TEX Options History — November 2018

In November 2018, TEX traded between $30.00 and $36.63. ATM implied volatility averaged 45.6%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 30.9% (HV 20d: 76.5%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2018-11-06: Highest Volume — 7,914 contracts
  • 2018-11-14: Largest IV drop — 31.5% change
  • 2018-11-13: Highest IV Rank — 83.7%
  • 2018-11-01: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.64$30.00$36.63$36.63$33.10
Max Pain$32.52$32.00$38.00$38.00$32.00
ATM IV45.6%39.9%60.9%52.1%40.7%
Expected Move12.2%10.5%14.9%14.9%11.7%
HV 20d76.5%58.0%80.3%58.0%66.9%
HV 60d50.5%39.0%52.5%39.0%52.5%
IV Rank47.1%33.6%83.7%62.7%35.5%
IV Percentile86.8%71.8%98.0%96.8%73.8%
Term Structure-2.7%-9.5%0.0%-9.5%-2.0%
VWIV40.8%33.8%53.7%53.7%46.1%
Skew 25d6.9%5.1%10.5%8.6%7.6%
Skew 10d15.4%10.1%30.2%21.7%17.2%
Call IV 25d39.3%33.9%48.8%48.8%37.3%
Put IV 25d46.2%39.6%57.4%57.4%45.0%
Bid-Ask Spread %23.9111.2740.7440.7426.61
Gamma HHI0.300.110.380.110.22
Net GEX-537.4K-1.6M226.2K226.2K85.9K
Net DEX6.3M-11.1M17.6M-11.1M-1.1M
Net VEX-34.7K-63.2K-25.7K-63.2K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.183.730.183.62
Total Volume3,142.5241,0817,9147,5663,139
Total OI17,055.3817,27724,71024,7107,361

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$36.63$38.0052.1%14.9%58.0%62.7%53.7%8.6%-9.5%226.2K-11.1M-63.2K0.1840.74N/AN/A6,4101,15612,85911,851
2018-11-02$31.29$37.0050.6%14.5%79.6%59.2%47.5%10.5%-8.8%-906.8K13.2M-47.0K0.3911.27N/AN/A4,7911,8569,93612,932
2018-11-05$31.29$32.0050.2%11.9%79.0%58.2%38.4%7.3%-0.8%-893.0K12.3M-41.3K0.4819.02N/AN/A3,3061,59410,58812,785
2018-11-06$31.69$32.0046.3%11.4%79.2%48.8%40.5%6.6%-1.3%-856.7K10.1M-40.1K2.6426.22N/AN/A2,1745,74010,65312,858
2018-11-07$32.48$32.0041.2%10.7%79.6%36.7%33.8%6.9%-0.8%-636.6K7.7M-43.0K1.8419.68N/AN/A2,0513,76610,76013,779
2018-11-08$31.80$32.0041.6%10.5%79.7%37.5%36.0%5.2%0.0%-814.7K9.7M-41.7K1.8627.09N/AN/A1,5782,93510,77013,842
2018-11-09$30.48$32.0047.8%11.8%80.1%52.4%37.1%6.7%-1.3%-1.3M15.9M-41.3K0.5325.29N/AN/A1,60785110,66513,595
2018-11-12$30.37$32.0057.9%11.9%79.9%76.5%39.4%6.7%-1.4%-1.4M15.8M-37.4K0.7519.40N/AN/A1,08681210,66413,581
2018-11-13$30.00$32.0060.9%12.4%79.5%83.7%39.5%6.9%-2.7%-1.6M17.6M-35.3K1.1522.64N/AN/A1,0731,23510,67013,422
2018-11-14$30.67$32.0041.7%12.0%80.3%37.9%37.0%6.1%-1.7%-1.5M13.4M-33.9K1.0620.36N/AN/A1,0911,15610,69513,440
2018-11-15$31.04$32.0042.1%12.1%77.6%38.9%39.6%8.3%-1.7%-1.3M10.2M-31.7K0.7825.62N/AN/A1,08484210,73713,482
2018-11-16$31.51$32.0039.9%11.4%77.0%33.6%37.3%5.8%-1.1%-50.0K4.9M-29.1K1.0023.82N/AN/A83783710,75013,082
2018-11-19$30.89$32.0043.7%12.5%77.2%42.7%40.9%6.4%-3.2%-71.8K2.7M-27.4K0.7319.98N/AN/A6524754,0073,659
2018-11-20$30.42$32.0045.6%13.1%76.5%47.1%39.7%7.1%-3.7%-81.1K3.3M-26.6K0.6321.39N/AN/A6754264,1023,681
2018-11-21$31.02$32.0042.6%12.2%75.8%40.0%37.8%5.1%-2.3%-66.6K2.3M-28.4K0.6130.10N/AN/A6834184,1853,726
2018-11-23$31.28$32.0044.8%12.8%75.8%45.1%40.6%6.9%-4.4%-51.7K2.0M-28.1K0.6525.84N/AN/A6544274,1853,710
2018-11-26$32.19$32.0042.8%12.3%75.7%40.4%39.8%6.5%-2.9%-20.0K724.8K-28.0K0.6824.60N/AN/A6834654,1963,720
2018-11-27$31.15$32.0043.2%12.4%76.7%41.4%41.4%5.9%-3.2%-71.4K2.4M-26.3K0.6919.43N/AN/A6704624,2343,746
2018-11-28$32.61$32.0040.1%11.5%76.7%34.0%45.7%8.3%-2.3%4.9K91.2K-27.4K3.7325.54N/AN/A6622,4694,2423,736
2018-11-29$32.49$32.0041.7%12.0%74.5%37.9%45.1%5.7%-1.9%65.5K-400.1K-25.7K3.6127.56N/AN/A6872,4784,2912,986
2018-11-30$33.10$32.0040.7%11.7%66.9%35.5%46.1%7.6%-2.0%85.9K-1.1M-26.0K3.6226.61N/AN/A6802,4594,3233,038