TEX Options History — March 2020

In March 2020, TEX traded between $12.40 and $22.10. ATM implied volatility averaged 91.7%, placing in the 85.7% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded above realized volatility by 14.3% (HV 20d: 77.4%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 12.89.

Notable Days

  • 2020-03-24: Highest Volume — 3,036 contracts
  • 2020-03-09: Largest IV spike — 76.7% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-23: Largest Expected Move — 32.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.94$12.40$22.10$22.10$14.38
Max Pain$24.50$24.00$26.00$26.00$24.00
ATM IV91.7%56.3%116.2%56.3%98.4%
Expected Move25.5%16.1%32.7%16.1%28.2%
HV 20d77.4%45.6%116.7%46.3%116.7%
HV 60d52.2%32.4%72.9%32.4%72.9%
IV Rank85.7%63.3%100.0%90.3%80.1%
IV Percentile98.9%96.4%100.0%99.6%96.4%
Term Structure-13.9%-31.6%2.5%-5.0%-4.9%
VWIV86.7%44.6%127.6%58.8%97.1%
Skew 25d22.7%11.3%44.1%11.3%21.0%
Skew 10d47.4%-0.7%90.6%27.5%52.1%
Call IV 25d77.5%49.6%98.2%49.6%84.4%
Put IV 25d100.3%60.9%131.6%60.9%105.4%
Bid-Ask Spread %73.9436.8996.1064.9943.31
Gamma HHI0.210.160.290.230.24
Net GEX-53.8K-73.0K-26.3K-66.6K-54.2K
Net DEX4.5M3.0M5.5M3.0M4.7M
Net VEX-12.1K-14.6K-8.0K-13.3K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.890.05143.573.370.05
Total Volume314.682143,036131318
Total OI7,463.9095,3129,9535,3129,953

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$22.10$26.0056.3%16.1%46.3%90.3%58.8%11.3%-5.0%-66.6K3.0M-13.3K3.3764.99N/AN/A301012,1883,124
2020-03-03$21.43$26.0059.1%16.9%46.6%99.0%54.8%14.4%-7.4%-73.0K3.4M-12.9K0.3473.57N/AN/A62212,2233,284
2020-03-04$21.21$25.0057.4%16.4%45.6%93.7%44.6%12.0%-5.6%-71.2K3.5M-12.4K0.0036.89N/AN/A0742,2823,288
2020-03-05$19.66$26.0066.7%16.5%46.7%100.0%59.9%13.6%-10.3%-64.6K4.1M-10.8K2.9770.37N/AN/A631872,2823,348
2020-03-06$18.78$25.0065.8%18.1%47.7%97.7%65.0%16.8%-10.2%-70.7K4.4M-11.9K26.0875.21N/AN/A391,0172,3254,196
2020-03-09$16.39$25.00116.2%23.9%62.7%100.0%65.2%30.9%-21.7%-62.5K5.5M-14.1K2.5973.98N/AN/A391012,3645,154
2020-03-10$17.30$25.0091.2%21.1%68.0%72.0%68.9%24.1%-15.0%-71.0K5.2M-14.6K3.5778.47N/AN/A351252,3875,022
2020-03-11$16.32$25.0083.4%23.9%66.9%63.3%75.2%22.0%-18.6%-59.0K5.1M-14.1K1.6077.87N/AN/A58932,4095,020
2020-03-12$15.31$24.0089.5%25.7%66.4%70.1%53.8%30.1%-23.9%-52.2K5.0M-13.4K23.5086.99N/AN/A102352,4314,974
2020-03-13$15.59$24.0088.6%25.4%67.5%69.1%66.0%44.1%-31.6%-52.6K4.9M-13.2K0.1796.10N/AN/A1222,4314,848
2020-03-16$14.60$24.00101.6%29.1%68.7%83.7%104.3%40.4%-30.4%-43.7K4.7M-12.0K2.6086.75N/AN/A5132,4274,809
2020-03-17$14.69$24.0097.0%27.8%69.5%78.5%101.3%16.1%-18.2%-44.3K4.8M-12.0K1.1585.94N/AN/A13152,4254,788
2020-03-18$13.34$24.00112.2%32.2%73.6%95.6%112.0%37.6%-18.7%-32.9K4.4M-11.2K0.6494.43N/AN/A28182,4374,779
2020-03-19$14.88$24.00105.2%30.2%87.4%87.7%96.3%26.0%-26.8%-42.7K4.6M-12.6K0.8190.25N/AN/A70572,4574,697
2020-03-20$14.20$24.00100.4%28.8%86.4%82.3%102.1%15.4%-13.5%-36.2K4.4M-11.6K0.1992.23N/AN/A67132,5044,648
2020-03-23$12.40$24.00114.2%32.7%94.1%97.8%109.3%27.8%-7.1%-27.2K4.2M-8.9K51.5087.72N/AN/A105152,3284,494
2020-03-24$12.43$24.00108.1%31.0%94.9%91.0%127.6%17.9%-13.3%-26.3K4.2M-8.0K143.5788.63N/AN/A213,0152,3354,369
2020-03-25$13.89$24.0096.0%27.5%107.4%77.4%103.7%19.1%2.5%-59.2K4.9M-11.9K2.9083.43N/AN/A30872,3377,374
2020-03-26$14.72$24.0096.3%27.6%111.3%77.8%96.2%16.4%-2.7%-58.9K4.6M-12.5K0.1250.32N/AN/A130162,3707,373
2020-03-27$13.40$24.00109.0%31.2%114.1%91.9%125.0%18.4%-11.8%-56.6K4.8M-11.7K1.9146.04N/AN/A531012,4257,359
2020-03-30$13.74$24.00104.6%30.0%114.1%87.1%119.9%24.6%-11.9%-57.2K4.9M-11.3K1.0043.18N/AN/A12122,4787,460
2020-03-31$14.38$24.0098.4%28.2%116.7%80.1%97.1%21.0%-4.9%-54.2K4.7M-11.4K0.0543.31N/AN/A303152,4827,471