TEX Options History — January 2021

In January 2021, TEX traded between $34.45 and $38.90. ATM implied volatility averaged 54.2%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 10.7% (HV 20d: 43.5%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.21.

Notable Days

  • 2021-01-06: Highest Volume — 332 contracts
  • 2021-01-11: Largest IV spike — 19.6% change
  • 2021-01-29: Highest IV Rank — 35.0%
  • 2021-01-29: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.31$34.45$38.90$34.45$35.77
Max Pain$34.37$33.00$35.00$33.00$35.00
ATM IV54.2%47.9%62.2%53.2%62.2%
Expected Move15.4%14.7%17.8%15.3%17.8%
HV 20d43.5%35.1%54.8%39.9%54.8%
HV 60d56.9%55.8%58.9%55.8%58.7%
IV Rank25.7%18.6%35.0%24.9%35.0%
IV Percentile38.5%12.3%67.5%37.7%67.5%
Term Structure-0.0%-4.3%1.8%-0.6%-4.3%
VWIV53.9%51.3%62.9%52.6%62.9%
Skew 25d1.5%0.4%4.2%2.9%4.2%
Skew 10d7.4%-8.3%18.1%8.6%8.0%
Call IV 25d53.3%51.3%61.7%51.5%61.7%
Put IV 25d54.8%52.6%65.9%54.4%65.9%
Bid-Ask Spread %29.9317.4258.3921.2447.33
Gamma HHI0.190.100.320.260.14
Net GEX140.8K77.5K220.1K180.6K110.3K
Net DEX-7.3M-11.6M-3.0M-7.4M-3.9M
Net VEX-13.7K-15.9K-11.9K-12.2K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.020.680.100.07
Total Volume181.6847633225498
Total OI4,283.5792,6105,6535,0193,471

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$34.45$33.0053.2%15.3%39.9%24.9%52.6%2.9%-0.6%180.6K-7.4M-12.2K0.1021.24N/AN/A231233,3841,635
2021-01-05$35.22$33.0055.3%15.1%35.1%27.5%52.8%2.7%0.3%184.5K-8.2M-13.1K0.0517.42N/AN/A7743,5181,649
2021-01-06$38.19$33.0051.1%15.1%45.0%22.5%53.2%2.9%0.1%148.4K-10.7M-11.9K0.1725.58N/AN/A284483,5251,653
2021-01-07$38.46$34.0047.9%14.8%44.0%18.6%51.5%1.2%0.7%151.4K-11.1M-13.1K0.0322.84N/AN/A14653,6511,688
2021-01-08$37.80$34.0049.3%15.0%44.6%20.3%52.5%0.6%1.8%176.9K-10.6M-13.4K0.0222.16N/AN/A23643,6821,701
2021-01-11$38.00$34.0059.0%15.3%43.5%31.9%54.5%1.2%1.5%200.2K-11.1M-13.1K0.2323.09N/AN/A194453,8311,702
2021-01-12$38.90$34.0061.9%15.3%44.0%34.6%53.1%0.9%0.4%158.9K-11.6M-13.2K0.0630.08N/AN/A14183,7621,745
2021-01-13$37.23$34.0053.5%15.3%46.1%24.6%54.2%1.6%0.9%220.1K-10.2M-13.5K0.0822.96N/AN/A10993,7851,753
2021-01-14$37.91$34.0053.1%15.2%40.3%24.1%53.4%1.2%0.2%183.0K-10.9M-13.0K0.5917.66N/AN/A86513,7871,761
2021-01-15$37.42$35.0053.7%15.4%40.2%24.7%52.5%1.0%0.5%198.4K-10.3M-13.4K0.0627.52N/AN/A14383,8411,812
2021-01-19$38.53$35.0053.1%15.2%41.2%24.0%53.3%1.5%0.6%77.5K-4.2M-13.1K0.6824.70N/AN/A1681151,913697
2021-01-20$38.36$35.0052.3%15.0%40.8%23.0%52.0%0.4%-0.1%90.5K-4.4M-13.8K0.5631.80N/AN/A1941092,056760
2021-01-21$38.42$35.0051.9%14.9%40.8%22.6%52.0%2.2%1.0%97.7K-4.6M-14.9K0.0532.01N/AN/A9452,192799
2021-01-22$38.69$35.0051.4%14.7%40.6%22.0%51.3%1.3%0.5%103.9K-4.8M-15.1K0.3127.17N/AN/A58182,241804
2021-01-25$37.20$35.0054.1%15.5%43.1%25.3%54.1%0.8%-0.1%100.9K-4.2M-14.7K0.0235.55N/AN/A17432,281784
2021-01-26$36.36$35.0054.2%15.5%43.9%25.4%54.2%1.9%-0.7%101.4K-3.8M-14.5K0.4133.95N/AN/A64262,341785
2021-01-27$34.73$35.0056.1%16.1%46.8%27.6%56.3%0.4%0.2%84.5K-3.0M-14.1K0.4758.39N/AN/A131612,372810
2021-01-28$37.31$35.0057.2%16.4%52.5%29.0%58.0%0.4%-3.0%106.0K-4.3M-15.1K0.0847.20N/AN/A261212,354863
2021-01-29$35.77$35.0062.2%17.8%54.8%35.0%62.9%4.2%-4.3%110.3K-3.9M-15.9K0.0747.33N/AN/A9262,607864