TEX Options History — November 2019

In November 2019, TEX traded between $27.54 and $31.12. ATM implied volatility averaged 36.0%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 10.3% (HV 20d: 46.3%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2019-11-08: Highest Volume — 1,744 contracts
  • 2019-11-13: Largest IV drop — 16.1% change
  • 2019-11-12: Highest IV Rank — 50.1%
  • 2019-11-13: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.84$27.54$31.12$28.52$28.08
Max Pain$28.85$28.00$30.00$29.00$29.00
ATM IV36.0%31.5%43.9%31.5%35.7%
Expected Move10.0%9.0%10.6%9.0%10.2%
HV 20d46.3%43.3%48.7%43.4%44.1%
HV 60d44.3%41.9%46.0%46.0%41.9%
IV Rank27.2%13.8%50.1%13.8%26.6%
IV Percentile30.9%10.3%68.7%10.3%30.6%
Term Structure0.0%-1.6%2.2%2.2%-0.1%
VWIV34.1%31.6%36.5%33.2%35.5%
Skew 25d4.7%2.8%6.4%5.1%2.8%
Skew 10d11.2%4.5%21.3%8.5%12.8%
Call IV 25d33.2%31.5%34.9%31.9%34.4%
Put IV 25d37.9%36.1%39.7%37.0%37.2%
Bid-Ask Spread %16.8413.0420.5913.0415.50
Gamma HHI0.140.100.300.130.13
Net GEX64.6K-141.1K325.6K-58.1K64.2K
Net DEX-1.4M-5.4M165.4K-244.4K-460.5K
Net VEX-24.1K-26.8K-22.1K-22.7K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.012.312.310.89
Total Volume309.25341,74438734
Total OI8,007.156,8809,9427,4767,186

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$28.52$29.0031.5%9.0%43.4%13.8%33.2%5.1%2.2%-58.1K-244.4K-22.7K2.3113.04N/AN/A1172702,7574,719
2019-11-04$29.63$28.0035.2%9.5%44.2%24.5%32.4%5.6%0.2%-3.2K-1.7M-23.3K0.1016.52N/AN/A620602,8294,864
2019-11-05$28.79$28.0036.6%10.1%43.3%28.6%36.5%6.4%-0.6%205-886.8K-24.1K0.5818.82N/AN/A3061763,3594,836
2019-11-06$28.09$28.0036.8%10.3%45.1%29.4%33.9%6.3%-0.0%-9.5K-209.8K-23.7K0.5119.40N/AN/A59303,5584,709
2019-11-07$28.56$28.0034.6%9.8%45.1%22.8%31.6%5.8%0.0%26.7K-855.7K-23.4K0.0415.75N/AN/A4623,5824,736
2019-11-08$30.20$28.0035.7%10.0%45.3%26.1%34.4%3.8%0.3%180.3K-3.4M-23.6K0.0815.42N/AN/A1,6121323,6184,737
2019-11-11$31.12$29.0041.2%9.9%45.7%42.2%34.9%5.1%0.5%325.6K-5.4M-26.8K0.0615.29N/AN/A622374,5694,824
2019-11-12$30.30$29.0043.9%10.5%47.2%50.1%35.4%4.5%-0.6%275.2K-4.1M-26.5K0.3019.26N/AN/A224674,8454,857
2019-11-13$29.46$29.0036.8%10.6%47.9%29.4%35.3%4.5%-0.4%101.9K-2.3M-26.1K0.2320.59N/AN/A219504,8394,919
2019-11-14$28.89$29.0036.1%10.4%47.0%28.0%35.5%4.0%-1.6%4.0K-1.4M-26.2K0.7817.56N/AN/A108844,9454,954
2019-11-15$29.19$30.0034.0%9.7%46.6%21.4%32.8%3.8%0.7%-141.1K-1.9M-25.5K0.1120.59N/AN/A108124,9524,990
2019-11-18$28.51$30.0034.9%10.0%47.4%24.3%34.0%4.9%0.6%64.8K-846.1K-24.2K0.0816.88N/AN/A253203,7793,101
2019-11-19$28.03$29.0036.0%10.3%47.1%27.7%35.0%4.3%-0.3%54.4K-469.8K-23.9K0.1216.39N/AN/A81103,8323,110
2019-11-20$27.55$29.0035.8%10.3%47.2%26.9%35.4%4.8%-0.3%33.8K86.8K-23.2K0.0617.83N/AN/A5133,8423,117
2019-11-21$27.54$29.0036.0%10.3%47.2%27.5%34.3%4.8%-0.4%30.7K165.4K-22.8K0.5115.44N/AN/A98503,8503,117
2019-11-22$28.11$29.0034.6%9.9%46.6%23.5%32.7%4.5%1.1%56.3K-392.1K-23.2K0.8516.40N/AN/A54463,8713,132
2019-11-25$29.16$29.0034.8%10.0%48.5%24.0%34.5%4.8%-0.4%118.8K-1.7M-24.4K0.2216.16N/AN/A162363,8973,164
2019-11-26$28.60$29.0034.8%10.0%48.7%24.0%33.2%4.2%-0.6%84.3K-975.4K-23.3K0.1616.79N/AN/A116183,9113,160
2019-11-27$28.55$29.0034.6%9.9%48.7%23.4%32.2%3.9%0.4%82.6K-842.3K-22.8K0.0113.25N/AN/A19023,9043,172
2019-11-29$28.08$29.0035.7%10.2%44.1%26.6%35.5%2.8%-0.1%64.2K-460.5K-22.1K0.8915.50N/AN/A18164,0123,174