TEX Options History — November 2020

In November 2020, TEX traded between $24.85 and $33.35. ATM implied volatility averaged 52.4%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 20.1% (HV 20d: 72.6%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2020-11-09: Highest Volume — 1,205 contracts
  • 2020-11-05: Largest IV drop — 7.7% change
  • 2020-11-02: Highest IV Rank — 36.1%
  • 2020-11-02: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.36$24.85$33.35$25.92$31.16
Max Pain$24.10$21.00$25.00$21.00$25.00
ATM IV52.4%48.2%60.8%60.8%53.0%
Expected Move15.0%13.8%17.4%17.4%15.2%
HV 20d72.6%47.4%78.8%47.4%78.8%
HV 60d62.1%52.3%65.8%52.3%65.8%
IV Rank26.4%21.5%36.1%36.1%27.1%
IV Percentile35.5%24.6%61.9%61.9%36.1%
Term Structure-0.9%-3.6%0.7%-3.2%-1.9%
VWIV52.1%47.7%68.7%60.4%50.0%
Skew 25d3.3%-0.8%7.6%5.7%0.5%
Skew 10d6.7%-21.9%21.8%11.0%1.6%
Call IV 25d50.4%46.7%57.9%57.9%52.2%
Put IV 25d53.6%48.0%64.2%63.6%52.7%
Bid-Ask Spread %50.3935.2575.0961.9666.18
Gamma HHI0.140.120.170.120.15
Net GEX159.7K123.4K197.2K137.3K153.8K
Net DEX-8.3M-11.6M-4.3M-5.3M-6.7M
Net VEX-14.9K-16.6K-13.2K-15.6K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.005.400.180.20
Total Volume270.7321,205275159
Total OI6,560.35,0657,6585,7955,474

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$25.92$21.0060.8%17.4%47.4%36.1%60.4%5.7%-3.2%137.3K-5.3M-15.6K0.1861.96N/AN/A233424,1181,677
2020-11-03$27.72$21.0060.2%17.3%51.0%35.4%59.6%7.6%-3.6%140.7K-7.1M-14.9K0.3952.92N/AN/A3411344,1181,677
2020-11-04$24.85$21.0058.1%16.7%64.3%33.0%68.7%7.6%-2.1%147.0K-4.3M-15.9K3.4775.09N/AN/A1645694,4691,754
2020-11-05$26.56$23.0053.6%15.3%68.0%27.8%51.0%4.7%-0.4%161.3K-6.2M-16.3K0.1038.34N/AN/A6364,4682,288
2020-11-06$26.43$23.0053.7%15.2%67.7%27.8%50.3%6.6%0.1%170.4K-6.1M-16.6K0.0040.75N/AN/A11204,5762,283
2020-11-09$29.47$23.0055.9%15.2%77.0%30.4%52.4%1.6%-2.9%156.5K-9.9M-14.2K0.1451.83N/AN/A1,0531524,5952,266
2020-11-10$29.46$25.0053.6%14.9%73.5%27.8%51.4%2.7%-1.3%179.5K-10.0M-15.7K0.0042.81N/AN/A13404,8742,390
2020-11-11$28.25$25.0051.0%14.6%75.6%24.8%52.8%4.8%-0.8%197.2K-8.5M-16.0K0.0239.03N/AN/A24764,8982,390
2020-11-12$27.92$25.0051.0%14.6%75.9%24.8%51.6%4.3%0.2%195.0K-8.0M-15.7K5.4048.00N/AN/A5274,8282,396
2020-11-13$28.88$25.0051.4%14.7%76.4%25.2%50.2%3.3%-1.7%183.4K-9.3M-15.0K0.5442.74N/AN/A95514,8272,423
2020-11-16$30.06$25.0050.0%14.3%77.2%23.7%49.7%2.7%-1.4%175.1K-10.8M-14.1K0.2547.73N/AN/A102264,9122,472
2020-11-17$29.47$25.0050.1%14.4%77.7%23.7%50.9%2.9%-0.1%177.5K-10.1M-14.2K0.1548.50N/AN/A107164,9042,498
2020-11-18$30.81$25.0049.8%14.3%77.2%23.4%49.5%2.3%-0.4%158.8K-11.6M-13.8K0.3144.12N/AN/A3641134,9342,500
2020-11-19$30.53$25.0050.7%14.5%77.5%24.4%50.3%2.4%-1.0%177.8K-11.4M-14.4K0.6246.32N/AN/A85535,0342,541
2020-11-20$30.58$25.0048.2%13.8%77.5%21.5%47.7%4.8%0.4%123.4K-11.4M-14.4K0.0135.25N/AN/A28245,0662,592
2020-11-23$32.02$25.0049.0%14.1%76.4%22.5%49.4%0.1%0.7%132.8K-7.2M-13.9K0.2350.61N/AN/A158363,2621,803
2020-11-24$33.35$25.0048.8%14.0%76.1%22.2%49.1%-0.8%0.3%127.8K-8.1M-13.2K0.0062.38N/AN/A27813,2841,845
2020-11-25$31.84$25.0049.6%14.2%78.1%23.1%49.1%2.0%-0.7%149.7K-7.2M-14.7K0.9362.09N/AN/A54503,5091,846
2020-11-27$31.90$25.0049.7%14.2%78.1%23.2%48.3%-0.7%0.7%149.7K-7.3M-14.5K0.1551.24N/AN/A80123,5191,896
2020-11-30$31.16$25.0053.0%15.2%78.8%27.1%50.0%0.5%-1.9%153.8K-6.7M-14.5K0.2066.18N/AN/A132273,5731,901