TEX Options History — December 2017

In December 2017, TEX traded between $45.33 and $48.62. ATM implied volatility averaged 29.2%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.8% (HV 20d: 27.4%). Max pain ranged from $38.00 to $46.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2017-12-12: Highest Volume — 3,713 contracts
  • 2017-12-11: Largest IV spike — 30.6% change
  • 2017-12-11: Highest IV Rank — 19.4%
  • 2017-12-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.07$45.33$48.62$45.82$48.30
Max Pain$38.60$38.00$46.00$46.00$39.00
ATM IV29.2%25.9%35.5%31.3%26.4%
Expected Move8.0%7.4%9.0%9.0%7.6%
HV 20d27.4%23.8%30.9%30.9%25.1%
HV 60d25.8%24.3%26.8%26.8%26.4%
IV Rank8.8%0.0%19.4%10.7%2.7%
IV Percentile16.9%0.0%67.1%23.8%1.2%
Term Structure2.5%-0.7%3.7%-0.7%3.1%
VWIV28.4%26.8%30.3%30.3%27.3%
Skew 25d4.7%3.5%7.3%4.9%6.2%
Skew 10d13.5%6.3%16.3%9.9%13.7%
Call IV 25d25.5%21.8%29.6%29.6%22.3%
Put IV 25d30.2%28.5%34.5%34.5%28.5%
Bid-Ask Spread %16.7911.2841.4326.5114.84
Gamma HHI0.170.140.440.150.14
Net GEX624.1K338.5K1.8M392.8K591.0K
Net DEX-21.1M-31.4M-4.8M-17.5M-25.6M
Net VEX-43.1K-53.2K-33.3K-51.5K-34.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.212.040.520.89
Total Volume1,548.359753,7131,297984
Total OI22,376.6520,66826,60521,17622,233

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$45.82$46.0031.3%9.0%30.9%10.7%30.3%4.9%-0.7%392.8K-17.5M-51.5K0.5226.51N/AN/A8564416,86814,308
2017-12-04$46.35$38.0035.0%8.4%30.5%18.2%30.3%3.5%3.1%435.2K-19.2M-50.7K0.5522.85N/AN/A7984406,94714,332
2017-12-05$45.99$38.0031.6%8.3%30.3%11.4%28.0%5.0%2.9%458.3K-18.0M-51.2K0.3915.06N/AN/A8993497,09814,372
2017-12-06$45.33$38.0033.2%8.6%30.6%14.5%28.6%4.0%2.8%493.1K-16.8M-53.2K0.4115.01N/AN/A8973667,52614,381
2017-12-07$45.89$38.0028.9%8.0%27.9%5.9%27.6%3.9%3.5%584.6K-18.5M-51.8K0.4315.02N/AN/A9964257,57714,424
2017-12-08$46.41$38.0027.2%7.9%27.2%2.4%29.0%3.8%3.7%687.1K-20.5M-49.6K0.7813.95N/AN/A5744467,65014,447
2017-12-11$46.84$38.0035.5%7.9%27.3%19.4%28.4%4.0%2.5%723.4K-22.4M-45.2K0.2141.43N/AN/A2,3885067,66914,548
2017-12-12$46.53$38.0035.1%7.9%27.5%18.5%28.7%4.3%3.4%1.4M-23.1M-46.2K0.5112.28N/AN/A2,4641,2499,20214,635
2017-12-13$48.00$38.0026.8%7.7%23.8%2.5%27.9%6.7%3.7%1.8M-31.4M-40.5K1.7121.02N/AN/A9381,6029,20815,341
2017-12-14$46.23$38.0028.2%8.1%28.2%12.4%29.0%4.3%2.4%527.4K-14.9M-45.7K2.0419.96N/AN/A7581,5469,14516,369
2017-12-15$45.87$38.0028.1%8.1%26.2%11.8%28.9%3.7%3.5%338.5K-4.8M-45.0K0.8416.91N/AN/A6145159,23217,373
2017-12-18$47.20$38.0028.2%8.1%27.4%12.0%27.9%3.9%1.9%400.0K-20.7M-38.9K0.3514.65N/AN/A1,1344006,45414,214
2017-12-19$47.06$38.0027.6%7.9%26.8%8.9%29.3%3.5%2.4%509.1K-21.4M-40.0K0.8113.45N/AN/A5404406,84014,236
2017-12-20$47.54$38.0027.3%7.8%26.5%7.0%29.4%4.6%1.8%536.8K-22.7M-38.2K1.4911.64N/AN/A6299406,85314,291
2017-12-21$48.07$38.0026.8%7.7%26.7%4.2%26.8%6.1%1.7%466.6K-23.9M-39.7K0.7513.76N/AN/A6054536,97414,806
2017-12-22$48.50$38.0026.3%7.5%26.7%1.5%27.3%3.9%2.5%518.4K-25.2M-37.2K0.8012.23N/AN/A5434327,07414,840
2017-12-26$48.38$39.0027.1%7.8%26.6%6.2%28.2%3.9%1.7%539.0K-25.1M-34.4K0.6612.38N/AN/A6644377,07214,855
2017-12-27$48.62$39.0025.9%7.4%26.6%0.0%27.1%7.3%2.0%543.5K-25.7M-33.3K0.3711.28N/AN/A1,2274587,08514,888
2017-12-28$48.47$39.0027.1%7.8%25.0%6.6%27.5%6.8%1.9%567.2K-25.6M-34.8K0.8311.58N/AN/A5554597,25314,913
2017-12-29$48.30$39.0026.4%7.6%25.1%2.7%27.3%6.2%3.1%591.0K-25.6M-34.8K0.8914.84N/AN/A5204647,32014,913