TXT Options History — March 2007

In March 2007, TXT traded between $44.08 and $46.72. ATM implied volatility averaged 24.2%. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.2% (HV 20d: 24.5%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.29.

Notable Days

  • 2007-03-16: Highest Volume — 9,078 contracts
  • 2007-03-06: Largest IV drop — 13.1% change
  • 2007-03-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.20$44.08$46.72$45.85$44.90
Max Pain$46.48$45.00$47.50$45.00$45.00
ATM IV24.2%21.8%26.4%26.4%23.8%
Expected Move7.0%6.3%7.6%7.6%6.8%
HV 20d24.5%21.5%28.2%21.7%21.5%
HV 60d22.6%22.3%22.9%22.9%22.3%
Term Structure-1.5%-3.1%-0.2%-0.7%-0.9%
VWIV23.9%19.8%26.4%26.4%23.5%
Skew 25d2.7%1.5%3.5%1.9%2.1%
Skew 10d4.4%2.7%8.2%2.9%3.3%
Call IV 25d23.0%21.0%25.9%25.1%23.0%
Put IV 25d25.8%24.3%27.4%27.0%25.1%
Bid-Ask Spread %14.679.1722.2820.5017.32
Gamma HHI0.410.260.940.290.37
Net GEX-2.3M-26.0M97.3K-166.3K-1.2M
Net DEX16.1M-5.0M43.6M5.6M12.2M
Net VEX-139.4K-169.3K-117.5K-168.4K-164.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.107.996.691.49
Total Volume2,401.6364929,0783,5381,190
Total OI32,242.27317,21242,22038,34826,012

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$45.85$45.0026.4%7.6%21.7%0.0%26.4%1.9%-0.7%-166.3K5.6M-168.4K6.6920.504603,07819,49218,856
2007-03-02$44.78$45.0026.0%7.5%22.7%0.0%24.5%1.5%-0.2%-512.1K23.1M-162.6K7.9920.255244,18619,63019,352
2007-03-05$44.23$47.5025.9%7.1%22.9%0.0%23.8%2.8%-2.0%-1.7M42.4M-151.0K0.2611.562,05653219,71822,480
2007-03-06$44.98$47.5022.5%7.0%23.9%0.0%23.4%2.1%-1.6%-1.6M28.4M-151.7K0.1017.092,89430420,66021,522
2007-03-07$44.45$47.5022.9%6.9%23.5%0.0%24.2%2.5%-1.7%-1.9M37.7M-142.2K0.6011.0454632820,12821,568
2007-03-08$45.28$47.5022.8%6.8%24.0%0.0%22.7%2.8%-1.3%-1.5M18.8M-151.1K0.1717.831,84430820,24220,994
2007-03-09$44.97$47.5021.8%6.8%24.0%0.0%22.5%3.0%-1.9%-1.8M24.1M-145.8K4.569.1713260221,17021,050
2007-03-12$44.91$47.5023.7%6.8%24.0%0.0%24.0%2.6%-1.5%-2.1M26.3M-131.4K1.159.7251459021,10420,680
2007-03-13$44.08$47.5024.4%6.9%24.5%0.0%19.8%2.4%-2.0%-2.1M43.6M-119.7K2.1914.2015433821,25020,656
2007-03-14$44.65$47.5024.7%7.1%24.5%0.0%23.8%2.7%-2.3%-2.6M24.9M-122.8K0.6910.351,4501,00421,23818,678
2007-03-15$44.76$47.5025.3%7.3%24.6%0.0%25.3%2.6%-2.5%-3.7M23.9M-121.9K3.129.521,2884,02021,86618,948
2007-03-16$44.98$47.5025.9%7.4%24.8%0.0%25.8%2.9%-3.1%-26.0M23.1M-123.5K2.0811.552,9466,13221,13820,190
2007-03-19$45.88$47.5025.0%7.2%26.2%0.0%23.8%3.5%-1.4%-133.9K1.5M-117.5K0.4714.271,3906548,1309,082
2007-03-20$46.07$47.5024.9%7.1%26.0%0.0%24.6%3.5%-1.6%30.8K-1.4M-123.1K4.2613.953001,2788,9549,410
2007-03-21$46.72$47.5022.2%6.4%26.7%0.0%24.0%3.4%-0.2%-20.1K-3.7M-127.4K0.3616.921,0443749,07410,508
2007-03-22$45.70$45.0024.1%6.9%27.2%0.0%23.7%3.0%-1.6%-243.0K726.3K-130.0K0.8919.796165469,78810,612
2007-03-23$46.46$45.0021.9%6.3%28.1%0.0%22.5%3.4%-0.3%97.3K-5.0M-131.4K0.6417.131,28282610,14010,736
2007-03-26$45.85$45.0024.3%7.0%28.2%0.0%23.8%3.3%-1.6%-301.0K237.2K-131.3K2.4822.2825262410,17611,378
2007-03-27$45.20$45.0024.8%7.1%23.3%0.0%24.8%3.5%-1.5%-579.8K5.6M-131.4K3.179.667162,26810,30011,694
2007-03-28$44.66$45.0024.9%7.1%22.9%0.0%25.3%2.2%-1.7%-1.1M11.8M-147.6K6.3312.953542,24210,91413,436
2007-03-29$45.05$45.0024.5%7.0%23.1%0.0%23.9%2.7%-1.5%-1.1M10.3M-169.3K0.6615.6439225810,97815,398
2007-03-30$44.90$45.0023.8%6.8%21.5%0.0%23.5%2.1%-0.9%-1.2M12.2M-164.9K1.4917.3247871210,98215,030