TEX Options History — August 2020

In August 2020, TEX traded between $18.80 and $21.28. ATM implied volatility averaged 52.9%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 6.9% (HV 20d: 45.9%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2020-08-10: Highest Volume — 391 contracts
  • 2020-08-31: Largest IV spike — 5.7% change
  • 2020-08-03: Highest IV Rank — 32.8%
  • 2020-08-03: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.02$18.80$21.28$18.98$19.73
Max Pain$18.81$17.00$20.00$20.00$19.00
ATM IV52.9%49.6%58.0%58.0%52.9%
Expected Move15.2%14.2%16.6%16.6%15.2%
HV 20d45.9%33.9%51.6%49.8%34.5%
HV 60d61.2%49.7%71.8%71.8%49.7%
IV Rank26.9%23.1%32.8%32.8%26.9%
IV Percentile52.8%47.6%59.1%59.1%52.4%
Term Structure1.2%-1.7%5.2%-1.6%0.4%
VWIV53.2%48.9%61.2%54.2%53.8%
Skew 25d5.4%2.1%8.4%6.3%2.1%
Skew 10d16.8%7.3%32.2%19.3%8.1%
Call IV 25d50.7%47.9%54.5%54.5%52.4%
Put IV 25d56.2%53.0%60.9%60.9%54.5%
Bid-Ask Spread %30.8817.1249.4022.4332.39
Gamma HHI0.170.130.430.160.14
Net GEX50.0K28.7K108.3K29.2K43.0K
Net DEX-1.8M-2.8M-1.2M-1.2M-1.7M
Net VEX-11.1K-11.7K-10.0K-10.9K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.005.500.000.33
Total Volume77.7624391664
Total OI5,280.7144,9175,7514,9175,644

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$18.98$20.0058.0%16.6%49.8%32.8%54.2%6.3%-1.6%29.2K-1.2M-10.9K0.0022.43N/AN/A6602,7802,137
2020-08-04$18.80$20.0056.6%16.2%48.2%31.2%56.3%6.2%-1.1%28.7K-1.2M-11.0K0.0224.80N/AN/A4312,8222,137
2020-08-05$19.64$20.0053.6%15.4%50.4%27.7%54.1%8.4%0.3%39.5K-1.6M-11.2K0.0017.12N/AN/A402,8612,138
2020-08-06$19.22$17.0054.6%15.6%49.0%28.9%54.7%5.8%1.4%35.6K-1.4M-10.9K5.5033.80N/AN/A2112,8572,138
2020-08-07$19.57$19.0052.8%15.7%49.0%26.8%61.2%6.8%-1.1%38.3K-1.5M-10.7K1.0034.10N/AN/A222,8572,148
2020-08-10$20.53$19.0054.9%15.5%50.8%29.3%59.8%5.7%0.9%51.3K-2.2M-11.0K5.0233.31N/AN/A653262,8892,143
2020-08-11$21.28$19.0054.9%15.8%51.6%29.3%52.4%5.7%0.8%62.4K-2.8M-10.9K0.0130.03N/AN/A8412,9172,102
2020-08-12$20.93$19.0053.5%15.3%50.4%27.7%50.8%5.5%1.1%62.5K-2.5M-10.8K0.2831.02N/AN/A36102,9562,102
2020-08-13$20.76$19.0052.9%15.2%50.6%27.0%0.0%6.2%0.9%61.8K-2.4M-10.7K1.0818.74N/AN/A26282,9772,110
2020-08-14$20.99$19.0053.1%15.2%50.3%27.1%53.4%7.0%1.1%66.4K-2.6M-10.6K3.3327.17N/AN/A15502,9962,135
2020-08-17$20.47$19.0054.3%15.6%49.7%28.6%51.9%4.9%1.9%59.9K-2.2M-10.2K0.0429.01N/AN/A5522,9942,135
2020-08-18$20.12$19.0052.5%15.0%47.0%26.4%50.6%3.9%3.7%55.4K-1.9M-10.0K0.0019.94N/AN/A803,0022,137
2020-08-19$20.09$19.0052.3%15.0%45.1%26.2%53.2%3.4%-1.7%48.6K-1.7M-11.7K0.8023.69N/AN/A79633,0092,706
2020-08-20$19.96$17.0051.2%14.7%45.2%25.0%55.4%5.7%3.0%53.6K-1.6M-11.6K0.1234.28N/AN/A4253,0352,713
2020-08-21$19.88$18.0049.9%14.3%44.0%23.5%51.6%5.2%2.7%108.3K-1.5M-11.4K0.1047.73N/AN/A125123,0332,718
2020-08-24$19.88$18.0051.6%14.8%42.3%25.4%51.2%5.1%1.6%34.2K-1.6M-11.4K0.0823.36N/AN/A127102,7662,566
2020-08-25$19.51$18.0051.1%14.7%41.6%24.9%51.4%7.5%0.6%36.3K-1.5M-11.3K0.2137.53N/AN/A176372,8862,575
2020-08-26$19.95$19.0050.0%14.3%41.3%23.6%50.1%6.0%1.9%41.7K-1.7M-11.5K1.5041.82N/AN/A8122,9422,612
2020-08-27$20.09$19.0049.6%14.2%40.1%23.1%48.9%4.4%5.2%45.5K-1.9M-11.7K0.6936.83N/AN/A42292,9742,623
2020-08-28$20.10$19.0050.0%14.3%33.9%23.7%49.9%2.1%2.5%47.1K-1.9M-11.5K1.5049.40N/AN/A10153,0072,616
2020-08-31$19.73$19.0052.9%15.2%34.5%26.9%53.8%2.1%0.4%43.0K-1.7M-11.3K0.3332.39N/AN/A313,0172,627