TXT Options History — January 2007

In January 2007, TXT traded between $45.67 and $49.10. ATM implied volatility averaged 22.4%. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.8% (HV 20d: 23.2%). Max pain ranged from $47.50 to $47.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.58.

Notable Days

  • 2007-01-22: Highest Volume — 20,866 contracts
  • 2007-01-25: Largest IV drop — 27.6% change
  • 2007-01-23: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.42$45.67$49.10$47.63$46.59
Max Pain$47.50$47.50$47.50$47.50$47.50
ATM IV22.4%18.7%30.4%20.9%20.9%
Expected Move6.6%5.8%8.7%6.0%6.0%
HV 20d23.2%22.7%24.0%23.2%24.0%
Term Structure-0.4%-3.8%2.6%1.8%-0.2%
VWIV23.4%19.8%31.9%20.9%21.8%
Skew 25d2.9%1.8%5.0%2.4%2.9%
Skew 10d5.1%3.4%9.1%4.5%5.4%
Call IV 25d21.6%19.9%25.8%21.6%20.4%
Put IV 25d24.6%23.1%30.8%23.9%23.3%
Bid-Ask Spread %13.657.4832.8216.4328.73
Gamma HHI0.680.330.960.680.76
Net GEX2.1M-7.8M37.6M3.1M-6.2M
Net DEX-15.4M-59.1M48.8M-32.4M19.1M
Net VEX-186.6K-287.9K-107.4K-153.1K-265.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.1426.100.350.44
Total Volume3,479.219820,8661,9282,026
Total OI37,337.422,69259,47425,42659,354

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$47.63$47.5020.9%6.0%0.0%0.0%20.9%2.4%1.8%3.1M-32.4M-153.1K0.3516.431,43249616,2809,146
2007-01-04$47.17$47.5020.3%5.8%0.0%0.0%19.8%2.9%2.6%3.4M-27.5M-161.0K0.3817.962248617,1909,478
2007-01-05$47.11$47.5019.9%6.4%0.0%0.0%23.1%2.8%0.2%3.5M-26.2M-158.8K2.748.156217017,2369,562
2007-01-08$47.10$47.5020.2%6.5%0.0%0.0%21.4%2.8%0.0%3.7M-24.6M-153.1K0.998.4116015817,2209,628
2007-01-09$46.95$47.5018.7%6.5%0.0%0.0%21.4%2.9%0.1%4.1M-23.2M-149.4K0.6410.0237624217,2909,594
2007-01-10$46.97$47.5019.0%6.4%0.0%0.0%22.2%2.9%0.2%4.3M-22.9M-148.0K0.149.201742417,4769,648
2007-01-11$47.88$47.5022.4%6.4%0.0%0.0%23.0%2.4%-0.1%4.6M-39.1M-141.8K0.218.271,61033417,5749,652
2007-01-12$48.09$47.5022.1%6.3%0.0%0.0%22.5%2.4%0.1%4.8M-42.1M-137.7K0.318.6334210618,2149,746
2007-01-16$48.65$47.5023.3%6.7%0.0%0.0%22.4%2.4%-0.5%4.3M-51.2M-119.0K0.3710.652107818,2929,762
2007-01-17$49.10$47.5022.0%6.3%0.0%0.0%25.0%2.3%-0.5%3.5M-59.1M-109.0K0.2910.4563418418,3109,806
2007-01-18$48.95$47.5021.9%6.3%0.0%0.0%22.8%1.8%-0.5%3.4M-57.0M-107.4K1.7810.7611019618,0189,854
2007-01-19$47.58$47.5023.2%6.7%0.0%0.0%23.3%2.5%-0.1%37.6M-37.0M-118.8K0.1911.707,1841,33617,9349,976
2007-01-22$47.41$47.5026.8%7.7%0.0%0.0%29.0%3.0%-2.6%1.3M-24.3M-149.9K26.107.4877020,09613,9888,704
2007-01-23$47.92$47.5030.4%8.7%0.0%0.0%31.9%3.9%-3.8%-4.6M11.0M-287.9K4.298.462,2749,75814,33645,138
2007-01-24$48.29$47.5028.7%8.2%0.0%0.0%28.9%5.0%-3.6%-2.8M-6.3M-259.4K0.8632.822,2881,96415,77637,252
2007-01-25$46.58$47.5020.8%5.9%23.2%0.0%22.1%3.7%-0.1%-5.5M26.5M-277.5K1.7717.593,0825,45015,78238,294
2007-01-26$46.05$47.5022.7%6.5%22.7%0.0%21.4%3.6%-0.3%-6.7M37.0M-287.4K0.8718.5879068416,52640,218
2007-01-29$46.65$47.5020.7%5.9%22.8%0.0%20.8%2.9%-0.2%-5.9M22.7M-272.0K0.2018.1174815016,95040,224
2007-01-30$45.67$47.5022.8%6.5%23.3%0.0%24.7%3.6%-1.0%-7.8M48.8M-275.8K8.7710.633663,21017,05040,270
2007-01-31$46.59$47.5020.9%6.0%24.0%0.0%21.8%2.9%-0.2%-6.2M19.1M-265.8K0.4428.731,40861817,25842,096