TEX Options History — October 2017

In October 2017, TEX traded between $44.85 and $47.21. ATM implied volatility averaged 32.8%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 16.0% (HV 20d: 16.8%). Max pain ranged from $37.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2017-10-31: Highest Volume — 2,436 contracts
  • 2017-10-09: Largest IV spike — 9.6% change
  • 2017-10-31: Highest IV Rank — 24.1%
  • 2017-10-31: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.96$44.85$47.21$45.26$47.21
Max Pain$44.00$37.00$46.00$37.00$46.00
ATM IV32.8%27.2%38.8%28.3%38.8%
Expected Move9.6%7.8%11.1%8.1%11.1%
HV 20d16.8%12.4%25.3%25.3%14.3%
HV 60d24.0%21.7%24.8%24.7%21.7%
IV Rank11.6%0.0%24.1%2.2%24.1%
IV Percentile34.4%0.0%75.8%1.6%75.8%
Term Structure-1.4%-5.8%4.5%4.4%-4.9%
VWIV33.9%28.3%39.1%28.3%39.1%
Skew 25d4.4%3.0%5.8%3.4%4.3%
Skew 10d13.3%5.9%17.7%6.7%6.0%
Call IV 25d31.3%26.3%36.9%26.9%36.9%
Put IV 25d35.7%29.7%41.8%30.3%41.1%
Bid-Ask Spread %20.3312.1628.1016.5322.20
Gamma HHI0.160.150.190.160.15
Net GEX153.9K32.8K237.3K90.0K221.5K
Net DEX-25.1M-30.0M-17.6M-25.0M-23.2M
Net VEX-86.0K-98.9K-74.1K-98.9K-80.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.452.471.200.45
Total Volume1,848.8181,0582,4361,0582,436
Total OI25,173.77320,86127,35926,04823,422

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$45.26$37.0028.3%8.1%25.3%2.2%28.3%3.4%4.4%90.0K-25.0M-98.9K1.2016.53N/AN/A4805789,04717,001
2017-10-03$45.04$37.0028.0%8.0%23.1%1.6%28.8%3.8%4.0%98.9K-24.5M-97.7K1.5812.16N/AN/A4977849,06116,999
2017-10-04$44.85$37.0027.2%7.8%23.4%0.0%28.6%3.0%4.5%102.8K-24.4M-96.6K2.4712.66N/AN/A5671,4019,07716,983
2017-10-05$45.45$44.0027.9%9.4%23.1%1.4%32.5%3.8%-0.0%122.6K-26.3M-93.2K1.8617.98N/AN/A7521,4009,19017,049
2017-10-06$45.67$44.0027.7%9.2%20.4%0.9%32.7%4.3%-0.1%160.4K-27.2M-92.0K1.6217.32N/AN/A7571,2259,31317,062
2017-10-09$45.15$44.0030.3%9.6%21.3%6.4%33.6%4.1%-1.1%200.1K-25.7M-95.1K1.6118.78N/AN/A7381,1879,52417,110
2017-10-10$45.46$44.0030.2%9.7%17.1%6.3%33.7%4.9%-1.8%216.8K-26.8M-91.1K1.8917.67N/AN/A6441,2169,53417,103
2017-10-11$45.81$45.0032.9%9.4%15.6%11.9%33.3%4.2%-1.4%237.3K-28.5M-89.3K1.5215.80N/AN/A8641,3179,55517,121
2017-10-12$45.83$45.0032.7%9.4%15.7%11.5%33.4%3.7%-1.0%172.5K-28.4M-89.4K1.9125.33N/AN/A6621,2669,48417,250
2017-10-13$45.65$45.0032.6%9.3%15.4%11.1%34.2%3.8%-1.0%166.3K-28.0M-88.8K2.1422.60N/AN/A6801,4539,47817,265
2017-10-16$46.39$45.0033.3%9.5%15.0%12.7%34.1%4.8%-1.7%226.6K-30.0M-82.7K1.6425.74N/AN/A8271,3589,52117,464
2017-10-17$46.05$45.0034.1%9.8%15.4%14.3%34.5%4.5%-2.5%230.5K-29.2M-82.0K1.9627.04N/AN/A6691,3099,51617,467
2017-10-18$46.13$45.0033.4%9.6%14.4%12.9%34.4%4.2%-1.6%202.7K-29.4M-80.6K1.5728.10N/AN/A8601,3479,43517,491
2017-10-19$45.75$45.0033.3%9.6%14.3%12.8%34.1%4.8%-2.5%224.4K-28.0M-84.8K1.6322.81N/AN/A8411,3719,62317,558
2017-10-20$45.79$45.0033.7%9.7%13.5%13.5%34.3%5.0%-2.5%32.8K-28.1M-81.7K1.3114.62N/AN/A1,0081,3189,67617,683
2017-10-23$46.02$45.0034.8%10.0%12.4%15.9%34.8%3.9%-2.7%42.7K-17.6M-77.6K0.5522.00N/AN/A1,0525766,70914,152
2017-10-24$46.86$46.0034.8%10.0%13.6%15.8%34.2%4.8%-3.4%108.3K-20.2M-74.1K0.7717.95N/AN/A7345686,99514,248
2017-10-25$46.30$46.0035.8%10.3%13.7%17.9%35.7%5.1%-3.0%114.1K-19.0M-82.2K0.9320.34N/AN/A7466937,27714,339
2017-10-26$46.77$46.0035.8%10.3%14.0%17.9%36.6%5.0%-3.0%140.2K-20.5M-77.4K1.0021.76N/AN/A6726697,49314,536
2017-10-27$47.02$46.0036.6%10.5%13.8%19.7%36.6%5.2%-4.0%143.3K-21.2M-78.4K1.0621.50N/AN/A6466857,62414,708
2017-10-30$46.69$46.0038.4%11.0%14.1%23.4%38.9%5.8%-5.8%130.5K-20.4M-78.4K0.6326.47N/AN/A1,1207017,78714,893
2017-10-31$47.21$46.0038.8%11.1%14.3%24.1%39.1%4.3%-4.9%221.5K-23.2M-80.5K0.4522.20N/AN/A1,6767608,36915,053