TEX Options History — November 2017

In November 2017, TEX traded between $42.60 and $46.80. ATM implied volatility averaged 28.7%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.4% (HV 20d: 31.1%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2017-11-06: Highest Volume — 3,990 contracts
  • 2017-11-06: Largest IV spike — 16.7% change
  • 2017-11-09: Highest IV Rank — 9.3%
  • 2017-11-09: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.14$42.60$46.80$44.71$46.71
Max Pain$46.05$46.00$47.00$46.00$46.00
ATM IV28.7%26.0%30.6%30.1%28.9%
Expected Move8.2%7.6%8.8%8.6%8.3%
HV 20d31.1%24.6%36.3%24.7%30.2%
HV 60d25.7%23.9%26.8%24.7%26.4%
IV Rank5.2%0.0%9.3%6.0%5.8%
IV Percentile6.1%0.0%14.3%7.1%8.3%
Term Structure0.3%-1.6%1.2%0.1%-0.2%
VWIV28.7%26.3%31.7%31.7%29.1%
Skew 25d3.4%0.8%4.6%3.1%0.8%
Skew 10d10.6%5.5%20.3%9.8%6.0%
Call IV 25d27.7%25.6%30.5%30.5%28.7%
Put IV 25d31.1%29.0%33.5%33.5%29.6%
Bid-Ask Spread %23.4713.8045.8431.0845.84
Gamma HHI0.160.130.210.140.15
Net GEX393.9K-202.8K1.0M229.8K376.7K
Net DEX-14.5M-25.2M-2.5M-14.1M-19.7M
Net VEX-67.2K-88.0K-46.9K-88.0K-46.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.241.410.400.52
Total Volume1,595.2869343,9902,2571,252
Total OI23,873.28619,89326,60224,75120,892

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$44.71$46.0030.1%8.6%24.7%6.0%31.7%3.1%0.1%229.8K-14.1M-88.0K0.4031.08N/AN/A1,6146439,55415,197
2017-11-02$45.26$47.0027.7%8.3%24.6%0.9%28.6%3.3%0.2%349.8K-16.6M-85.4K1.4117.17N/AN/A6108619,77215,306
2017-11-03$46.10$46.0026.0%7.8%25.4%0.0%27.3%4.2%0.9%490.6K-20.6M-80.5K0.8315.73N/AN/A1,0178429,71615,069
2017-11-06$46.63$46.0030.4%8.0%25.3%8.9%28.2%2.8%0.4%555.3K-23.2M-73.7K0.3827.42N/AN/A2,8851,1059,74915,028
2017-11-07$46.80$46.0029.3%7.9%25.3%6.6%28.8%4.4%0.2%1.0M-25.2M-75.0K0.5613.80N/AN/A1,28272110,60915,065
2017-11-08$45.08$46.0029.6%8.5%28.6%7.4%29.0%3.6%-0.0%683.8K-15.2M-77.0K0.2428.63N/AN/A2,81967910,14815,098
2017-11-09$44.28$46.0030.6%8.8%29.3%9.3%29.6%3.8%-0.1%834.4K-12.5M-79.0K0.4418.30N/AN/A1,52266611,46615,126
2017-11-10$44.53$46.0030.1%8.6%29.4%8.3%30.1%3.2%0.0%910.5K-12.3M-78.2K0.9821.80N/AN/A57556411,25515,115
2017-11-13$44.65$46.0029.4%8.4%28.7%6.9%29.7%4.3%0.9%1.0M-12.4M-71.5K0.9828.06N/AN/A61059511,34015,142
2017-11-14$42.79$46.0030.3%8.7%32.1%8.6%30.1%3.6%0.3%48.7K-4.0M-74.1K0.9019.19N/AN/A67761111,39415,175
2017-11-15$42.60$46.0030.2%8.7%32.0%8.6%30.3%3.6%0.2%-202.8K-2.5M-71.9K0.8018.02N/AN/A72758211,32715,201
2017-11-16$44.04$46.0028.0%8.0%34.6%4.0%26.3%3.3%0.2%80.9K-7.6M-66.6K0.8921.78N/AN/A67559811,36015,198
2017-11-17$44.82$46.0027.4%7.9%35.3%2.8%28.4%3.1%1.2%43.1K-10.1M-60.2K0.8016.24N/AN/A69155111,41215,190
2017-11-20$45.63$46.0027.3%7.8%35.8%2.5%27.3%2.9%1.1%103.9K-14.6M-54.9K0.3623.68N/AN/A1,1334135,75714,136
2017-11-21$45.09$46.0027.8%8.0%35.4%3.7%27.9%2.9%0.9%207.6K-14.3M-58.0K0.7422.30N/AN/A6024446,34214,199
2017-11-22$45.26$46.0026.7%7.6%35.2%1.3%26.7%3.9%1.2%262.8K-14.9M-57.3K0.8222.47N/AN/A5424466,47214,246
2017-11-24$45.57$46.0026.8%7.7%35.1%1.5%27.1%3.2%0.7%288.0K-15.9M-55.9K0.8028.75N/AN/A5484416,52014,276
2017-11-27$45.34$46.0028.0%8.0%35.0%4.1%28.7%3.2%-0.4%292.3K-15.4M-53.6K0.8024.99N/AN/A5294216,51014,279
2017-11-28$45.40$46.0027.9%8.0%35.0%3.7%28.3%3.8%0.2%300.1K-15.3M-54.3K0.9020.12N/AN/A4914436,56414,293
2017-11-29$46.70$46.0029.9%8.6%36.3%7.8%29.9%4.6%-1.6%330.2K-19.1M-49.9K0.8227.39N/AN/A5894856,53114,310
2017-11-30$46.71$46.0028.9%8.3%30.2%5.8%29.1%0.8%-0.2%376.7K-19.7M-46.9K0.5245.84N/AN/A8244286,57614,316