TEX Options History — December 2019

In December 2019, TEX traded between $27.87 and $30.62. ATM implied volatility averaged 33.9%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 4.6% (HV 20d: 29.3%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2019-12-16: Highest Volume — 1,261 contracts
  • 2019-12-24: Largest IV spike — 7.3% change
  • 2019-12-03: Highest IV Rank — 36.3%
  • 2019-12-03: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.54$27.87$30.62$28.21$29.91
Max Pain$28.33$28.00$29.00$29.00$28.00
ATM IV33.9%29.5%38.9%36.9%32.9%
Expected Move9.7%8.5%11.2%10.6%9.4%
HV 20d29.3%22.3%41.1%41.1%22.3%
HV 60d39.5%36.6%41.9%41.9%36.6%
IV Rank21.3%8.2%36.3%30.3%18.2%
IV Percentile24.0%2.4%53.2%41.3%20.6%
Term Structure2.7%-2.1%5.4%-1.0%3.0%
VWIV33.6%30.4%40.1%33.5%32.1%
Skew 25d4.2%3.0%5.9%4.9%4.5%
Skew 10d8.8%-5.5%18.4%9.5%18.4%
Call IV 25d31.9%28.1%37.9%34.6%31.0%
Put IV 25d36.1%32.6%40.9%39.4%35.4%
Bid-Ask Spread %14.8411.4622.3817.8011.89
Gamma HHI0.170.130.330.130.16
Net GEX143.8K55.4K234.7K68.5K144.1K
Net DEX-2.3M-3.8M-246.0K-470.5K-2.7M
Net VEX-18.8K-21.3K-15.6K-21.3K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.006.602.240.13
Total Volume154.52461,26116527
Total OI7,404.9056,8588,5717,1796,957

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$28.21$29.0036.9%10.6%41.1%30.3%33.5%4.9%-1.0%68.5K-470.5K-21.3K2.2417.80N/AN/A511144,0093,170
2019-12-03$27.87$29.0038.9%11.2%38.6%36.3%39.0%3.0%-1.7%55.4K-246.0K-20.8K0.0016.80N/AN/A3204,0343,070
2019-12-04$28.07$29.0038.3%11.0%37.6%34.5%0.0%3.0%-2.1%68.4K-522.7K-20.6K2.4522.38N/AN/A22544,0453,070
2019-12-05$28.21$29.0036.0%10.4%36.6%27.6%40.1%5.0%2.5%72.0K-518.1K-20.6K0.8612.30N/AN/A43374,0543,124
2019-12-06$28.96$29.0034.7%9.7%37.3%23.8%34.4%4.2%3.7%118.8K-1.5M-20.9K0.0715.39N/AN/A13594,0923,100
2019-12-09$29.02$29.0036.1%9.9%31.1%27.8%34.3%4.3%3.4%125.3K-1.5M-20.2K0.5614.40N/AN/A18104,1713,104
2019-12-10$28.93$29.0035.2%10.1%28.8%25.2%37.8%4.3%2.5%123.0K-1.4M-20.3K0.0814.82N/AN/A129104,1803,105
2019-12-11$29.33$28.0034.5%9.9%28.0%23.0%34.6%4.1%3.2%164.2K-2.2M-19.9K0.2417.24N/AN/A45114,2713,115
2019-12-12$30.32$28.0033.8%9.7%28.8%21.1%34.5%4.0%2.6%230.5K-3.7M-19.7K0.1514.31N/AN/A122184,2993,104
2019-12-13$29.88$28.0033.4%9.6%28.4%19.8%31.8%4.6%3.1%206.6K-3.0M-19.9K0.2117.71N/AN/A47104,3273,108
2019-12-16$29.49$28.0033.7%9.7%28.6%20.7%33.3%3.3%3.2%188.6K-2.4M-18.5K6.6014.15N/AN/A1661,0954,3253,108
2019-12-17$30.20$28.0032.4%9.3%28.3%16.7%32.8%5.1%4.4%69.2K-3.0M-19.2K0.7913.10N/AN/A48384,3594,082
2019-12-18$30.48$28.0031.2%8.9%27.4%13.2%30.4%4.2%5.4%168.3K-3.8M-18.0K0.0314.24N/AN/A7824,3504,083
2019-12-19$30.05$28.0032.1%9.2%27.1%16.0%31.4%3.1%3.9%234.7K-3.3M-17.6K1.8116.84N/AN/A1202174,3984,085
2019-12-20$30.34$28.0031.9%9.1%27.1%15.2%30.6%4.3%3.6%227.6K-3.8M-17.7K0.2813.62N/AN/A111314,4664,105
2019-12-23$30.62$28.0029.5%8.5%26.5%8.2%31.1%4.5%4.7%162.2K-3.4M-16.6K1.6313.10N/AN/A59963,9252,933
2019-12-24$30.43$28.0031.7%9.1%23.8%14.7%32.4%4.0%4.2%160.5K-3.3M-17.1K0.1214.11N/AN/A95113,9692,977
2019-12-26$30.28$28.0032.8%9.4%22.5%17.9%32.3%5.9%3.2%149.6K-3.0M-16.9K0.0013.00N/AN/A9603,9492,980
2019-12-27$29.97$28.0032.6%9.3%23.0%17.4%32.5%4.0%3.3%143.7K-2.8M-16.8K0.2013.03N/AN/A513,9802,980
2019-12-30$29.71$28.0033.3%9.5%22.3%19.4%33.0%3.4%1.9%139.3K-2.5M-15.9K0.6011.46N/AN/A20123,9802,960
2019-12-31$29.91$28.0032.9%9.4%22.3%18.2%32.1%4.5%3.0%144.1K-2.7M-15.6K0.1311.89N/AN/A2433,9852,972