TEX Options History — September 2017

In September 2017, TEX traded between $38.15 and $45.02. ATM implied volatility averaged 30.7%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.3% (HV 20d: 26.4%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 5.17.

Notable Days

  • 2017-09-07: Highest Volume — 7,672 contracts
  • 2017-09-05: Largest IV spike — 25.9% change
  • 2017-09-12: Highest IV Rank — 27.3%
  • 2017-09-05: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.24$38.15$45.02$39.11$45.02
Max Pain$36.25$36.00$38.00$38.00$37.00
ATM IV30.7%27.3%40.7%27.8%27.3%
Expected Move8.6%7.8%9.2%8.0%7.8%
HV 20d26.4%23.1%29.5%23.1%25.4%
HV 60d27.7%24.8%30.0%29.8%24.8%
IV Rank6.2%0.0%27.3%0.0%0.0%
IV Percentile11.5%0.0%84.5%0.0%0.0%
Term Structure3.5%2.5%5.0%2.7%4.3%
VWIV30.7%28.0%33.9%28.7%28.0%
Skew 25d3.8%2.6%4.9%4.2%3.6%
Skew 10d7.9%5.5%10.0%5.5%7.5%
Call IV 25d28.6%25.8%30.2%26.4%25.8%
Put IV 25d32.4%29.4%34.9%30.6%29.4%
Bid-Ask Spread %18.4713.9721.9320.2115.28
Gamma HHI0.160.130.200.140.16
Net GEX306.2K58.7K796.5K558.7K84.2K
Net DEX-20.2M-31.2M-8.9M-13.0M-24.4M
Net VEX-98.5K-116.5K-82.1K-103.4K-99.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.170.6710.941.871.00
Total Volume5,133.41,1767,6727,3301,176
Total OI23,363.4521,02726,02321,61626,023

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$39.11$38.0027.8%8.0%23.1%0.0%28.7%4.2%2.7%558.7K-13.0M-103.4K1.8720.21N/AN/A2,5574,7739,32112,295
2017-09-05$38.20$36.0035.0%9.2%24.5%15.3%33.9%4.8%3.4%431.5K-9.5M-102.1K1.8721.93N/AN/A2,5444,7479,33412,295
2017-09-06$38.27$36.0032.0%9.1%24.5%9.0%32.4%4.4%3.3%481.3K-9.6M-98.2K1.9920.27N/AN/A2,5185,0099,35412,303
2017-09-07$38.15$36.0031.5%9.0%24.1%7.9%32.6%4.9%3.4%478.3K-8.9M-97.3K1.9618.79N/AN/A2,5965,0769,36412,159
2017-09-08$39.62$36.0029.0%8.8%26.9%2.6%31.4%4.4%2.7%740.4K-15.5M-93.7K10.9419.17N/AN/A4645,0749,40512,210
2017-09-11$40.09$36.0033.5%8.9%27.1%12.1%31.8%4.6%3.6%796.5K-18.1M-90.2K10.2314.79N/AN/A4985,0939,46712,222
2017-09-12$41.73$36.0040.7%8.8%28.9%27.3%31.6%3.9%2.9%488.1K-25.1M-83.4K6.0219.15N/AN/A8695,2329,53612,299
2017-09-13$42.72$36.0030.2%8.7%29.5%5.1%31.4%3.0%4.0%302.8K-28.3M-82.1K1.8415.98N/AN/A1,6453,0349,80212,455
2017-09-14$42.84$36.0030.2%8.6%29.2%5.0%31.5%3.4%4.2%364.6K-29.8M-89.3K3.6818.99N/AN/A7972,93610,52612,950
2017-09-15$43.44$36.0030.4%8.7%27.9%5.6%30.8%3.1%3.6%269.4K-31.2M-84.8K3.1716.22N/AN/A9112,88610,43013,012
2017-09-18$44.27$36.0030.8%8.8%27.7%6.4%30.8%3.5%2.8%291.0K-24.4M-83.4K0.6720.08N/AN/A1,0727148,48012,547
2017-09-19$44.35$36.0030.7%8.8%27.3%6.2%30.7%3.5%2.9%304.1K-24.8M-82.2K6.5818.90N/AN/A6584,3308,65212,674
2017-09-20$43.80$36.0030.8%8.8%26.6%6.4%30.7%4.6%2.5%87.4K-20.0M-113.1K6.0220.88N/AN/A7284,3868,70616,237
2017-09-21$43.40$36.0030.4%8.7%25.8%5.5%29.9%3.6%2.7%69.0K-18.7M-113.9K6.4316.54N/AN/A6654,2748,78816,414
2017-09-22$42.95$36.0029.4%8.4%25.9%3.5%29.5%3.6%3.9%58.7K-17.4M-116.5K7.0313.97N/AN/A6354,4618,84916,437
2017-09-25$43.71$36.0029.4%8.4%26.2%3.3%30.6%3.7%3.8%71.9K-19.5M-113.4K8.4120.49N/AN/A5314,4678,84916,655
2017-09-26$43.87$36.0028.6%8.2%25.9%1.7%29.4%2.6%5.0%78.6K-20.3M-110.8K8.7321.36N/AN/A5384,6978,87316,706
2017-09-27$44.60$37.0028.2%8.1%25.9%0.9%29.3%3.4%4.5%79.9K-22.8M-106.2K7.1821.25N/AN/A6264,4978,94016,850
2017-09-28$44.63$37.0028.2%8.1%26.0%1.0%29.3%3.7%4.5%87.9K-22.7M-106.5K7.8615.13N/AN/A5594,3958,96516,885
2017-09-29$45.02$37.0027.3%7.8%25.4%0.0%28.0%3.6%4.3%84.2K-24.4M-99.2K1.0015.28N/AN/A5875899,02716,996