TEX Options History — March 2021

In March 2021, TEX traded between $42.48 and $48.32. ATM implied volatility averaged 48.7%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 8.0% (HV 20d: 40.7%). Max pain ranged from $29.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.50.

Notable Days

  • 2021-03-24: Highest Volume — 11,598 contracts
  • 2021-03-24: Largest IV spike — 18.7% change
  • 2021-03-24: Highest IV Rank — 12.3%
  • 2021-03-03: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.35$42.48$48.32$43.47$46.41
Max Pain$33.74$29.00$40.00$40.00$40.00
ATM IV48.7%43.2%55.5%51.5%43.3%
Expected Move13.8%12.4%14.8%14.8%12.4%
HV 20d40.7%33.8%45.0%42.3%42.1%
HV 60d44.6%41.9%46.4%46.1%46.2%
IV Rank4.0%0.0%12.3%5.3%0.2%
IV Percentile10.3%0.0%42.9%19.0%0.4%
Term Structure1.7%-1.8%5.3%-1.2%5.3%
VWIV48.8%43.3%58.3%50.5%43.8%
Skew 25d-0.3%-7.9%2.2%0.2%0.1%
Skew 10d1.0%-17.7%15.6%0.0%-2.0%
Call IV 25d48.6%43.1%57.3%51.2%43.8%
Put IV 25d48.3%40.4%52.1%51.4%43.9%
Bid-Ask Spread %78.8253.7395.1163.2392.87
Gamma HHI0.310.170.710.180.67
Net GEX353.8K123.4K1.3M123.4K932.3K
Net DEX-8.8M-16.4M-4.8M-7.2M-12.2M
Net VEX-24.5K-58.1K-15.7K-15.7K-40.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.004.750.010.15
Total Volume1,2542311,598104605
Total OI6,036.5653,54315,1543,54311,659

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$43.47$40.0051.5%14.8%42.3%5.3%50.5%0.2%-1.2%123.4K-7.2M-15.7K0.0163.23N/AN/A10312,547996
2021-03-02$43.20$40.0050.8%14.6%42.5%4.3%50.9%-0.9%-1.2%130.3K-7.1M-15.7K4.7553.73N/AN/A4192,614996
2021-03-03$43.36$40.0051.6%14.8%42.5%5.4%51.5%-0.0%-1.4%128.8K-7.2M-15.7K0.7859.58N/AN/A124972,6151,015
2021-03-04$42.66$30.0052.5%14.0%42.9%6.8%49.7%1.7%1.6%134.0K-5.9M-18.5K0.0771.49N/AN/A13592,5581,058
2021-03-05$43.81$29.0051.7%14.2%41.5%5.5%49.7%2.2%1.7%148.7K-6.7M-18.8K0.4769.78N/AN/A55262,6191,059
2021-03-08$44.89$30.0055.0%14.7%41.9%10.5%51.3%1.5%0.4%153.8K-7.1M-18.1K0.1964.98N/AN/A177342,5371,045
2021-03-09$45.39$30.0055.5%14.5%40.2%11.1%50.7%0.7%1.0%149.2K-7.3M-18.0K0.1186.30N/AN/A97112,5241,069
2021-03-10$46.06$30.0048.3%13.9%39.9%0.7%49.6%-0.3%2.4%158.4K-7.8M-17.5K0.0185.82N/AN/A16422,5491,064
2021-03-11$46.33$30.0049.2%14.1%39.4%2.0%48.8%-0.2%0.9%166.9K-8.1M-17.5K1.8481.50N/AN/A1112042,5951,066
2021-03-12$47.32$30.0047.9%13.7%38.9%0.1%48.3%1.8%3.6%166.8K-8.7M-17.2K0.5057.04N/AN/A86432,6141,068
2021-03-15$47.35$30.0049.4%14.2%39.0%2.3%49.1%0.8%1.6%173.7K-8.8M-17.4K0.2253.91N/AN/A100222,6381,080
2021-03-16$46.81$30.0048.4%13.9%38.7%0.9%47.9%-0.4%1.0%185.7K-8.6M-17.3K0.4390.56N/AN/A95412,6781,098
2021-03-17$48.32$30.0047.0%13.5%39.0%0.0%47.3%0.8%2.5%157.6K-9.6M-17.1K0.1091.25N/AN/A232242,7111,119
2021-03-18$46.80$30.0046.6%13.4%37.6%0.0%48.7%-1.5%3.7%178.8K-8.5M-17.7K0.0692.66N/AN/A1,7791002,7121,141
2021-03-19$47.08$32.0045.9%13.2%33.8%0.0%46.5%0.5%3.3%287.4K-9.3M-22.1K0.0590.85N/AN/A638324,0071,187
2021-03-22$45.72$31.0043.8%12.6%35.6%0.0%45.5%-0.1%3.8%213.3K-7.0M-21.2K0.4680.43N/AN/A118544,153900
2021-03-23$42.48$32.0043.2%12.4%44.3%0.0%43.3%-2.8%3.6%136.8K-4.8M-18.1K1.0468.25N/AN/A1121164,263954
2021-03-24$43.64$35.0051.2%14.7%45.0%12.3%58.3%-7.9%-1.8%183.3K-5.8M-21.8K0.0591.42N/AN/A11,0545444,2541,069
2021-03-25$44.92$37.0050.2%14.4%43.0%10.7%51.0%-1.3%-0.1%1.0M-14.0M-49.2K0.0795.11N/AN/A4,74834512,4971,383
2021-03-26$45.83$40.0046.6%13.3%43.4%5.2%47.2%-0.3%2.7%1.3M-16.4M-58.1K0.0390.53N/AN/A1,5545113,4371,717
2021-03-29$45.11$40.0046.3%13.3%41.6%4.8%47.6%-1.5%3.0%1.0M-12.7M-47.2K0.0092.66N/AN/A4,0801212,4041,761
2021-03-30$46.13$40.0045.1%12.9%42.1%3.2%45.8%-0.1%3.2%924.9K-12.5M-42.2K0.0788.90N/AN/A8305410,0321,779
2021-03-31$46.41$40.0043.3%12.4%42.1%0.2%43.8%0.1%5.3%932.3K-12.2M-40.7K0.1592.87N/AN/A526799,8171,842