TEX Options History — November 2021

In November 2021, TEX traded between $42.66 and $50.55. ATM implied volatility averaged 43.9%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 0.9% (HV 20d: 44.8%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2021-11-18: Highest Volume — 4,887 contracts
  • 2021-11-08: Largest IV spike — 26.6% change
  • 2021-11-29: Highest IV Rank — 48.7%
  • 2021-11-29: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.36$42.66$50.55$47.07$42.66
Max Pain$44.71$43.00$45.00$43.00$45.00
ATM IV43.9%40.1%52.3%42.5%51.7%
Expected Move12.4%11.4%15.0%12.2%14.8%
HV 20d44.8%39.5%49.1%48.9%39.5%
HV 60d40.9%39.8%42.2%40.8%42.2%
IV Rank21.5%9.3%48.7%17.0%46.8%
IV Percentile38.8%14.3%87.7%31.7%84.9%
Term Structure-0.6%-4.0%5.0%-2.3%5.0%
VWIV42.8%39.9%50.6%43.3%48.9%
Skew 25d2.5%0.3%9.6%2.3%7.1%
Skew 10d5.7%-9.5%18.4%6.3%12.2%
Call IV 25d41.9%39.0%47.7%41.7%47.7%
Put IV 25d44.4%41.3%56.1%44.1%54.8%
Bid-Ask Spread %55.5122.1388.2150.0363.93
Gamma HHI0.260.200.390.200.28
Net GEX818.2K177.9K1.9M692.9K177.9K
Net DEX-12.5M-21.0M626.1K-12.5M626.1K
Net VEX-32.2K-38.7K-22.5K-37.6K-22.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.081.290.690.73
Total Volume1,456.4295184,887778870
Total OI8,467.9527,08511,3328,3147,433

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$47.07$43.0042.5%12.2%48.9%17.0%43.3%2.3%-2.3%692.9K-12.5M-37.6K0.6950.03N/AN/A4593196,1092,205
2021-11-02$46.66$43.0046.2%13.3%49.1%29.1%41.8%0.5%-1.4%731.5K-11.7M-36.8K0.8743.69N/AN/A3443006,1232,131
2021-11-03$46.75$43.0042.4%12.2%48.8%16.9%42.3%2.8%-2.0%742.7K-11.8M-35.8K1.0152.28N/AN/A3623656,1222,137
2021-11-04$47.00$45.0042.3%11.5%48.3%16.3%41.6%3.5%-1.5%786.3K-12.5M-34.9K1.1733.46N/AN/A3153706,1512,161
2021-11-05$48.64$45.0040.5%11.4%46.0%10.7%40.9%2.1%-1.6%760.3K-16.8M-33.2K0.7045.19N/AN/A4543176,1352,161
2021-11-08$50.55$45.0051.3%11.8%45.9%45.4%41.7%1.2%-0.3%619.8K-21.0M-28.6K0.5861.83N/AN/A5182996,0202,131
2021-11-09$49.79$45.0045.0%12.2%44.7%25.2%42.2%2.7%-1.8%690.0K-19.3M-29.9K0.1259.85N/AN/A2,6453136,0332,187
2021-11-10$47.98$45.0042.7%12.2%47.5%17.6%42.9%1.2%-1.5%806.0K-14.2M-30.9K0.2052.49N/AN/A1,5483135,8732,192
2021-11-11$49.31$45.0044.4%12.7%47.2%23.1%41.6%1.1%-0.6%746.8K-17.6M-29.0K0.2322.13N/AN/A1,5223545,9132,220
2021-11-12$48.98$45.0040.1%11.5%44.2%9.3%40.4%1.6%-0.1%807.3K-17.4M-29.0K0.2246.55N/AN/A1,5383325,9642,351
2021-11-15$48.26$45.0041.0%11.8%44.8%12.3%40.9%1.6%-0.1%1.1M-16.8M-29.4K0.1551.82N/AN/A1,9232926,4012,355
2021-11-16$48.50$45.0040.8%11.7%44.6%11.6%41.5%1.1%0.2%1.1M-17.8M-29.1K0.1062.60N/AN/A3,2473416,6122,370
2021-11-17$47.31$45.0040.7%11.7%43.2%11.2%40.3%1.6%0.6%1.7M-17.1M-38.7K0.7750.78N/AN/A4403388,9432,389
2021-11-18$46.81$45.0040.5%11.6%43.0%10.5%39.9%2.5%0.3%1.9M-14.4M-35.7K0.0852.44N/AN/A4,5063818,9172,401
2021-11-19$46.27$45.0040.6%11.6%43.2%11.0%44.1%0.3%1.4%1.6M-12.0M-33.1K0.5473.19N/AN/A1,0695808,6472,428
2021-11-22$47.62$45.0041.5%11.9%43.5%13.7%41.0%1.5%0.3%500.6K-8.3M-34.6K0.6357.76N/AN/A4492835,0452,040
2021-11-23$47.36$45.0041.6%11.9%42.2%14.1%42.0%2.9%0.5%516.0K-7.8M-34.5K1.2455.03N/AN/A2362925,2812,044
2021-11-24$47.76$45.0041.6%11.9%39.9%14.3%43.1%2.3%-0.2%543.5K-8.8M-34.6K1.2960.79N/AN/A2262925,3112,052
2021-11-26$45.07$45.0051.8%14.8%43.0%46.9%50.6%9.6%-3.5%381.7K-3.8M-31.1K1.1788.21N/AN/A2452875,3192,052
2021-11-29$44.27$45.0052.3%15.0%42.7%48.7%47.0%3.5%-4.0%321.2K-2.0M-26.9K0.3481.64N/AN/A9693325,3342,134
2021-11-30$42.66$45.0051.7%14.8%39.5%46.8%48.9%7.1%5.0%177.9K626.1K-22.5K0.7363.93N/AN/A5043665,2472,186