TEX Options History — May 2018

In May 2018, TEX traded between $35.99 and $42.80. ATM implied volatility averaged 33.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 4.2% (HV 20d: 37.2%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2018-05-09: Highest Volume — 4,227 contracts
  • 2018-05-02: Largest IV drop — 20.1% change
  • 2018-05-01: Highest IV Rank — 57.4%
  • 2018-05-01: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.55$35.99$42.80$35.99$39.71
Max Pain$39.77$37.00$41.00$37.00$41.00
ATM IV33.0%29.3%46.3%46.3%33.0%
Expected Move9.3%8.4%13.3%13.3%9.5%
HV 20d37.2%28.7%41.6%37.3%31.9%
HV 60d38.2%35.7%40.2%38.8%36.3%
IV Rank20.0%9.7%57.4%57.4%20.0%
IV Percentile44.4%19.4%98.0%98.0%48.0%
Term Structure-0.7%-7.5%0.9%-7.5%-1.6%
VWIV33.2%29.5%48.4%48.4%32.2%
Skew 25d4.4%2.7%5.9%3.3%5.1%
Skew 10d11.8%7.0%20.9%7.0%12.9%
Call IV 25d30.8%27.9%44.6%44.6%31.4%
Put IV 25d35.2%31.8%47.9%47.9%36.5%
Bid-Ask Spread %25.7517.8550.9626.0121.43
Gamma HHI0.280.160.850.160.18
Net GEX1.1M59.5K6.0M59.5K203.5K
Net DEX-10.2M-25.2M2.8M2.8M-740.7K
Net VEX-41.1K-45.3K-33.6K-39.1K-33.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.252.342.341.14
Total Volume2,496.51,1174,2272,9071,154
Total OI13,685.5458,57817,76914,3409,141

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$35.99$37.0046.3%13.3%37.3%57.4%48.4%3.3%-7.5%59.5K2.8M-39.1K2.3426.01N/AN/A8702,0378,7725,568
2018-05-02$37.32$37.0037.0%10.6%39.4%31.3%38.4%5.0%-3.1%319.8K-834.3K-39.8K1.6328.41N/AN/A6921,1319,1905,679
2018-05-03$38.02$37.0035.7%9.6%39.8%27.6%34.1%4.6%0.3%481.8K-3.3M-42.5K1.4029.87N/AN/A8181,1429,1556,028
2018-05-04$39.00$37.0034.8%9.4%38.3%25.2%33.9%5.1%0.6%728.9K-7.0M-44.4K1.6121.43N/AN/A8881,4289,2876,039
2018-05-07$40.60$38.0034.9%9.2%40.4%25.4%32.3%5.3%0.5%1.1M-13.9M-45.1K0.6429.80N/AN/A1,7161,0969,6946,128
2018-05-08$39.78$39.0034.5%9.5%40.4%24.2%32.9%5.7%-0.2%1.2M-11.3M-44.8K0.7022.89N/AN/A1,5921,11310,5036,164
2018-05-09$40.85$39.0032.1%9.2%41.2%17.6%33.2%4.6%0.0%1.5M-17.6M-45.3K0.3831.95N/AN/A3,0661,16110,9896,183
2018-05-10$40.87$39.0031.1%8.9%40.6%14.8%31.2%4.1%0.5%1.4M-15.4M-43.7K0.7821.49N/AN/A1,9451,52010,6306,238
2018-05-11$40.39$40.0032.0%9.2%40.9%17.2%31.0%4.0%0.2%1.5M-13.5M-43.5K0.7734.98N/AN/A1,7861,36911,0776,456
2018-05-14$41.43$40.0031.9%9.1%41.6%16.8%31.8%5.0%-0.5%1.6M-18.8M-41.8K0.2628.24N/AN/A3,13680311,1256,644
2018-05-15$41.45$41.0032.0%9.2%41.2%17.4%32.0%5.0%-0.8%1.7M-19.8M-41.4K0.3126.90N/AN/A2,6988499,5736,706
2018-05-16$41.99$41.0031.2%8.9%41.1%14.9%31.2%3.0%-0.1%1.8M-24.1M-43.6K0.2521.12N/AN/A2,91073710,3736,754
2018-05-17$42.04$41.0030.4%8.7%40.5%12.7%31.3%3.1%0.9%1.8M-25.2M-42.6K0.2624.49N/AN/A2,91775910,4646,749
2018-05-18$41.92$41.0030.1%8.6%40.4%12.0%31.2%2.7%0.2%6.0M-24.0M-41.1K0.2824.33N/AN/A2,74077010,5296,726
2018-05-21$42.80$41.0030.9%8.8%40.9%14.1%32.1%3.3%-1.0%420.6K-7.2M-41.1K1.2250.96N/AN/A6367735,1583,420
2018-05-22$42.51$41.0029.3%8.4%28.7%9.7%29.5%4.2%-0.7%447.0K-6.6M-41.2K0.4820.26N/AN/A1,6267765,3353,473
2018-05-23$41.74$41.0030.8%8.8%30.1%14.0%31.4%5.9%0.5%373.9K-4.8M-41.1K1.1017.85N/AN/A6597235,3683,543
2018-05-24$41.67$41.0030.2%8.7%29.5%12.3%29.5%3.8%-1.1%409.6K-4.9M-40.1K1.3620.93N/AN/A5407325,4853,552
2018-05-25$40.64$41.0030.7%8.8%31.5%13.6%33.2%4.4%-0.4%309.8K-2.5M-37.2K1.3521.86N/AN/A5407315,4833,561
2018-05-29$40.21$41.0034.0%9.7%31.7%22.8%35.8%5.8%-1.4%252.2K-1.5M-35.2K1.6222.41N/AN/A4697585,4783,583
2018-05-30$41.08$41.0032.4%9.3%30.8%18.4%33.8%4.5%-1.2%357.7K-3.2M-36.1K1.2118.79N/AN/A5056125,4723,607
2018-05-31$39.71$41.0033.0%9.5%31.9%20.0%32.2%5.1%-1.6%203.5K-740.7K-33.6K1.1421.43N/AN/A5396155,5273,614