0%29.5%3.6%2.8%536.0K-12.5M-52.6K1.8524.49N/AN/A2,5844,7737,1397,881