TEX Options History — September 2020

In September 2020, TEX traded between $18.38 and $21.68. ATM implied volatility averaged 55.1%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 15.0% (HV 20d: 40.1%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2020-09-08: Highest Volume — 2,818 contracts
  • 2020-09-21: Largest IV spike — 16.8% change
  • 2020-09-08: Highest IV Rank — 37.9%
  • 2020-09-08: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.70$18.38$21.68$19.76$19.35
Max Pain$17.19$17.00$19.00$19.00$17.00
ATM IV55.1%49.4%62.4%53.0%53.2%
Expected Move15.9%14.2%17.7%15.2%15.2%
HV 20d40.1%24.6%57.5%34.3%57.4%
HV 60d44.9%41.3%48.8%48.8%46.8%
IV Rank29.5%22.9%37.9%27.1%27.3%
IV Percentile53.2%41.7%67.9%52.8%47.6%
Term Structure2.4%-2.3%6.4%1.0%6.4%
VWIV54.6%49.4%61.3%53.6%51.0%
Skew 25d6.0%3.2%8.1%4.4%5.2%
Skew 10d14.4%-3.9%38.4%26.4%-3.9%
Call IV 25d52.4%48.2%57.0%52.0%49.5%
Put IV 25d58.4%53.0%62.5%56.5%54.7%
Bid-Ask Spread %51.7024.5979.7238.9941.09
Gamma HHI0.400.130.590.140.59
Net GEX157.6K44.0K252.7K44.0K232.3K
Net DEX-3.8M-8.8M-1.5M-1.7M-3.5M
Net VEX-14.2K-17.2K-10.5K-11.0K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.000.640.190.11
Total Volume481.381232,81893189
Total OI8,189.0955,6459,6165,6459,098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$19.76$19.0053.0%15.2%34.3%27.1%53.6%4.4%1.0%44.0K-1.7M-11.0K0.1938.99N/AN/A78153,0172,628
2020-09-02$19.85$19.0054.6%15.7%30.7%28.9%54.6%6.3%0.2%47.4K-1.8M-11.3K0.2159.03N/AN/A1943,0662,628
2020-09-03$19.47$17.0050.6%16.2%30.4%24.3%54.7%7.6%3.1%44.7K-1.5M-11.0K0.5778.11N/AN/A30173,0922,628
2020-09-04$20.23$17.0054.6%15.6%32.7%28.9%53.1%6.0%0.4%52.4K-2.0M-10.8K0.2772.53N/AN/A52143,0692,643
2020-09-08$20.19$17.0062.4%17.7%27.8%37.9%61.3%5.9%-2.3%50.9K-2.1M-10.5K0.0273.59N/AN/A2,753653,0772,635
2020-09-09$19.90$17.0059.7%17.1%24.6%34.8%59.4%5.5%-0.7%102.9K-3.3M-14.2K0.0156.98N/AN/A1,441104,5132,680
2020-09-10$19.24$17.0058.3%16.7%26.5%33.2%56.4%8.1%0.0%150.9K-3.6M-16.6K0.0579.72N/AN/A598285,8312,680
2020-09-11$19.37$17.0056.6%16.2%26.7%31.2%55.5%6.5%1.2%177.9K-4.2M-17.2K0.0553.06N/AN/A330176,2792,694
2020-09-14$19.68$17.0054.6%15.7%27.1%29.0%54.4%6.9%2.9%203.1K-4.8M-17.1K0.2165.21N/AN/A140306,5162,711
2020-09-15$19.70$17.0053.4%15.3%25.9%27.6%53.4%7.4%0.7%212.9K-4.8M-16.8K0.0456.25N/AN/A8536,5612,721
2020-09-16$21.04$17.0051.5%14.8%34.6%25.3%49.4%6.7%2.7%252.7K-7.4M-16.6K0.0367.18N/AN/A561196,5952,720
2020-09-17$21.61$17.0050.1%14.4%35.7%23.8%52.9%4.9%5.2%251.4K-8.3M-15.2K0.0252.18N/AN/A1,243206,4462,728
2020-09-18$21.68$17.0049.4%14.2%35.5%22.9%51.0%4.5%5.5%224.6K-8.8M-16.5K0.0353.14N/AN/A428146,8742,742
2020-09-21$19.32$17.0057.6%16.5%55.3%32.4%58.8%7.5%3.1%190.4K-4.0M-15.7K0.4046.17N/AN/A7903186,2182,569
2020-09-22$19.22$17.0057.3%16.4%55.3%32.1%55.4%6.0%2.9%181.0K-3.7M-15.7K0.0724.59N/AN/A196136,2262,795
2020-09-23$18.59$17.0055.7%16.0%56.1%30.2%58.0%3.2%3.0%157.9K-2.7M-14.5K0.6428.80N/AN/A154996,2852,796
2020-09-24$18.38$17.0058.3%16.7%55.4%33.2%55.5%4.1%1.6%142.2K-2.3M-13.8K0.0830.89N/AN/A9176,1872,853
2020-09-25$18.43$17.0057.2%16.4%55.3%31.9%51.9%7.5%4.2%151.2K-2.3M-13.3K0.0037.22N/AN/A8406,2022,850
2020-09-28$19.17$17.0054.5%15.6%57.5%28.8%54.1%5.0%4.3%209.7K-3.4M-13.6K0.2224.89N/AN/A55126,2002,850
2020-09-29$19.43$17.0054.2%15.5%57.4%28.5%52.5%6.5%5.0%228.6K-3.8M-13.3K0.3646.12N/AN/A64236,2162,852
2020-09-30$19.35$17.0053.2%15.2%57.4%27.3%51.0%5.2%6.4%232.3K-3.5M-12.7K0.1141.09N/AN/A171186,2332,865