TEX Options History — June 2020

In June 2020, TEX traded between $16.80 and $21.55. ATM implied volatility averaged 64.8%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 20.6% (HV 20d: 85.4%). Max pain ranged from $13.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2020-06-04: Highest Volume — 2,383 contracts
  • 2020-06-08: Largest IV spike — 14.8% change
  • 2020-06-15: Highest IV Rank — 51.5%
  • 2020-06-15: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.92$16.80$21.55$16.80$18.73
Max Pain$20.73$13.00$23.00$13.00$22.00
ATM IV64.8%56.1%72.9%61.6%62.7%
Expected Move18.4%16.1%20.9%17.6%18.0%
HV 20d85.4%71.7%92.1%90.3%71.7%
HV 60d95.5%86.9%103.4%103.4%86.9%
IV Rank42.5%32.8%51.5%38.9%40.2%
IV Percentile78.4%73.0%84.9%78.6%73.0%
Term Structure0.0%-8.0%4.0%0.5%4.0%
VWIV64.3%54.1%82.4%64.0%66.9%
Skew 25d10.1%7.0%13.6%7.0%7.9%
Skew 10d27.9%3.3%47.1%44.1%41.3%
Call IV 25d60.5%53.8%68.5%58.7%59.5%
Put IV 25d70.6%63.8%81.3%65.7%67.4%
Bid-Ask Spread %22.2914.4631.3114.8915.19
Gamma HHI0.120.100.160.160.12
Net GEX35.9K20.6K60.9K37.1K28.7K
Net DEX-2.8M-6.1M-124.1K-1.3M-354.3K
Net VEX-16.8K-18.4K-14.5K-15.6K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.023.790.940.60
Total Volume335.45582,3831658
Total OI8,761.1367,66810,0437,9837,769

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$16.80$13.0061.6%17.6%90.3%38.9%64.0%7.0%0.5%37.1K-1.3M-15.6K0.9414.89N/AN/A85804,0443,939
2020-06-02$17.34$13.0063.6%18.2%90.4%41.2%64.1%10.6%-0.2%32.6K-1.7M-15.4K0.0519.81N/AN/A484234,1034,014
2020-06-03$17.86$13.0058.3%16.7%90.6%35.2%59.6%9.8%2.2%38.2K-2.5M-16.5K0.1517.94N/AN/A253394,4574,021
2020-06-04$18.91$23.0057.8%16.9%90.2%34.6%54.1%10.3%1.4%27.7K-3.4M-16.5K0.5316.31N/AN/A1,5558284,4454,043
2020-06-05$20.62$22.0056.1%16.1%92.1%32.8%56.7%9.3%3.0%32.5K-5.2M-17.6K0.0230.14N/AN/A868155,0084,043
2020-06-08$21.55$22.0064.4%17.1%86.9%42.1%64.1%11.2%0.7%27.1K-6.1M-17.3K0.0526.37N/AN/A526245,0054,052
2020-06-09$21.03$22.0067.5%17.5%84.5%45.5%62.6%9.9%2.0%35.6K-5.8M-18.4K0.3025.90N/AN/A33105,3584,068
2020-06-10$19.51$22.0062.9%18.0%86.6%40.3%62.9%10.1%-2.2%41.7K-4.4M-17.9K0.0631.31N/AN/A221145,3634,069
2020-06-11$17.85$22.0069.0%19.8%91.6%47.2%68.2%12.2%-8.0%52.3K-2.7M-17.7K0.0826.17N/AN/A139115,4304,077
2020-06-12$17.61$22.0070.2%20.1%91.6%48.6%67.7%13.6%-3.5%60.9K-2.5M-17.7K0.9529.74N/AN/A21205,5924,076
2020-06-15$18.27$22.0072.9%20.9%90.7%51.5%82.4%12.8%-5.7%53.3K-3.3M-17.7K2.3521.26N/AN/A17405,5964,082
2020-06-16$19.37$22.0070.4%20.2%88.9%48.7%67.8%11.6%-3.7%39.8K-4.5M-17.8K0.1028.50N/AN/A293305,6114,117
2020-06-17$19.39$22.0069.7%20.0%87.4%48.0%69.0%12.6%-3.6%43.3K-4.7M-17.9K0.0931.07N/AN/A131125,7984,128
2020-06-18$19.38$22.0066.3%19.0%87.3%44.2%63.4%11.6%1.9%43.9K-4.7M-18.0K0.0514.46N/AN/A3825,8894,137
2020-06-19$19.69$22.0063.6%18.2%85.7%41.2%62.0%11.4%2.1%32.3K-5.0M-17.9K0.0226.12N/AN/A11625,9054,138
2020-06-22$18.87$22.0063.8%18.3%87.6%41.4%64.7%8.6%0.9%28.3K-682.9K-16.6K0.7917.48N/AN/A43343,9743,694
2020-06-23$19.48$21.0062.8%18.0%81.3%40.3%58.5%9.5%2.8%35.4K-1.1M-17.1K2.2715.84N/AN/A3618184,0023,730
2020-06-24$18.62$21.0065.2%18.7%79.0%43.0%64.8%7.8%1.4%26.1K-455.6K-15.9K0.1715.72N/AN/A3054,0063,738
2020-06-25$18.62$22.0063.3%18.1%77.4%40.8%63.0%9.1%2.3%25.5K-391.6K-15.6K0.2024.16N/AN/A3063,9903,743
2020-06-26$18.16$22.0067.1%19.2%75.6%45.1%69.9%8.5%0.4%20.6K-124.1K-15.3K1.6723.46N/AN/A9153,9923,748
2020-06-29$18.61$22.0066.1%19.0%72.4%44.0%58.4%7.6%1.6%27.0K-413.1K-15.2K3.7918.62N/AN/A19723,9943,757
2020-06-30$18.73$22.0062.7%18.0%71.7%40.2%66.9%7.9%4.0%28.7K-354.3K-14.5K0.6015.19N/AN/A533,9813,788