TEX Options History — December 2020

In December 2020, TEX traded between $31.29 and $36.58. ATM implied volatility averaged 50.7%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 0.3% (HV 20d: 50.3%). Max pain ranged from $21.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2020-12-21: Highest Volume — 339 contracts
  • 2020-12-07: Largest IV spike — 4.4% change
  • 2020-12-07: Highest IV Rank — 27.2%
  • 2020-12-14: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.76$31.29$36.58$31.30$35.01
Max Pain$22.14$21.00$27.00$26.00$24.00
ATM IV50.7%48.1%53.1%51.5%48.1%
Expected Move14.5%13.8%15.1%14.8%13.8%
HV 20d50.3%40.8%76.9%76.9%41.3%
HV 60d62.7%56.1%66.0%65.5%56.1%
IV Rank23.8%19.2%27.2%25.4%19.2%
IV Percentile26.2%13.9%36.9%32.1%13.9%
Term Structure1.7%-1.6%3.9%-1.6%3.4%
VWIV50.5%47.3%53.0%51.9%48.0%
Skew 25d1.9%-0.5%3.8%1.6%2.2%
Skew 10d8.7%-11.6%26.4%1.7%5.9%
Call IV 25d49.9%46.4%52.4%51.3%46.4%
Put IV 25d51.8%48.3%54.9%52.8%48.5%
Bid-Ask Spread %68.8144.3083.9744.3083.97
Gamma HHI0.230.150.400.150.25
Net GEX164.5K127.6K226.5K154.8K172.9K
Net DEX-9.4M-11.9M-6.8M-6.8M-7.9M
Net VEX-13.1K-14.4K-12.2K-14.4K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.004.000.630.05
Total Volume132.227103394978
Total OI5,568.0914,8316,2395,4794,999

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$31.30$26.0051.5%14.8%76.9%25.4%51.9%1.6%-1.6%154.8K-6.8M-14.4K0.6344.30N/AN/A30193,5531,926
2020-12-02$31.29$27.0050.7%14.5%73.8%24.4%49.2%1.7%0.1%155.5K-6.8M-14.1K0.1045.86N/AN/A148153,5741,941
2020-12-03$32.57$21.0050.9%14.8%60.8%24.6%51.3%2.0%0.0%160.6K-8.0M-14.1K0.0166.38N/AN/A27123,6761,937
2020-12-04$34.50$21.0050.8%14.4%59.8%24.6%50.8%1.0%1.2%163.6K-9.9M-13.6K0.1468.78N/AN/A102143,8351,938
2020-12-07$34.30$21.0053.1%14.8%59.8%27.2%47.6%1.5%0.4%168.7K-9.8M-13.4K0.0268.28N/AN/A8823,8721,938
2020-12-08$35.39$21.0052.3%14.7%48.7%26.2%50.7%2.0%0.6%160.1K-10.8M-12.3K0.2453.60N/AN/A253603,8821,938
2020-12-09$35.69$21.0051.0%14.6%48.5%24.7%50.2%3.1%0.8%156.6K-11.0M-12.7K0.0373.22N/AN/A10533,9121,976
2020-12-10$34.85$21.0051.1%14.7%46.4%24.9%51.9%1.7%0.8%166.6K-10.1M-13.0K4.0070.92N/AN/A283,8441,979
2020-12-11$35.11$21.0050.8%14.6%45.6%24.5%51.5%0.7%0.8%163.5K-10.4M-12.5K0.1069.59N/AN/A111113,8461,987
2020-12-14$34.23$21.0052.7%15.1%46.6%26.7%52.0%2.0%1.5%185.8K-9.7M-13.2K0.1172.88N/AN/A244273,9661,997
2020-12-15$36.58$22.0051.6%14.8%49.8%25.4%51.8%3.8%1.1%160.6K-11.9M-12.2K0.3872.76N/AN/A88334,0032,022
2020-12-16$36.02$22.0051.3%14.7%49.5%25.1%51.1%1.8%2.9%164.5K-11.4M-12.5K0.2673.44N/AN/A127334,0502,084
2020-12-17$35.86$22.0051.3%14.7%48.0%25.1%52.1%3.0%0.3%187.9K-11.4M-12.8K0.0076.83N/AN/A2504,1412,086
2020-12-18$35.36$22.0051.3%14.7%48.3%25.1%51.0%2.7%2.7%226.5K-10.8M-13.1K0.0877.74N/AN/A178144,1532,086
2020-12-21$35.39$22.0052.5%15.1%48.3%26.6%53.0%2.5%1.7%127.6K-8.4M-12.8K0.2876.40N/AN/A265743,2721,559
2020-12-22$35.15$22.0050.8%14.6%46.2%24.5%50.2%1.7%2.8%142.6K-8.5M-13.8K0.0773.76N/AN/A167123,4661,580
2020-12-23$35.84$22.0049.3%14.1%44.6%20.8%48.9%-0.5%2.9%147.9K-9.1M-13.5K0.2173.85N/AN/A1943,4831,592
2020-12-24$35.59$22.0048.2%13.8%40.8%19.3%51.9%2.5%3.9%149.5K-8.9M-13.3K0.0880.93N/AN/A7563,4751,598
2020-12-28$35.24$22.0048.9%14.0%41.2%20.1%48.4%0.5%3.7%163.1K-8.6M-13.0K0.0968.74N/AN/A8173,4811,604
2020-12-29$34.42$22.0048.8%14.0%41.2%20.0%49.2%2.1%3.4%165.3K-7.9M-13.1K0.3970.93N/AN/A46183,4981,610
2020-12-30$34.96$22.0048.3%13.8%41.4%19.4%47.3%2.5%3.2%174.1K-8.4M-12.8K0.1950.71N/AN/A3773,5151,624
2020-12-31$35.01$24.0048.1%13.8%41.3%19.2%48.0%2.2%3.4%172.9K-7.9M-12.6K0.0583.97N/AN/A7443,3681,631