TEX Options History — September 2021

In September 2021, TEX traded between $42.33 and $50.28. ATM implied volatility averaged 42.5%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 6.2% (HV 20d: 36.3%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2021-09-28: Highest Volume — 1,694 contracts
  • 2021-09-07: Largest IV spike — 13.8% change
  • 2021-09-28: Highest IV Rank — 31.8%
  • 2021-09-28: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.35$42.33$50.28$49.86$42.48
Max Pain$46.43$46.00$50.00$50.00$46.00
ATM IV42.5%37.2%47.1%41.9%46.8%
Expected Move12.2%11.1%13.5%12.0%13.4%
HV 20d36.3%30.8%39.1%35.3%37.3%
HV 60d41.4%39.4%43.7%43.7%40.4%
IV Rank16.9%0.0%31.8%14.0%31.0%
IV Percentile26.9%0.0%51.2%22.6%50.8%
Term Structure1.5%-0.5%9.4%1.3%0.1%
VWIV43.2%39.8%47.3%39.8%46.2%
Skew 25d2.7%0.2%5.0%0.2%3.1%
Skew 10d8.2%-1.7%21.1%8.3%4.6%
Call IV 25d42.0%39.4%45.9%39.4%45.6%
Put IV 25d44.7%39.6%49.7%39.6%48.7%
Bid-Ask Spread %51.0021.5764.0858.0351.66
Gamma HHI0.190.100.520.490.23
Net GEX87.4K-3.8K270.4K266.9K118.5K
Net DEX-817.7K-5.9M1.9M-5.8M-195.5K
Net VEX-33.1K-40.2K-28.4K-40.2K-37.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.065.160.480.10
Total Volume371.095561,694257824
Total OI7,632.2866,4499,0496,8748,917

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$49.86$50.0041.9%12.0%35.3%14.0%39.8%0.2%1.3%266.9K-5.8M-40.2K0.4858.03N/AN/A174834,5652,309
2021-09-02$50.28$47.0040.5%11.5%35.3%9.5%41.9%2.2%5.3%270.4K-5.9M-38.7K0.5163.01N/AN/A37194,5462,750
2021-09-03$49.00$47.0037.2%11.5%35.1%0.0%39.8%2.4%1.0%184.1K-3.9M-37.8K0.9655.03N/AN/A1341284,5732,830
2021-09-07$48.15$47.0042.3%11.7%35.1%16.5%42.0%1.9%1.3%141.5K-2.8M-34.8K0.8045.15N/AN/A92744,5762,847
2021-09-08$46.72$47.0041.3%11.8%35.1%13.2%41.5%2.2%0.8%71.1K-701.3K-34.1K0.1760.11N/AN/A1,0451804,5512,967
2021-09-09$46.82$47.0041.0%11.8%32.7%12.3%41.6%2.2%1.1%67.3K-573.4K-33.6K0.3633.31N/AN/A66244,5863,026
2021-09-10$46.35$46.0040.2%11.5%31.6%9.6%42.6%1.8%2.6%141.5K-2.3M-36.8K2.0248.75N/AN/A46935,3453,164
2021-09-13$45.93$46.0041.2%11.8%30.8%12.9%40.7%3.3%1.2%122.9K-1.4M-34.1K1.2746.00N/AN/A1171495,3543,182
2021-09-14$43.41$46.0043.4%12.4%35.4%20.0%42.9%2.7%-0.2%37.5K1.9M-30.0K1.5148.66N/AN/A1782685,3413,252
2021-09-15$45.28$46.0039.1%11.2%39.0%6.1%41.9%3.1%0.1%88.8K-193.7K-32.8K0.7752.34N/AN/A1461125,3583,354
2021-09-16$45.34$46.0041.9%12.0%39.1%15.2%42.0%3.6%1.9%74.9K-200.2K-33.5K1.5021.57N/AN/A1001505,4153,551
2021-09-17$44.62$46.0041.5%11.9%38.2%14.0%42.3%2.5%1.6%-3.8K810.8K-32.2K5.1646.70N/AN/A321655,4743,575
2021-09-20$44.13$46.0046.4%13.3%38.1%29.7%46.3%5.0%0.3%54.7K-303.3K-31.2K0.4748.23N/AN/A3321573,9672,482
2021-09-21$42.33$46.0045.1%12.9%38.9%25.4%44.9%2.7%0.7%10.3K1.6M-28.4K0.4457.75N/AN/A50223,9752,539
2021-09-22$42.35$46.0044.5%12.8%36.5%23.5%45.4%3.0%-0.2%13.3K1.5M-29.7K3.5356.55N/AN/A531874,1052,695
2021-09-23$43.46$46.0038.7%11.1%38.1%4.9%41.1%3.0%9.4%32.9K578.1K-30.1K0.3048.92N/AN/A60184,1162,716
2021-09-24$43.66$46.0042.2%12.1%38.1%16.0%46.7%4.0%1.9%16.8K762.8K-30.4K4.3550.89N/AN/A522264,1392,870
2021-09-27$44.93$46.0043.3%12.4%37.5%19.5%44.1%2.2%1.4%59.6K-846.7K-31.1K0.2361.11N/AN/A183424,2022,889
2021-09-28$44.10$46.0047.1%13.5%37.7%31.8%46.2%3.8%-0.5%45.3K-125.2K-30.0K0.0664.08N/AN/A1,5921024,2222,824
2021-09-29$43.19$46.0046.4%13.3%37.6%29.6%47.3%1.8%0.4%21.0K848.3K-28.5K0.7553.13N/AN/A1611204,2932,836
2021-09-30$42.48$46.0046.8%13.4%37.3%31.0%46.2%3.1%0.1%118.5K-195.5K-37.0K0.1051.66N/AN/A749755,8783,039