TEX Options History — July 2018

In July 2018, TEX traded between $41.87 and $45.13. ATM implied volatility averaged 34.2%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.3% (HV 20d: 30.9%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2018-07-26: Highest Volume — 3,269 contracts
  • 2018-07-11: Largest IV spike — 18.7% change
  • 2018-07-30: Highest IV Rank — 42.3%
  • 2018-07-30: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.50$41.87$45.13$42.12$44.20
Max Pain$42.81$40.00$44.00$40.00$44.00
ATM IV34.2%29.1%41.0%32.1%38.8%
Expected Move10.0%9.2%11.7%9.2%11.1%
HV 20d30.9%28.5%32.9%31.4%32.1%
HV 60d32.6%29.9%34.9%33.0%30.8%
IV Rank23.4%9.3%42.3%17.6%36.2%
IV Percentile58.4%19.0%88.1%46.8%81.0%
Term Structure-2.2%-7.6%3.5%3.5%-7.1%
VWIV35.2%32.4%43.2%33.5%40.1%
Skew 25d5.2%3.0%6.8%6.6%6.3%
Skew 10d11.9%7.3%16.7%12.1%16.7%
Call IV 25d32.6%29.1%40.9%29.1%35.7%
Put IV 25d37.8%35.1%43.9%35.6%42.0%
Bid-Ask Spread %22.2114.4436.7114.4427.57
Gamma HHI0.290.150.620.150.23
Net GEX526.3K101.3K1.3M321.9K227.5K
Net DEX-7.9M-14.6M-3.2M-5.8M-5.7M
Net VEX-30.2K-38.1K-26.8K-31.1K-38.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.402.751.021.07
Total Volume1,762.4291,1043,2691,2641,802
Total OI8,065.6674,76111,4047,6277,925

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$42.12$40.0032.1%9.2%31.4%17.6%33.5%6.6%3.5%321.9K-5.8M-31.1K1.0214.44N/AN/A6266384,9932,634
2018-07-03$41.87$40.0032.4%9.3%31.1%18.4%33.4%5.6%2.5%295.0K-5.3M-30.4K0.8919.94N/AN/A6035354,9762,694
2018-07-05$43.05$41.0031.9%9.9%28.5%17.1%35.1%5.8%-1.5%397.8K-7.5M-29.7K0.8914.74N/AN/A6095454,9822,654
2018-07-06$42.70$41.0030.4%9.7%28.5%12.8%32.4%5.8%-0.2%424.7K-7.2M-29.8K1.0015.38N/AN/A6126095,0242,661
2018-07-09$44.49$43.0030.3%9.4%31.6%12.6%32.8%4.5%-1.1%518.2K-10.8M-27.4K0.4218.71N/AN/A1,5546565,0672,747
2018-07-10$44.02$43.0029.1%9.5%32.0%9.3%32.4%4.0%-1.2%570.5K-10.6M-30.0K1.0917.54N/AN/A6126675,5032,773
2018-07-11$43.21$43.0034.6%9.9%32.7%24.5%34.0%4.8%-1.5%530.6K-8.6M-29.7K2.7521.72N/AN/A6151,6925,5202,838
2018-07-12$43.68$43.0033.1%9.5%32.5%20.4%33.5%4.1%-0.5%427.7K-9.0M-30.1K1.6830.19N/AN/A1,0131,7045,5313,656
2018-07-13$45.13$43.0033.2%9.5%29.2%20.5%33.6%5.2%-1.6%821.5K-14.6M-29.4K0.9915.68N/AN/A6456406,0593,658
2018-07-16$43.70$43.0035.1%10.1%32.1%25.9%35.6%5.9%-2.5%698.8K-10.1M-28.4K1.3730.96N/AN/A7219906,1433,677
2018-07-17$44.15$44.0033.6%9.6%32.1%21.7%33.3%4.1%-0.7%846.8K-11.0M-28.9K1.4018.84N/AN/A6338856,2103,984
2018-07-18$44.25$44.0034.8%10.0%31.9%25.1%34.4%3.7%-2.4%962.3K-11.6M-27.8K0.5029.33N/AN/A1,6888526,2733,998
2018-07-19$43.82$44.0034.1%9.8%32.4%23.1%34.1%4.7%-2.0%981.1K-10.1M-26.8K0.4023.30N/AN/A2,2228806,8814,028
2018-07-20$43.18$44.0034.3%9.8%32.9%23.8%33.4%5.2%-1.8%1.3M-8.8M-27.5K1.3819.19N/AN/A6398797,3364,068
2018-07-23$43.04$43.0035.3%10.1%30.4%26.4%34.0%5.0%-3.3%295.2K-4.6M-27.0K0.8719.51N/AN/A7016083,4851,276
2018-07-24$43.11$43.0036.0%10.3%29.7%28.4%33.9%5.4%-3.4%318.8K-5.0M-28.7K0.8323.82N/AN/A7546243,7791,322
2018-07-25$43.30$43.0034.6%9.9%29.5%24.7%34.5%6.6%-3.2%337.8K-5.0M-29.2K1.0923.10N/AN/A5275773,8701,343
2018-07-26$43.74$43.0036.2%10.4%29.6%29.1%40.7%5.6%-4.7%355.2K-6.0M-30.3K1.3523.46N/AN/A1,3891,8803,9341,372
2018-07-27$43.97$43.0037.4%10.7%29.5%32.4%43.2%6.8%-5.1%272.8K-5.8M-36.5K1.8722.39N/AN/A6161,1534,2882,596
2018-07-30$42.70$44.0041.0%11.7%29.9%42.3%40.2%3.0%-7.6%101.3K-3.2M-36.5K1.0836.71N/AN/A6807364,3773,244
2018-07-31$44.20$44.0038.8%11.1%32.1%36.2%40.1%6.3%-7.1%227.5K-5.7M-38.1K1.0727.57N/AN/A8729304,5133,412