TEX Options History — June 2018

In June 2018, TEX traded between $39.21 and $42.43. ATM implied volatility averaged 32.1%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.3% (HV 20d: 30.8%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2018-06-14: Highest Volume — 1,614 contracts
  • 2018-06-11: Largest IV spike — 17.6% change
  • 2018-06-12: Highest IV Rank — 25.8%
  • 2018-06-28: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.79$39.21$42.43$39.95$42.43
Max Pain$41.10$40.00$42.00$41.00$40.00
ATM IV32.1%29.6%35.0%31.9%31.4%
Expected Move9.0%8.5%9.7%9.2%9.0%
HV 20d30.8%26.8%33.9%31.4%31.4%
HV 60d35.3%33.4%37.2%35.8%33.9%
IV Rank17.4%10.5%25.8%17.1%15.6%
IV Percentile42.6%21.0%65.9%40.1%38.9%
Term Structure2.0%-0.7%3.7%-0.7%3.7%
VWIV30.6%27.1%34.0%31.5%30.9%
Skew 25d4.8%3.6%6.6%5.1%3.7%
Skew 10d12.5%7.8%21.5%20.6%17.5%
Call IV 25d29.1%27.5%31.5%30.2%29.8%
Put IV 25d33.9%32.1%37.9%35.3%33.5%
Bid-Ask Spread %19.2213.4028.1419.3415.76
Gamma HHI0.190.120.370.200.14
Net GEX317.9K106.8K835.1K229.6K326.4K
Net DEX-3.0M-6.5M847.4K-1.0M-6.4M
Net VEX-30.9K-34.7K-27.5K-33.1K-32.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.551.511.090.93
Total Volume1,225.4769241,6141,1881,211
Total OI8,366.9056,6559,8369,1607,637

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$39.95$41.0031.9%9.2%31.4%17.1%31.5%5.1%-0.7%229.6K-1.0M-33.1K1.0919.34N/AN/A5696195,5433,617
2018-06-04$39.71$42.0033.0%8.7%30.3%20.2%30.7%4.9%1.6%191.5K-177.9K-29.3K0.9121.48N/AN/A6756135,5753,654
2018-06-05$39.21$42.0033.8%8.9%26.8%22.4%31.1%5.3%2.0%106.8K847.4K-27.9K0.9916.69N/AN/A7167085,6413,668
2018-06-06$41.02$42.0031.1%8.8%30.6%14.7%30.7%4.4%0.9%419.6K-3.0M-32.6K0.8127.23N/AN/A7456065,6603,646
2018-06-07$41.52$42.0030.9%8.9%29.4%14.3%30.9%4.8%0.8%552.2K-4.4M-34.7K1.0028.14N/AN/A6046075,7473,628
2018-06-08$41.99$42.0029.6%8.7%29.7%10.5%29.2%4.5%1.8%644.7K-5.6M-34.7K1.0016.92N/AN/A5665685,7613,639
2018-06-11$41.88$42.0034.8%8.5%29.3%25.1%29.1%4.7%2.6%671.2K-5.3M-32.7K0.9519.70N/AN/A5875605,7853,649
2018-06-12$42.32$42.0035.0%8.5%28.2%25.8%27.1%4.9%3.0%835.1K-6.5M-32.8K0.7418.16N/AN/A7605595,8343,649
2018-06-13$41.82$42.0030.4%8.7%28.5%12.9%30.8%3.8%2.4%760.8K-5.2M-33.2K0.9524.88N/AN/A6065756,0583,650
2018-06-14$40.01$42.0031.1%8.9%32.2%14.9%30.8%4.8%1.8%162.3K-666.8K-28.3K1.5118.72N/AN/A6439716,0913,658
2018-06-15$39.97$42.0030.8%8.8%32.2%14.0%27.4%4.3%2.2%131.0K-599.1K-28.5K1.0223.48N/AN/A6056186,1433,693
2018-06-18$39.90$42.0030.7%8.8%32.2%13.6%27.9%4.4%2.8%131.2K-1.1M-27.9K0.5816.47N/AN/A7244204,3622,310
2018-06-19$39.71$40.0032.0%9.2%31.0%17.3%30.2%6.5%1.0%138.3K-1.4M-27.5K0.8316.41N/AN/A5054194,5202,135
2018-06-20$39.95$40.0031.4%9.0%31.1%15.6%31.6%3.6%2.5%156.0K-1.9M-27.8K0.8015.45N/AN/A5914744,5592,169
2018-06-21$39.72$40.0032.0%9.2%30.6%17.2%31.0%3.9%3.5%141.2K-1.8M-29.4K0.9618.14N/AN/A6456224,6492,343
2018-06-22$41.27$40.0030.9%8.9%33.9%14.1%29.8%3.8%3.0%229.7K-4.0M-32.3K0.5515.39N/AN/A7954404,7902,542
2018-06-25$40.67$40.0033.3%9.5%33.1%20.9%33.9%6.6%2.0%168.1K-2.8M-30.8K0.7813.40N/AN/A6835354,7442,575
2018-06-26$41.23$40.0031.9%9.2%33.2%17.1%32.0%4.8%2.2%227.3K-4.0M-31.1K0.8017.70N/AN/A6385124,8382,596
2018-06-27$41.17$40.0033.1%9.5%32.3%20.3%32.5%6.0%2.3%212.4K-3.8M-31.0K0.9917.74N/AN/A6055974,8362,585
2018-06-28$41.16$40.0034.0%9.7%29.7%22.8%34.0%5.8%1.0%239.5K-4.1M-31.6K1.1222.33N/AN/A5856544,9282,598
2018-06-29$42.43$40.0031.4%9.0%31.4%15.6%30.9%3.7%3.7%326.4K-6.4M-32.2K0.9315.76N/AN/A6275844,9532,684