TXT Options History — July 2007

In July 2007, TXT traded between $55.85 and $62.75. ATM implied volatility averaged 29.7%, placing in the 69.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.8% (HV 20d: 28.9%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2007-07-19: Highest Volume — 26,182 contracts
  • 2007-07-12: Largest IV drop — 21.1% change
  • 2007-07-10: Highest IV Rank — 100.0%
  • 2007-07-30: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.18$55.85$62.75$56.75$56.45
Max Pain$56.19$55.00$57.50$55.00$57.50
ATM IV29.7%24.4%34.9%29.2%33.8%
Expected Move8.2%7.0%10.0%8.4%9.7%
HV 20d28.9%22.2%35.3%27.5%35.3%
HV 60d23.0%20.6%26.4%22.2%26.4%
IV Rank69.6%35.6%100.0%75.4%93.2%
IV Percentile91.6%69.9%100.0%98.4%97.9%
Term Structure-1.3%-3.1%0.6%-2.6%-0.8%
VWIV29.6%24.9%35.2%29.3%35.1%
Skew 25d3.1%1.3%5.7%2.1%5.7%
Skew 10d5.9%3.2%9.9%4.8%9.5%
Call IV 25d27.5%24.0%32.3%28.8%32.3%
Put IV 25d30.6%25.3%38.0%31.0%38.0%
Bid-Ask Spread %11.576.8620.8111.5816.00
Gamma HHI0.250.170.350.260.24
Net GEX3.5M2.2M7.8M2.5M3.4M
Net DEX-142.7M-275.0M-81.5M-106.8M-81.5M
Net VEX-582.6K-695.9K-427.6K-582.2K-672.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.128.981.850.12
Total Volume7,052.8571,06226,1823,74616,506
Total OI81,268.47666,752106,75872,59486,930

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$56.75$55.0029.2%8.4%27.5%0.0%29.3%2.1%-2.6%2.5M-106.8M-582.2K1.8511.581,3142,43241,06431,530
2007-07-03$56.96$55.0029.4%8.4%27.4%0.0%31.5%2.8%-2.9%2.8M-114.0M-583.2K3.4012.535461,85842,12631,282
2007-07-05$56.95$55.0029.9%8.6%26.7%75.4%32.9%2.4%-3.1%2.8M-114.6M-576.3K8.9812.443943,54042,28831,012
2007-07-06$57.99$55.0029.2%7.6%26.1%70.7%27.7%2.9%-1.0%3.3M-135.2M-552.1K0.436.861,18251242,51630,622
2007-07-09$57.02$55.0031.5%7.7%26.7%86.4%27.3%3.3%-0.9%3.0M-118.2M-555.2K1.417.5260485442,82430,750
2007-07-10$55.97$55.0034.0%8.2%27.7%100.0%28.8%3.1%-1.6%2.4M-92.3M-573.0K3.097.514981,54042,96831,066
2007-07-11$55.85$55.0034.7%8.1%27.5%100.0%29.1%3.1%-1.3%2.2M-85.5M-581.9K1.017.111,3861,39443,32632,192
2007-07-12$57.10$55.0027.4%7.9%28.0%54.2%28.3%3.4%-1.7%2.9M-115.5M-565.6K0.777.141,4321,09843,56032,492
2007-07-13$57.40$55.0026.9%7.7%26.8%51.4%28.2%2.7%-1.1%3.1M-125.7M-562.3K0.458.8973033244,40433,310
2007-07-16$58.02$55.0028.4%8.1%27.0%60.5%28.1%2.5%-2.0%3.2M-131.2M-427.6K0.278.696,6421,81439,87626,876
2007-07-17$57.38$55.0027.8%8.0%27.1%56.6%28.1%2.2%-1.4%3.7M-134.8M-576.6K0.678.695,8843,95249,02034,370
2007-07-18$57.72$57.5029.8%8.6%22.2%69.5%29.9%2.7%-3.0%4.7M-140.0M-585.4K0.9212.1713,00211,95851,48036,554
2007-07-19$61.10$57.5024.4%7.0%28.9%35.6%24.9%1.3%0.6%7.8M-271.4M-472.7K0.8415.9914,25011,93257,22238,312
2007-07-20$61.20$57.5027.0%7.7%28.8%51.5%28.6%2.0%0.0%3.6M-275.0M-549.5K0.2411.938,8062,10061,30245,456
2007-07-23$62.75$57.5026.1%7.5%28.8%46.0%27.9%1.9%0.2%3.4M-219.1M-519.2K0.3717.836,0442,22849,43830,568
2007-07-24$60.90$57.5028.4%8.1%31.2%60.2%28.9%3.6%-1.3%4.1M-197.9M-602.8K1.2915.182,1082,72053,10231,398
2007-07-25$60.24$57.5028.1%8.0%31.0%58.4%28.2%3.0%-0.4%4.1M-181.2M-644.1K0.4312.173,9601,70653,93632,918
2007-07-26$58.94$57.5028.9%8.3%32.4%63.5%29.8%4.7%-0.4%3.9M-142.4M-671.7K0.7020.812,0021,40452,52633,076
2007-07-27$57.02$57.5033.1%9.5%34.8%89.5%33.0%4.5%-1.1%3.5M-97.0M-695.9K1.8211.771,7183,12052,40033,438
2007-07-30$58.08$57.5034.9%10.0%35.2%100.0%35.2%5.1%-1.9%3.4M-117.5M-685.0K1.0410.161,2801,32852,35434,754
2007-07-31$56.45$57.5033.8%9.7%35.3%93.2%35.1%5.7%-0.8%3.4M-81.5M-672.1K0.1216.0014,6761,83052,40434,526