TEX Options History — March 2018

In March 2018, TEX traded between $35.88 and $40.99. ATM implied volatility averaged 38.3%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 1.0% (HV 20d: 39.3%). Max pain ranged from $38.00 to $47.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.95.

Notable Days

  • 2018-03-09: Highest Volume — 8,263 contracts
  • 2018-03-12: Largest IV spike — 29.0% change
  • 2018-03-12: Highest IV Rank — 53.2%
  • 2018-03-23: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.71$35.88$40.99$39.98$37.48
Max Pain$40.48$38.00$47.00$47.00$38.00
ATM IV38.3%33.5%44.8%39.0%38.9%
Expected Move10.6%9.6%11.7%11.2%11.1%
HV 20d39.3%31.9%43.1%42.6%35.4%
HV 60d32.1%30.7%33.9%31.0%33.9%
IV Rank35.0%21.4%53.2%36.8%36.4%
IV Percentile83.1%57.9%98.0%90.5%85.7%
Term Structure0.5%-2.6%2.2%-2.0%2.1%
VWIV35.5%33.0%38.5%37.7%35.6%
Skew 25d5.7%3.5%8.4%5.9%4.9%
Skew 10d12.4%5.0%19.2%5.0%13.6%
Call IV 25d34.4%30.8%38.0%35.6%35.7%
Put IV 25d40.1%35.9%44.8%41.5%40.6%
Bid-Ask Spread %24.0516.1936.8836.8828.86
Gamma HHI0.190.120.290.230.16
Net GEX240.4K-200.2K463.8K-200.2K372.1K
Net DEX6.9M-2.1M21.1M19.3M338.2K
Net VEX-40.8K-49.0K-32.1K-34.7K-38.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.135.681.390.17
Total Volume4,207.7621,4458,2632,0774,062
Total OI14,417.38111,77316,54212,43814,102

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$39.98$47.0039.0%11.2%42.6%36.8%37.7%5.9%-2.0%-200.2K19.3M-34.7K1.3936.88N/AN/A8691,2085,2807,158
2018-03-02$39.15$47.0039.3%11.3%42.7%37.7%38.5%8.4%-2.6%-99.2K21.1M-32.1K0.4924.58N/AN/A2,9071,4325,6707,549
2018-03-05$39.46$41.0040.6%10.7%41.5%41.3%35.7%6.5%-0.2%181.6K18.1M-40.7K1.4025.76N/AN/A1,1081,5477,4178,130
2018-03-06$40.42$41.0039.5%10.6%41.7%38.2%36.6%6.4%-0.1%114.1K15.7M-45.1K2.6729.47N/AN/A1,7274,6067,5918,300
2018-03-07$39.19$40.0040.2%11.1%42.6%40.1%36.8%5.8%-0.4%247.0K8.9M-43.1K2.6327.86N/AN/A1,4863,9038,2146,154
2018-03-08$39.81$40.0038.0%10.1%43.1%34.1%34.5%4.9%1.1%315.3K7.2M-44.7K3.7329.73N/AN/A1,0633,9648,2886,301
2018-03-09$40.99$40.0034.8%9.9%42.8%25.0%33.0%5.0%0.2%366.2K2.1M-47.9K0.9617.95N/AN/A4,2104,0538,4546,135
2018-03-12$39.95$40.0044.8%10.3%43.0%53.2%35.3%4.9%-0.1%305.2K5.7M-49.0K5.6820.22N/AN/A7404,2019,7176,225
2018-03-13$39.76$40.0044.4%10.0%42.3%52.1%35.4%5.2%0.6%229.6K6.8M-48.3K4.3222.01N/AN/A9904,2779,7446,476
2018-03-14$38.99$40.0035.1%10.1%42.7%25.9%34.7%4.9%0.8%144.1K9.5M-43.8K5.0319.38N/AN/A8414,2299,9866,556
2018-03-15$38.83$40.0034.6%9.9%41.7%24.4%34.5%5.0%1.2%259.3K9.1M-41.8K4.9818.61N/AN/A8104,03210,1206,188
2018-03-16$38.95$40.0033.5%9.6%39.7%21.4%33.0%5.4%1.7%360.1K9.4M-41.1K4.2821.02N/AN/A8733,74010,1626,232
2018-03-19$38.76$40.0035.3%10.1%35.9%26.5%34.8%5.5%0.5%340.7K71.8K-39.4K1.0823.11N/AN/A6957508,5303,243
2018-03-20$38.81$40.0034.8%10.0%33.9%25.0%33.6%4.7%1.4%351.3K-386.8K-40.8K0.2716.19N/AN/A2,7857488,6713,394
2018-03-21$38.99$40.0033.6%9.6%31.9%21.7%33.2%3.5%2.2%463.8K-2.1M-44.3K0.3524.51N/AN/A3,2811,1379,0593,387
2018-03-22$36.89$40.0038.2%10.9%36.3%34.6%35.8%5.3%0.7%260.2K3.1M-37.9K0.4223.92N/AN/A1,68771110,1453,889
2018-03-23$35.88$40.0040.9%11.7%35.5%42.1%36.9%7.1%0.3%169.8K4.5M-33.9K0.3821.83N/AN/A1,60460810,3903,814
2018-03-26$37.01$40.0039.5%11.3%37.6%38.2%36.2%6.8%0.0%306.9K2.2M-37.6K0.1320.30N/AN/A4,51259310,4983,782
2018-03-27$36.96$38.0040.0%11.5%37.2%39.7%37.4%7.3%0.6%291.0K1.9M-36.6K0.1835.61N/AN/A3,54662710,0093,820
2018-03-28$36.64$38.0040.2%11.5%36.2%40.2%36.7%6.8%2.0%269.9K2.3M-36.0K0.4017.14N/AN/A1,57662510,1493,836
2018-03-29$37.48$38.0038.9%11.1%35.4%36.4%35.6%4.9%2.1%372.1K338.2K-38.7K0.1728.86N/AN/A3,46759510,2083,894