TEX Options History — May 2020

In May 2020, TEX traded between $12.38 and $17.11. ATM implied volatility averaged 65.9%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 30.0% (HV 20d: 95.9%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2020-05-14: Highest Volume — 1,126 contracts
  • 2020-05-11: Largest IV spike — 19.8% change
  • 2020-05-06: Highest IV Rank — 54.1%
  • 2020-05-01: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.29$12.38$17.11$13.72$15.68
Max Pain$13.40$13.00$15.00$13.00$13.00
ATM IV65.9%59.2%75.1%72.1%61.2%
Expected Move18.1%16.3%20.7%20.7%17.6%
HV 20d95.9%89.5%103.4%103.4%96.3%
HV 60d97.3%92.3%103.4%92.7%103.4%
IV Rank43.7%36.3%54.1%50.7%38.5%
IV Percentile81.8%77.0%86.5%85.7%78.6%
Term Structure1.2%-5.9%5.8%-5.9%-0.5%
VWIV62.3%55.8%70.1%69.9%63.7%
Skew 25d9.7%5.3%13.0%7.9%7.9%
Skew 10d27.2%3.1%44.8%3.1%41.0%
Call IV 25d59.3%53.9%67.6%67.6%59.4%
Put IV 25d69.0%62.8%76.7%75.5%67.3%
Bid-Ask Spread %20.3714.2131.0516.6218.18
Gamma HHI0.290.140.680.370.17
Net GEX-48.5K-230.2K35.1K-95.2K35.1K
Net DEX1.8M-998.5K3.9M3.0M-235.4K
Net VEX-13.5K-16.1K-10.3K-14.1K-15.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.090.600.12
Total Volume265.921,126141109
Total OI9,0137,41811,4129,6317,902

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$13.72$13.0072.1%20.7%103.4%50.7%69.9%7.9%-5.9%-95.2K3.0M-14.1K0.6016.62N/AN/A88532,3337,298
2020-05-04$13.64$15.0070.0%18.8%100.0%48.4%62.6%11.8%2.5%-103.2K3.2M-13.4K0.2931.05N/AN/A59172,3207,296
2020-05-05$13.81$15.0070.2%18.6%90.4%48.6%63.1%11.7%2.6%-95.7K2.8M-13.1K0.1330.37N/AN/A7092,3557,283
2020-05-06$13.36$15.0075.1%19.0%91.1%54.1%63.1%10.6%3.4%-117.8K3.3M-12.8K0.3116.30N/AN/A52162,4047,283
2020-05-07$13.07$15.0069.6%18.1%89.5%47.9%60.4%8.5%1.6%-136.2K3.6M-12.4K0.0323.10N/AN/A9332,4427,285
2020-05-08$14.56$13.0060.2%16.3%93.1%37.4%55.8%5.3%5.8%-45.2K2.0M-12.6K0.0130.89N/AN/A51832,5377,284
2020-05-11$13.84$13.0072.2%17.3%93.8%50.7%62.1%10.6%1.6%-71.8K2.4M-12.3K0.9216.37N/AN/A1901753,0207,283
2020-05-12$13.03$13.0074.0%18.0%95.7%52.8%58.6%9.6%0.6%-134.6K3.0M-11.5K0.0425.52N/AN/A4823,1227,198
2020-05-13$12.38$13.0066.3%19.0%94.5%44.2%59.8%11.7%1.0%-230.2K3.9M-10.3K0.1915.15N/AN/A141273,1227,202
2020-05-14$12.97$13.0070.0%20.1%95.6%48.4%70.1%11.0%0.4%-138.6K2.8M-11.1K0.4917.96N/AN/A7543723,2507,208
2020-05-15$13.73$13.0064.8%18.6%96.8%42.5%64.8%13.0%2.1%3.9K1.5M-13.1K0.3419.23N/AN/A269923,9627,450
2020-05-18$14.88$13.0060.1%17.2%98.4%37.3%59.8%8.8%0.2%13.3K1.0M-14.3K0.0322.15N/AN/A14753,3164,102
2020-05-19$14.41$13.0062.0%17.8%97.7%39.4%66.9%9.4%1.2%14.6K1.3M-14.0K0.3826.10N/AN/A65253,4294,104
2020-05-20$14.85$13.0060.7%17.4%98.0%37.9%59.2%10.2%2.1%17.5K960.5K-14.6K0.2415.57N/AN/A1743,4664,122
2020-05-21$14.39$13.0062.6%18.0%97.4%40.1%62.1%8.0%2.6%14.9K1.3M-14.0K0.0017.82N/AN/A40813,4634,126
2020-05-22$14.20$13.0064.0%18.3%94.6%41.6%0.0%9.7%0.3%15.9K1.3M-14.6K0.0014.21N/AN/A203,6994,127
2020-05-26$15.76$13.0060.6%17.4%97.9%37.8%61.0%7.3%0.1%26.1K70.1K-15.5K0.0118.24N/AN/A27243,7014,123
2020-05-27$17.11$13.0059.2%17.0%97.9%36.3%57.6%10.3%1.9%23.1K-998.5K-16.1K1.0915.78N/AN/A4635063,7474,122
2020-05-28$16.46$13.0062.6%17.9%96.2%40.0%62.4%10.6%-0.2%33.0K-755.9K-15.1K0.1116.83N/AN/A215243,8503,924
2020-05-29$15.68$13.0061.2%17.6%96.3%38.5%63.7%7.9%-0.5%35.1K-235.4K-15.5K0.1218.18N/AN/A97123,9733,929