TEX Options History — December 2021

In December 2021, TEX traded between $40.44 and $46.37. ATM implied volatility averaged 45.8%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 3.0% (HV 20d: 42.8%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2021-12-01: Highest Volume — 829 contracts
  • 2021-12-15: Largest IV drop — 15.8% change
  • 2021-12-03: Highest IV Rank — 73.3%
  • 2021-12-03: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.81$40.44$46.37$41.65$44.21
Max Pain$45.95$45.00$47.00$45.00$45.00
ATM IV45.8%38.7%60.0%56.8%38.7%
Expected Move12.7%11.1%17.2%16.3%11.1%
HV 20d42.8%37.1%48.1%40.1%37.1%
HV 60d42.7%41.3%44.3%42.3%43.0%
IV Rank27.9%4.7%73.3%63.0%4.7%
IV Percentile49.5%3.6%97.2%95.6%3.6%
Term Structure1.6%-10.8%6.1%-10.8%4.4%
VWIV45.3%35.4%68.2%51.1%35.4%
Skew 25d6.6%-5.3%29.7%7.4%6.9%
Skew 10d16.0%3.6%28.6%26.6%18.1%
Call IV 25d42.1%35.4%54.4%51.5%35.4%
Put IV 25d48.7%41.3%84.1%58.9%42.3%
Bid-Ask Spread %53.2325.0883.0842.4365.49
Gamma HHI0.240.100.450.250.13
Net GEX147.5K-145.1K635.4K110.0K20.3K
Net DEX-4.2K-5.5M3.1M1.9M580.3K
Net VEX-15.7K-25.2K-9.6K-20.0K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.692.070.691.80
Total Volume518.273364829829364
Total OI5,683.0912,6377,7187,6132,945

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$41.65$45.0056.8%16.3%40.1%63.0%51.1%7.4%-10.8%110.0K1.9M-20.0K0.6942.43N/AN/A4923375,3852,228
2021-12-02$43.55$45.0052.0%14.9%43.8%47.7%48.2%6.0%-7.3%256.9K-434.5K-23.3K0.8867.15N/AN/A3633205,3822,252
2021-12-03$42.70$45.0060.0%17.2%44.1%73.3%68.2%29.7%-6.3%222.9K134.5K-23.6K1.5983.08N/AN/A1913035,4052,253
2021-12-06$44.07$47.0052.8%13.7%43.7%50.2%50.8%6.3%0.3%312.0K-1.2M-22.7K1.8846.51N/AN/A1683155,4002,256
2021-12-07$45.77$47.0046.4%12.5%43.7%29.6%47.3%4.5%1.7%494.5K-4.1M-25.2K1.6450.60N/AN/A1903125,3982,274
2021-12-08$46.37$47.0044.9%12.5%43.9%24.9%45.2%4.5%5.9%635.4K-5.5M-24.7K1.2333.65N/AN/A2473035,4262,282
2021-12-09$45.91$47.0046.0%12.4%42.2%28.2%44.2%4.3%2.1%572.1K-4.0M-22.5K1.1529.33N/AN/A2552925,4022,278
2021-12-10$44.95$47.0048.2%12.0%41.2%35.4%42.4%5.6%4.3%413.0K-1.6M-19.3K1.1725.08N/AN/A2693165,4002,285
2021-12-13$44.43$47.0049.8%12.2%41.3%40.4%44.8%5.4%2.7%245.5K27.1K-15.6K1.3129.76N/AN/A2583375,4102,297
2021-12-14$43.75$47.0051.5%12.5%41.3%46.2%45.6%5.8%2.2%88.5K1.2M-14.2K1.6355.36N/AN/A1993255,4132,305
2021-12-15$44.03$47.0043.4%12.4%41.3%19.9%47.6%4.8%2.1%11.7K969.8K-13.8K1.5458.92N/AN/A2063175,4052,286
2021-12-16$43.12$46.0043.3%12.4%41.1%19.5%50.2%10.5%2.7%-92.2K2.3M-11.9K1.6758.92N/AN/A1973295,4092,272
2021-12-17$42.44$47.0043.8%12.6%41.3%21.3%46.3%-5.3%5.6%-145.1K3.1M-10.7K2.0763.91N/AN/A2154445,4362,275
2021-12-20$40.44$46.0048.2%13.8%44.0%35.4%45.8%9.1%1.2%-8.6K1.8M-9.6K1.8459.52N/AN/A1522791,5211,116
2021-12-21$42.60$46.0042.6%12.2%47.2%17.4%43.3%7.0%2.5%-5271.2M-10.5K1.0860.69N/AN/A2642841,5411,117
2021-12-22$42.75$45.0041.2%11.8%47.3%12.9%41.4%5.5%-2.5%10.4K1.1M-10.8K1.5857.29N/AN/A1702681,6241,122
2021-12-23$43.72$45.0039.2%11.2%48.1%6.4%40.1%5.4%4.9%13.0K725.9K-11.3K1.5654.11N/AN/A1722681,6301,144
2021-12-27$44.25$45.0040.1%11.5%44.0%9.1%41.5%6.3%5.6%19.4K506.7K-11.0K1.3356.55N/AN/A1922551,6691,144
2021-12-28$44.37$45.0039.7%11.4%43.5%8.0%38.2%5.2%4.8%22.8K404.4K-11.2K1.4151.97N/AN/A1842591,6931,153
2021-12-29$44.49$45.0039.8%11.4%41.2%8.5%40.6%5.8%4.1%21.2K341.6K-11.1K1.8760.08N/AN/A1362541,7081,160
2021-12-30$44.14$45.0040.5%11.6%40.3%10.6%37.3%4.4%6.1%20.5K550.3K-11.0K2.0660.68N/AN/A1312701,7401,187
2021-12-31$44.21$45.0038.7%11.1%37.1%4.7%35.4%6.9%4.4%20.3K580.3K-10.9K1.8065.49N/AN/A1302341,7411,204