TEX Options History — September 2019

In September 2019, TEX traded between $23.89 and $27.95. ATM implied volatility averaged 38.2%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 8.8% (HV 20d: 47.0%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 3.25.

Notable Days

  • 2019-09-04: Highest Volume — 912 contracts
  • 2019-09-27: Largest IV spike — 9.7% change
  • 2019-09-03: Highest IV Rank — 41.6%
  • 2019-09-03: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.49$23.89$27.95$23.89$26.12
Max Pain$27.20$27.00$29.00$29.00$27.00
ATM IV38.2%35.4%43.6%43.6%37.8%
Expected Move10.9%10.2%12.5%12.5%10.8%
HV 20d47.0%38.2%53.8%49.7%40.2%
HV 60d44.1%42.2%45.0%42.3%44.5%
IV Rank27.9%21.0%41.6%41.6%26.8%
IV Percentile44.8%32.1%67.5%67.5%40.5%
Term Structure1.7%-1.7%5.0%-1.7%5.0%
VWIV36.9%24.9%45.9%45.9%40.5%
Skew 25d5.8%4.4%7.3%6.6%6.0%
Skew 10d14.0%5.9%28.0%15.1%28.0%
Call IV 25d35.5%32.8%41.5%41.5%34.7%
Put IV 25d41.3%38.7%48.1%48.1%40.8%
Bid-Ask Spread %12.808.3917.3617.238.39
Gamma HHI0.170.110.290.290.17
Net GEX-53.3K-175.9K71.3K-117.2K-175.9K
Net DEX2.3M-203.6K4.8M4.8M4.0M
Net VEX-23.9K-27.0K-14.6K-14.6K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.250.0015.460.500.38
Total Volume257.4129124551
Total OI8,254.156,3229,8286,3229,284

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$23.89$29.0043.6%12.5%49.7%41.6%45.9%6.6%-1.7%-117.2K4.8M-14.6K0.5017.23N/AN/A30152,8433,479
2019-09-04$24.12$29.0041.6%11.9%50.0%36.0%0.0%6.4%-0.0%-125.7K4.6M-15.0K14.2017.36N/AN/A608522,8663,487
2019-09-05$25.23$27.0039.0%11.2%52.9%29.9%36.0%6.9%0.3%-152.3K4.1M-22.4K0.0312.45N/AN/A374122,9244,334
2019-09-06$25.21$27.0038.4%11.2%52.7%28.4%36.4%5.1%0.6%-141.5K4.0M-22.6K0.0011.86N/AN/A2203,2154,335
2019-09-09$26.14$27.0039.2%10.9%52.3%30.3%34.2%7.1%1.4%-122.4K3.0M-22.8K0.0012.02N/AN/A24303,2214,341
2019-09-10$27.35$27.0038.8%10.9%53.7%29.2%37.2%5.9%0.7%-55.9K1.1M-23.8K0.4013.30N/AN/A2821133,3904,341
2019-09-11$27.95$27.0038.0%10.9%53.8%27.2%35.3%6.1%0.2%-19.1K121.3K-25.1K1.3413.17N/AN/A1071433,6244,442
2019-09-12$27.02$27.0037.6%10.8%50.9%26.4%37.6%4.7%0.7%-52.7K1.5M-24.6K7.4414.87N/AN/A342533,6874,558
2019-09-13$27.61$27.0035.4%10.2%48.9%21.0%32.6%6.5%1.9%-25.1K788.0K-25.8K0.0011.37N/AN/A81723,7034,758
2019-09-16$27.86$27.0036.3%10.4%46.9%23.2%36.8%4.4%0.7%61.5K-203.6K-27.0K6.3613.99N/AN/A14894,4954,760
2019-09-17$27.71$27.0036.1%10.4%47.0%22.8%35.5%6.0%1.2%62.7K232.1K-26.4K0.1611.57N/AN/A5084,5024,803
2019-09-18$27.57$27.0036.6%10.5%46.2%24.0%37.9%5.5%1.2%71.3K434.4K-25.9K15.4612.13N/AN/A396034,5084,808
2019-09-19$27.65$27.0035.7%10.2%45.5%21.7%36.4%4.9%2.3%43.7K795.3K-27.0K0.2416.67N/AN/A1744,5085,308
2019-09-20$27.39$27.0036.9%10.6%45.7%24.6%38.1%5.0%1.8%64.7K1.3M-26.5K0.8911.45N/AN/A56504,5185,310
2019-09-23$27.37$27.0036.9%10.6%38.2%24.7%34.4%5.1%3.8%-10.3K1.2M-25.9K0.009.81N/AN/A1203,8673,977
2019-09-24$26.23$27.0039.7%11.4%42.2%31.4%40.0%7.3%3.0%-63.2K2.9M-23.9K2.3011.43N/AN/A801843,8753,977
2019-09-25$26.10$27.0038.7%11.1%41.8%29.0%39.0%6.8%3.7%-79.9K3.1M-23.9K0.4211.96N/AN/A72303,9014,072
2019-09-26$25.73$27.0037.3%10.7%42.4%25.6%24.9%4.7%4.4%-88.2K3.3M-23.2K0.8012.13N/AN/A30243,9974,062
2019-09-27$25.47$27.0040.9%11.7%39.4%34.5%41.4%6.2%3.4%-141.0K4.4M-26.1K14.0412.79N/AN/A253513,9815,022
2019-09-30$26.12$27.0037.8%10.8%40.2%26.8%40.5%6.0%5.0%-175.9K4.0M-26.0K0.388.39N/AN/A37143,9895,295