TEX Options History — September 2018

In September 2018, TEX traded between $37.74 and $42.47. ATM implied volatility averaged 30.5%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.1% (HV 20d: 24.4%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2018-09-18: Highest Volume — 3,161 contracts
  • 2018-09-24: Largest IV spike — 9.8% change
  • 2018-09-24: Highest IV Rank — 16.6%
  • 2018-09-06: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.72$37.74$42.47$38.22$39.92
Max Pain$38.47$38.00$40.00$40.00$39.00
ATM IV30.5%28.9%31.8%29.9%31.3%
Expected Move8.8%8.3%9.1%8.6%9.0%
HV 20d24.4%21.7%27.3%27.1%24.1%
HV 60d35.7%35.2%36.4%36.3%35.3%
IV Rank13.1%8.6%16.6%11.5%15.3%
IV Percentile34.5%20.6%46.8%25.8%43.3%
Term Structure1.3%-0.2%4.1%1.7%2.3%
VWIV29.1%25.0%33.6%27.0%30.3%
Skew 25d4.7%3.4%5.7%3.4%4.8%
Skew 10d11.9%4.7%21.6%4.7%9.7%
Call IV 25d28.8%27.1%30.0%28.5%28.8%
Put IV 25d33.5%31.8%34.9%31.9%33.6%
Bid-Ask Spread %18.4113.9031.7518.1619.06
Gamma HHI0.220.130.440.190.17
Net GEX377.4K29.7K1.1M151.5K324.8K
Net DEX-4.3M-16.0M1.6M510.3K-4.1M
Net VEX-29.5K-35.2K-23.9K-26.2K-32.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.291.250.400.99
Total Volume2,217.5261,5573,1612,5611,649
Total OI9,435.5798,53411,3558,5349,369

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$38.22$40.0029.9%8.6%27.1%11.5%27.0%3.4%1.7%151.5K510.3K-26.2K0.4018.16N/AN/A1,8337285,4693,065
2018-09-05$38.54$40.0029.6%8.5%27.3%10.5%26.3%4.7%1.6%190.5K274.3K-27.1K0.3625.03N/AN/A1,8646715,4833,157
2018-09-06$38.27$39.0029.6%9.1%25.6%10.6%27.6%5.7%-0.2%158.2K660.6K-26.6K0.3520.56N/AN/A1,8176455,4913,176
2018-09-07$37.92$39.0029.8%9.0%25.4%11.2%27.3%5.0%0.4%88.2K1.5M-25.2K0.3513.90N/AN/A1,8126355,4973,184
2018-09-10$37.78$39.0031.3%9.0%25.0%15.2%29.3%5.0%1.7%62.5K1.6M-24.0K0.3314.95N/AN/A2,0076635,5203,180
2018-09-11$37.74$38.0030.7%9.1%25.0%13.5%33.6%5.2%0.0%29.7K1.5M-23.9K1.2515.20N/AN/A9271,1565,6923,130
2018-09-12$38.47$38.0031.3%9.0%25.9%15.4%32.8%5.1%1.0%114.0K577.4K-25.7K1.0814.33N/AN/A1,0441,1235,6783,536
2018-09-13$38.57$38.0030.7%8.8%23.0%13.6%30.0%4.5%1.0%177.7K-287.5K-26.2K0.4026.11N/AN/A1,7136925,8373,544
2018-09-14$38.89$38.0030.3%8.7%21.8%12.6%28.7%5.0%0.9%243.4K-1.2M-28.0K0.4116.58N/AN/A1,6356776,0083,519
2018-09-17$39.70$38.0030.4%8.7%22.3%12.9%30.8%4.6%1.5%506.8K-4.0M-30.7K0.5631.75N/AN/A1,2787206,3333,599
2018-09-18$40.76$38.0030.4%8.7%23.5%12.9%30.0%4.8%0.3%898.4K-7.5M-30.4K0.2917.58N/AN/A2,4597026,4203,620
2018-09-19$41.79$38.0030.5%8.7%24.5%12.9%29.9%5.1%-0.0%1.1M-13.4M-35.2K0.4618.31N/AN/A1,4526647,4653,704
2018-09-20$42.47$38.0030.5%8.7%24.0%13.0%28.5%3.7%-0.1%663.0K-16.0M-33.4K0.4918.84N/AN/A1,4216967,4353,754
2018-09-21$42.17$38.0028.9%8.3%21.7%8.6%28.0%5.0%1.2%785.7K-15.4M-33.8K0.4315.60N/AN/A1,4606287,5983,757
2018-09-24$41.04$38.0031.8%9.1%24.3%16.6%30.5%4.4%2.6%435.0K-7.0M-33.1K0.3715.43N/AN/A1,8696835,5273,245
2018-09-25$40.63$38.0031.6%9.0%24.1%16.0%28.2%4.5%2.0%407.1K-6.2M-33.1K0.7814.29N/AN/A8756825,6423,332
2018-09-26$41.19$38.0030.5%8.7%24.4%13.1%25.0%4.4%4.1%487.0K-7.6M-33.5K0.8518.79N/AN/A8567305,6623,365
2018-09-27$40.59$39.0030.7%8.8%25.0%13.6%29.0%5.1%3.1%388.4K-5.7M-33.0K0.8915.42N/AN/A8827855,6943,589
2018-09-28$39.92$39.0031.3%9.0%24.1%15.3%30.3%4.8%2.3%324.8K-4.1M-32.2K0.9919.06N/AN/A8288215,7653,604