TEX Options History — January 2018

In January 2018, TEX traded between $46.95 and $49.74. ATM implied volatility averaged 31.4%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 11.7% (HV 20d: 19.7%). Max pain ranged from $39.00 to $48.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.64.

Notable Days

  • 2018-01-25: Highest Volume — 10,041 contracts
  • 2018-01-16: Largest IV spike — 14.5% change
  • 2018-01-31: Highest IV Rank — 94.1%
  • 2018-01-31: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.33$46.95$49.74$48.54$46.99
Max Pain$47.14$39.00$48.00$39.00$48.00
ATM IV31.4%25.8%42.6%25.8%42.6%
Expected Move9.1%7.4%12.2%7.4%12.2%
HV 20d19.7%13.2%24.5%23.9%21.1%
HV 60d26.5%25.2%27.6%26.3%25.4%
IV Rank31.1%0.0%94.1%0.0%94.1%
IV Percentile35.0%0.0%99.2%0.0%99.2%
Term Structure0.2%-3.9%2.9%2.3%-3.9%
VWIV32.3%26.6%43.2%27.4%41.7%
Skew 25d5.9%2.6%11.6%6.2%6.4%
Skew 10d12.8%5.5%21.7%15.0%5.8%
Call IV 25d28.7%22.2%39.8%23.8%37.4%
Put IV 25d34.6%28.5%47.4%30.0%43.8%
Bid-Ask Spread %26.8212.8865.1512.8842.03
Gamma HHI0.240.150.460.150.46
Net GEX247.2K-1.5M977.2K623.8K-1.5M
Net DEX-15.6M-31.1M15.3M-26.0M15.3M
Net VEX-40.7K-88.2K-26.5K-32.5K-88.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.3820.270.943.43
Total Volume2,187.1431,02610,0411,0452,418
Total OI18,102.814,57323,74022,25116,452

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$48.54$39.0025.8%7.4%23.9%0.0%27.4%6.2%2.3%623.8K-26.0M-32.5K0.9412.88N/AN/A5395067,30814,943
2018-01-03$48.40$39.0027.5%7.9%23.7%9.4%26.6%5.3%1.5%629.4K-26.0M-31.6K1.0616.84N/AN/A4995277,33314,916
2018-01-04$47.56$48.0025.8%8.2%24.5%0.0%30.3%3.6%1.3%658.0K-23.6M-32.6K1.2325.72N/AN/A4795877,32814,962
2018-01-05$46.95$48.0027.2%8.2%24.4%7.7%27.6%4.5%2.0%621.6K-21.8M-32.8K0.6915.94N/AN/A7605237,35615,055
2018-01-08$47.26$48.0027.3%8.3%24.1%8.1%27.6%6.6%1.6%710.0K-23.2M-32.6K0.6815.60N/AN/A7725227,62815,078
2018-01-09$47.43$48.0027.3%8.4%23.9%8.1%27.7%6.2%0.7%726.5K-23.8M-31.9K0.7418.42N/AN/A7185327,64915,098
2018-01-10$47.52$48.0028.3%8.1%23.7%13.8%29.1%6.5%1.7%733.7K-24.1M-30.7K1.0219.64N/AN/A5555667,65015,120
2018-01-11$48.15$48.0028.1%8.1%23.9%13.0%29.0%8.6%1.8%762.8K-26.2M-30.0K1.0821.53N/AN/A5455867,67915,173
2018-01-12$48.80$48.0026.9%7.7%21.7%5.7%27.4%5.1%2.9%798.3K-28.0M-29.5K0.8119.66N/AN/A6705407,70615,202
2018-01-16$48.67$48.0030.7%8.8%16.4%27.5%30.4%4.6%0.3%803.6K-28.1M-26.5K0.3824.54N/AN/A1,4455507,67015,212
2018-01-17$49.03$48.0030.7%8.8%16.0%27.3%31.3%4.7%0.3%962.2K-29.5M-27.3K0.4428.14N/AN/A1,3075797,90615,285
2018-01-18$48.84$48.0030.6%8.8%13.2%26.6%31.6%2.6%-0.3%977.2K-29.3M-28.9K0.5326.11N/AN/A1,1596158,43515,279
2018-01-19$49.74$48.0029.9%8.6%14.3%22.7%30.3%3.8%-0.0%292.7K-31.1M-27.7K0.4825.57N/AN/A1,3566498,40615,334
2018-01-22$49.31$48.0031.6%9.1%14.5%32.3%31.8%3.5%0.2%309.6K-7.5M-28.7K0.4422.91N/AN/A1,0654733,3181,255
2018-01-23$49.40$48.0031.6%9.0%14.1%32.1%32.3%11.6%1.1%341.8K-8.2M-29.7K0.5214.87N/AN/A9284813,5391,344
2018-01-24$49.15$48.0032.5%9.3%14.0%37.2%33.2%11.3%0.0%363.0K-8.1M-30.9K8.3021.99N/AN/A3933,2633,6681,380
2018-01-25$48.04$48.0036.9%10.6%16.3%62.3%37.3%3.2%-2.8%-20.3K-2.6M-49.2K20.2754.55N/AN/A4729,5693,7414,295
2018-01-26$49.24$48.0036.0%10.3%18.5%57.3%38.9%5.7%-1.9%-1.0M3.6M-73.4K6.3423.57N/AN/A5393,4153,84510,417
2018-01-29$48.08$48.0040.2%11.5%20.4%80.9%43.2%5.6%-2.2%-1.2M8.5M-75.0K2.4165.15N/AN/A6731,6223,93710,511
2018-01-30$47.77$48.0041.1%11.8%20.5%86.0%43.0%7.5%-2.9%-1.3M11.5M-85.3K3.7547.63N/AN/A5332,0004,20411,542
2018-01-31$46.99$48.0042.6%12.2%21.1%94.1%41.7%6.4%-3.9%-1.5M15.3M-88.2K3.4342.03N/AN/A5461,8724,39812,054