TEX Options History — January 2020

In January 2020, TEX traded between $25.27 and $29.96. ATM implied volatility averaged 37.4%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 17.0% (HV 20d: 20.4%). Max pain ranged from $27.00 to $31.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2020-01-21: Highest Volume — 488 contracts
  • 2020-01-21: Largest IV spike — 14.4% change
  • 2020-01-31: Highest IV Rank — 60.7%
  • 2020-01-31: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.56$25.27$29.96$29.96$25.27
Max Pain$28.24$27.00$31.00$28.00$27.00
ATM IV37.4%31.9%47.0%31.9%47.0%
Expected Move10.9%9.2%13.5%9.2%13.5%
HV 20d20.4%16.9%23.8%21.6%20.4%
HV 60d33.6%28.8%36.5%36.5%28.8%
IV Rank31.7%15.4%60.7%15.4%60.7%
IV Percentile49.0%15.5%93.3%15.5%93.3%
Term Structure-0.8%-5.4%4.1%4.1%-5.4%
VWIV37.7%30.7%47.8%30.7%47.8%
Skew 25d4.7%3.5%6.0%4.8%5.1%
Skew 10d10.9%1.7%21.0%14.4%4.9%
Call IV 25d36.0%29.5%43.8%29.5%43.8%
Put IV 25d40.7%34.3%48.9%34.3%48.9%
Bid-Ask Spread %47.0711.1866.4113.8716.16
Gamma HHI0.140.100.200.180.12
Net GEX26.4K-65.4K147.0K147.0K-65.4K
Net DEX-309.4K-2.7M1.7M-2.7M1.7M
Net VEX-12.9K-15.2K-10.9K-15.0K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.008.940.151.75
Total Volume133.7622448810144
Total OI5,573.3333,0826,9556,9484,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$29.96$28.0031.9%9.2%21.6%15.4%30.7%4.8%4.1%147.0K-2.7M-15.0K0.1513.87N/AN/A88133,9742,974
2020-01-03$29.30$28.0034.5%9.9%23.4%23.2%33.7%4.9%1.5%119.4K-1.9M-14.9K0.0011.18N/AN/A5803,9392,983
2020-01-06$29.15$31.0035.2%10.5%23.5%25.1%0.0%6.0%-0.7%121.1K-1.8M-14.4K0.0541.32N/AN/A5933,9772,978
2020-01-07$28.88$31.0032.6%10.2%21.9%17.3%34.8%5.6%0.8%110.2K-1.4M-13.9K0.3149.33N/AN/A32103,9582,981
2020-01-08$29.02$30.0032.3%10.4%22.0%16.5%33.3%5.2%0.7%121.9K-1.5M-13.6K0.1047.05N/AN/A5153,9402,981
2020-01-09$28.88$30.0032.8%10.3%22.0%17.9%34.1%4.6%0.5%114.9K-1.6M-12.6K0.3255.41N/AN/A2273,9122,902
2020-01-10$28.03$30.0032.2%10.3%23.8%16.3%37.2%3.5%0.7%61.8K-619.9K-12.6K0.7748.72N/AN/A66513,9242,899
2020-01-13$28.24$28.0036.0%10.3%20.1%27.5%35.3%4.7%0.8%66.1K-716.5K-12.3K0.1650.14N/AN/A222363,9132,950
2020-01-14$27.97$28.0034.4%10.3%19.9%22.7%35.9%5.0%0.2%45.0K-455.1K-11.7K0.3051.76N/AN/A134403,9032,963
2020-01-15$27.89$28.0035.9%10.3%19.5%27.2%0.0%5.2%0.9%33.5K-338.6K-11.8K0.1152.92N/AN/A4753,9232,986
2020-01-16$28.16$28.0035.4%10.1%17.5%25.6%35.3%3.8%0.1%26.7K-835.8K-11.5K1.5656.57N/AN/A18283,9302,930
2020-01-17$27.93$28.0034.4%9.9%16.9%22.7%33.7%3.7%1.5%-38.1K-406.0K-11.3K0.0455.94N/AN/A12053,9362,968
2020-01-21$27.07$28.0039.3%11.3%19.2%37.6%39.1%4.4%-2.1%-12.4K76.1K-10.9K1.5354.54N/AN/A1932951,2851,797
2020-01-22$26.70$28.0038.9%11.2%18.5%36.3%38.5%4.8%-1.9%-36.8K535.5K-12.3K1.1659.81N/AN/A64741,4462,085
2020-01-23$26.90$27.0039.1%11.2%18.4%37.0%40.7%4.6%-2.1%-28.0K350.1K-12.6K1.3658.09N/AN/A53721,5282,104
2020-01-24$26.32$27.0040.8%11.7%19.1%42.1%39.4%3.9%-1.8%-33.4K620.6K-12.4K0.6258.76N/AN/A60371,5802,118
2020-01-27$25.71$27.0042.4%12.2%20.0%46.9%42.5%5.5%-3.2%-42.8K1.0M-12.0K3.9566.41N/AN/A20791,5472,154
2020-01-28$25.80$27.0042.8%12.3%20.4%48.0%40.2%4.1%-3.1%-45.2K1.0M-11.8K2.7660.78N/AN/A551521,5552,227
2020-01-29$25.73$27.0042.8%12.3%20.4%48.0%42.4%4.9%-3.5%-50.8K1.1M-12.6K8.9466.04N/AN/A474201,5852,397
2020-01-30$25.81$27.0044.2%12.7%20.1%52.3%42.3%4.5%-4.8%-61.1K1.3M-15.2K0.0413.62N/AN/A2311,6312,814
2020-01-31$25.27$27.0047.0%13.5%20.4%60.7%47.8%5.1%-5.4%-65.4K1.7M-15.0K1.7516.16N/AN/A16281,6492,814