TXT Options History — April 2007

In April 2007, TXT traded between $45.34 and $51.85. ATM implied volatility averaged 23.2%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.2% (HV 20d: 22.1%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.09.

Notable Days

  • 2007-04-19: Highest Volume — 22,966 contracts
  • 2007-04-12: Largest IV drop — 13.1% change
  • 2007-04-02: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.36$45.34$51.85$45.34$50.84
Max Pain$46.13$45.00$47.50$45.00$47.50
ATM IV23.2%21.3%26.2%24.6%23.4%
Expected Move6.5%6.1%7.1%7.1%6.7%
HV 20d22.1%19.3%26.3%21.2%24.9%
HV 60d23.1%22.4%24.7%22.4%23.4%
Term Structure-1.1%-2.7%0.3%-1.7%-0.6%
VWIV22.8%20.8%24.6%22.8%24.6%
Skew 25d2.4%1.4%3.2%3.0%2.3%
Skew 10d4.5%2.6%6.6%4.7%3.8%
Call IV 25d21.8%20.2%23.6%22.9%21.8%
Put IV 25d24.2%22.6%26.0%26.0%24.1%
Bid-Ask Spread %14.548.7623.339.0112.82
Gamma HHI0.340.280.400.360.35
Net GEX922.0K-1.4M2.7M-1.1M2.7M
Net DEX-26.3M-70.3M8.8M8.8M-53.2M
Net VEX-196.6K-279.3K-150.0K-173.4K-279.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.145.980.140.43
Total Volume3,146.323022,9667902,498
Total OI33,337.426,90845,09826,90843,056

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$45.34$45.0024.6%7.1%21.2%0.0%22.8%3.0%-1.7%-1.1M8.8M-173.4K0.149.016949611,33215,576
2007-04-03$46.28$45.0022.6%6.5%21.6%0.0%23.4%3.2%-0.8%-565.9K-932.2K-176.0K0.2921.5038411011,72815,650
2007-04-04$46.33$45.0022.5%6.5%21.1%0.0%22.6%3.0%-0.8%-542.2K-1.1M-174.7K0.3723.3380629611,75815,592
2007-04-05$46.31$45.0022.0%6.3%20.1%0.0%23.5%2.3%-0.3%-496.6K-1.5M-177.5K1.0220.4311411612,24215,758
2007-04-09$46.28$45.0023.5%6.2%19.9%0.0%20.8%2.8%-1.5%-559.3K-1.2M-169.6K1.1520.5235040412,26415,794
2007-04-10$45.66$45.0026.0%6.6%20.6%0.0%22.3%2.4%-1.7%-1.1M5.4M-170.7K1.9512.1337272412,54415,962
2007-04-11$45.55$45.0026.2%6.5%19.3%0.0%22.6%2.1%-1.5%-1.4M6.7M-174.9K1.0812.7442646212,87416,436
2007-04-12$46.19$45.0022.8%6.5%19.4%0.0%21.4%2.4%-2.2%-685.4K-776.6K-171.4K0.3518.3030210613,07016,554
2007-04-13$47.17$45.0021.3%6.1%20.6%0.0%20.8%2.4%-1.4%649.8K-12.5M-165.7K0.1718.491,83231613,17416,594
2007-04-16$48.10$45.0022.3%6.4%21.4%0.0%22.4%2.8%-1.9%1.4M-23.3M-158.6K1.1117.191,5861,75613,88816,614
2007-04-17$48.06$45.0022.1%6.3%20.6%0.0%21.3%2.2%-1.7%1.8M-24.1M-158.7K1.0214.951,0561,07414,42017,226
2007-04-18$47.88$47.5024.4%7.0%20.7%0.0%24.5%3.2%-2.7%999.5K-18.9M-164.6K1.7513.821,9063,34214,62217,630
2007-04-19$50.28$47.5024.1%6.9%26.3%0.0%24.2%1.4%-1.1%1.7M-47.9M-150.0K0.3610.4316,8706,09615,35819,474
2007-04-20$50.87$47.5023.5%6.7%24.6%0.0%23.5%1.5%-0.1%2.4M-70.3M-216.0K0.3710.414,9101,79623,80821,290
2007-04-23$50.96$47.5024.0%6.9%24.3%0.0%24.4%2.3%-0.3%2.5M-55.6M-229.4K1.8413.071,3022,39820,99214,096
2007-04-24$50.38$47.5023.7%6.8%24.1%0.0%23.9%2.4%-1.0%2.6M-49.0M-247.6K5.9812.563502,09221,83615,618
2007-04-25$51.55$47.5022.2%6.4%23.8%0.0%22.4%2.4%-0.3%2.7M-60.6M-246.9K0.699.921,6361,12822,04216,784
2007-04-26$51.34$47.5021.7%6.2%23.2%0.0%22.4%2.4%-0.2%2.7M-60.1M-263.4K1.0810.4065670823,42617,762
2007-04-27$51.85$47.5021.7%6.2%23.2%0.0%22.2%2.1%0.3%2.7M-66.4M-262.6K0.748.761,06679023,58618,318
2007-04-30$50.84$47.5023.4%6.7%24.9%0.0%24.6%2.3%-0.6%2.7M-53.2M-279.3K0.4312.821,74675224,11418,942