TXT Options History — May 2007

In May 2007, TXT traded between $50.85 and $53.66. ATM implied volatility averaged 22.4%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.6% (HV 20d: 19.8%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.28.

Notable Days

  • 2007-05-23: Highest Volume — 15,888 contracts
  • 2007-05-03: Largest IV drop — 8.3% change
  • 2007-05-10: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.21$50.85$53.66$50.91$53.65
Max Pain$48.86$47.50$50.00$50.00$50.00
ATM IV22.4%20.7%23.9%23.4%21.6%
Expected Move6.4%5.9%6.8%6.7%6.2%
HV 20d19.8%13.2%24.9%24.9%13.2%
HV 60d22.6%20.1%23.5%23.4%20.1%
Term Structure0.8%-1.2%2.9%-0.1%2.9%
VWIV22.8%21.5%26.2%26.2%21.5%
Skew 25d3.0%1.6%4.2%2.5%2.5%
Skew 10d5.7%3.8%7.8%4.7%4.2%
Call IV 25d20.8%19.2%22.1%22.1%19.6%
Put IV 25d23.8%21.4%25.3%24.6%22.1%
Bid-Ask Spread %16.4711.0721.6220.7317.35
Gamma HHI0.420.290.540.370.34
Net GEX3.1M1.6M4.7M2.6M4.7M
Net DEX-69.8M-106.1M-43.6M-50.6M-106.1M
Net VEX-293.7K-400.7K-226.0K-280.0K-388.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.1114.375.560.41
Total Volume2,894.72748615,8881,9301,090
Total OI49,856.90939,86261,20643,19061,206

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$50.91$50.0023.4%6.7%24.9%0.0%26.2%2.5%-0.1%2.6M-50.6M-280.0K5.5620.732941,63623,75019,440
2007-05-02$51.24$50.0023.3%6.7%24.3%0.0%22.7%2.4%-0.4%2.7M-55.4M-276.3K1.1614.8225830023,82620,264
2007-05-03$51.87$50.0021.4%6.1%24.4%0.0%21.8%2.0%0.3%2.8M-64.5M-265.4K1.4412.638721,25223,95820,358
2007-05-04$51.63$47.5023.2%6.5%24.5%0.0%23.5%3.8%-0.3%2.7M-60.1M-275.3K14.3711.542844,08224,28820,704
2007-05-07$51.73$47.5023.9%6.5%24.5%0.0%22.5%3.4%-0.6%2.2M-59.4M-270.1K0.8912.4935631824,37022,902
2007-05-08$51.34$47.5023.4%6.3%24.0%0.0%22.8%3.8%0.0%2.1M-53.8M-271.4K7.7216.451341,03424,44422,952
2007-05-09$51.43$47.5022.1%6.4%23.8%0.0%23.4%3.5%-0.1%2.1M-53.5M-269.5K0.4417.421,61270424,44823,390
2007-05-10$50.85$47.5023.6%6.8%24.4%0.0%23.0%3.3%-1.2%1.6M-43.6M-270.3K10.3319.622282,35623,98023,310
2007-05-11$51.23$47.5023.5%6.7%23.6%0.0%22.0%4.0%-0.9%1.9M-51.1M-271.0K0.4017.361,17246624,07224,496
2007-05-14$51.88$47.5022.8%6.5%23.2%0.0%23.5%4.2%-0.5%2.5M-63.3M-251.9K0.4219.621,29854224,52824,754
2007-05-15$51.87$47.5022.6%6.5%23.1%0.0%23.8%3.8%0.1%2.7M-64.5M-249.7K1.0415.371,0461,08625,07224,842
2007-05-16$52.16$47.5022.4%6.4%23.0%0.0%22.7%3.6%0.0%3.0M-67.2M-248.7K0.8018.4927021625,32425,162
2007-05-17$52.15$47.5022.0%6.3%15.8%0.0%23.4%3.2%0.1%3.9M-69.4M-238.4K0.8918.6042437825,40825,186
2007-05-18$52.69$50.0021.8%6.3%15.7%0.0%22.4%3.2%0.4%3.7M-78.2M-229.7K0.3518.812,09073825,47225,402
2007-05-21$52.82$50.0022.1%6.3%15.7%0.0%22.9%3.2%2.2%2.6M-61.2M-226.0K0.1811.077,8921,44221,00218,860
2007-05-22$52.45$50.0021.9%6.3%15.3%0.0%22.7%2.5%2.5%3.4M-69.1M-302.6K0.1413.573,42249626,84019,388
2007-05-23$53.66$50.0021.8%6.3%15.3%0.0%22.0%1.6%2.3%3.8M-91.0M-308.2K0.4713.4910,8005,08829,48019,624
2007-05-24$53.13$50.0021.5%6.2%15.7%0.0%21.5%2.3%2.3%4.1M-90.7M-388.8K0.8118.701,6101,29634,06622,822
2007-05-25$53.17$50.0020.7%5.9%15.4%0.0%21.8%2.2%2.8%4.2M-92.5M-400.7K1.9416.9226852034,85223,724
2007-05-29$53.22$50.0022.1%6.3%13.2%0.0%22.2%2.7%2.6%4.3M-91.4M-390.4K0.1121.621,30815034,85224,096
2007-05-30$53.49$50.0021.8%6.3%13.2%0.0%22.3%2.9%2.6%4.5M-99.4M-389.4K0.1915.702,40045635,86424,074
2007-05-31$53.65$50.0021.6%6.2%13.2%0.0%21.5%2.5%2.9%4.7M-106.1M-388.2K0.4117.3577431637,09824,108