TXT Options History — June 2007

In June 2007, TXT traded between $52.29 and $56.91. ATM implied volatility averaged 24.2%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.8% (HV 20d: 19.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2007-06-12: Highest Volume — 70,492 contracts
  • 2007-06-14: Largest IV spike — 14.8% change
  • 2007-06-27: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.47$52.29$56.91$54.09$55.05
Max Pain$52.50$50.00$55.00$50.00$55.00
ATM IV24.2%19.7%28.8%19.7%28.7%
Expected Move7.3%5.7%8.3%5.7%8.2%
HV 20d19.4%12.6%25.4%12.8%25.4%
HV 60d20.6%19.5%21.7%19.9%21.5%
Term Structure-0.8%-1.9%4.0%4.0%-1.9%
VWIV25.7%23.5%29.2%23.5%29.2%
Skew 25d2.6%1.9%3.3%2.1%1.9%
Skew 10d4.8%3.1%6.1%4.8%3.7%
Call IV 25d24.3%19.6%28.0%19.6%27.7%
Put IV 25d26.9%21.6%30.4%21.6%29.6%
Bid-Ask Spread %12.578.4719.2213.2916.43
Gamma HHI0.320.230.400.350.23
Net GEX4.2M1.7M6.1M4.7M1.9M
Net DEX-97.3M-148.9M-59.2M-112.7M-65.7M
Net VEX-509.9K-594.5K-370.2K-382.5K-594.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.012.241.240.27
Total Volume6,703.8192270,4929622,040
Total OI65,916.66756,27478,67460,86471,320

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$54.09$50.0019.7%5.7%12.8%0.0%23.5%2.1%4.0%4.7M-112.7M-382.5K1.2413.2943053236,99823,866
2007-06-04$54.09$50.0020.8%6.8%12.6%0.0%23.6%3.0%-0.2%4.7M-113.9M-370.2K1.038.603,3063,39237,14424,094
2007-06-05$53.90$50.0020.4%6.8%12.8%0.0%24.9%3.1%-0.4%4.7M-116.3M-470.2K1.668.4734657640,36027,434
2007-06-06$53.13$50.0021.8%7.2%13.6%0.0%24.8%3.1%-1.6%5.0M-100.5M-476.2K0.5710.1170640240,35227,516
2007-06-07$52.29$50.0021.8%7.1%15.0%0.0%25.9%2.8%-1.2%5.0M-81.0M-485.1K0.9811.152,7562,70040,35627,664
2007-06-08$53.29$52.5021.3%7.2%15.6%0.0%24.7%3.3%-1.4%5.2M-102.5M-492.7K1.0310.0548450041,33227,570
2007-06-11$53.02$52.5022.9%7.2%15.7%0.0%25.1%2.8%-1.7%5.5M-99.5M-481.4K0.2811.601,31037041,50027,704
2007-06-12$52.62$52.5021.6%7.2%15.5%0.0%24.5%2.5%-1.5%5.8M-90.2M-480.3K0.0112.5169,57691642,24627,962
2007-06-13$53.44$52.5021.4%7.2%16.4%0.0%25.1%3.1%-1.5%5.2M-96.0M-478.7K0.3811.361,21045439,12427,846
2007-06-14$54.78$52.5024.6%7.1%18.3%0.0%24.7%3.0%-0.7%4.7M-122.2M-460.2K0.2610.2413,1163,40239,32628,048
2007-06-15$54.88$52.5024.9%7.1%18.3%0.0%24.7%2.5%-0.5%6.1M-148.9M-536.2K0.4311.814,6261,99848,58430,090
2007-06-18$54.41$52.5024.1%6.9%18.4%0.0%24.6%3.1%-0.3%4.4M-85.9M-567.2K0.9712.5587484637,32021,410
2007-06-19$56.91$52.5023.8%6.8%24.0%0.0%24.3%2.6%0.2%4.4M-123.3M-545.1K0.8516.174,3923,72637,62022,082
2007-06-20$55.92$52.5024.7%7.1%24.9%0.0%24.8%2.2%-0.1%4.4M-108.8M-548.3K0.7816.361,03681037,48822,100
2007-06-21$56.48$52.5023.8%6.8%23.9%0.0%24.1%2.3%0.1%4.4M-111.5M-492.3K0.9511.2349847436,08220,192
2007-06-22$55.63$52.5027.3%7.8%24.4%0.0%27.0%2.9%-1.2%4.2M-98.9M-513.3K1.3914.302,2263,09236,39620,468
2007-06-25$55.26$55.0028.6%8.2%24.6%0.0%28.4%2.0%-1.7%1.9M-72.0M-575.6K0.7813.4370254837,34629,962
2007-06-26$54.50$55.0028.7%8.2%25.2%0.0%28.8%2.4%-1.6%2.0M-59.2M-579.2K2.2411.328361,87437,77429,306
2007-06-27$54.81$55.0028.8%8.3%25.2%0.0%28.8%2.4%-1.6%1.7M-60.1M-590.7K0.3913.821,38054438,31431,126
2007-06-28$55.38$55.0028.4%8.1%25.4%0.0%28.3%2.3%-1.8%2.0M-75.0M-588.6K0.5319.221,15861639,42031,408
2007-06-29$55.05$55.0028.7%8.2%25.4%0.0%29.2%1.9%-1.9%1.9M-65.7M-594.5K0.2716.431,61242839,74831,572