TXT Options History — August 2007

In August 2007, TXT traded between $53.01 and $58.61. ATM implied volatility averaged 36.4%, placing in the 76.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 2.6% (HV 20d: 39.0%). Max pain ranged from $47.50 to $57.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.57.

Notable Days

  • 2007-08-16: Highest Volume — 11,368 contracts
  • 2007-08-09: Largest IV spike — 18.0% change
  • 2007-08-09: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.19$53.01$58.61$57.43$58.34
Max Pain$55.00$47.50$57.50$57.50$55.00
ATM IV36.4%31.0%46.0%33.8%31.0%
Expected Move10.4%8.9%13.0%9.7%8.9%
HV 20d39.0%35.8%42.8%35.8%39.9%
HV 60d30.9%26.6%34.8%26.6%34.8%
IV Rank76.3%45.2%100.0%92.7%45.2%
IV Percentile93.9%82.6%100.0%97.2%82.6%
Term Structure-1.1%-6.8%3.5%-0.3%3.5%
VWIV36.1%31.8%43.7%34.4%32.7%
Skew 25d4.9%3.6%7.4%7.4%3.9%
Skew 10d9.5%7.1%14.2%14.2%9.2%
Call IV 25d34.1%28.9%42.2%30.7%29.4%
Put IV 25d39.0%33.3%48.5%38.1%33.3%
Bid-Ask Spread %15.7310.6420.7411.3220.74
Gamma HHI0.230.180.330.250.20
Net GEX3.3M-21.4K4.9M3.5M4.9M
Net DEX-59.1M-128.4M12.7M-98.8M-101.0M
Net VEX-588.8K-687.9K-39.8K-678.5K-537.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.101.380.620.54
Total Volume4,315.30453611,3684,7161,087
Total OI81,777.0875,61697,58887,66076,704

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$57.43$57.5033.8%9.7%35.8%92.7%34.4%7.4%-0.3%3.5M-98.8M-678.5K0.6211.322,9041,81252,49435,166
2007-08-02$58.61$57.5032.4%9.3%36.5%84.2%31.8%5.9%1.0%3.6M-128.4M-671.7K0.9014.063,3342,98853,06235,654
2007-08-03$56.75$57.5034.0%9.7%37.8%94.1%33.2%6.0%0.8%3.5M-81.8M-687.9K0.7916.173,1902,53054,12836,292
2007-08-06$56.78$55.0034.4%10.2%37.3%96.9%36.5%3.6%-3.3%3.4M-76.6M-663.7K0.4719.415,0042,34254,03436,720
2007-08-07$56.08$55.0033.6%10.1%37.0%91.6%34.7%4.5%-3.4%3.2M-56.2M-653.1K0.3317.693,3701,09853,86437,510
2007-08-08$56.01$55.0033.5%10.1%37.0%91.3%33.0%4.8%-4.1%3.2M-54.9M-660.1K0.6517.382,4161,56454,42637,236
2007-08-09$53.66$55.0039.6%11.1%39.0%100.0%37.4%4.8%-5.8%2.7M-5.1M-620.4K0.8612.302,7682,38454,75237,388
2007-08-10$55.89$55.0043.8%12.2%41.9%100.0%42.4%6.1%-6.8%3.0M-64.2M-678.7K0.6416.735,6923,65855,65437,114
2007-08-13$56.69$55.0043.3%11.7%42.1%97.9%40.2%5.4%-4.9%3.1M-84.3M-658.6K0.4315.975,3622,30456,47638,410
2007-08-14$55.74$55.0046.0%12.1%42.3%100.0%41.2%5.3%-5.6%3.2M-57.9M-658.1K0.3216.602,14868257,85439,108
2007-08-15$54.55$55.0042.3%12.2%42.8%86.7%41.8%5.5%-5.2%3.4M-24.5M-635.7K1.1915.161,7602,09458,45039,138
2007-08-16$53.01$55.0045.4%13.0%37.4%97.9%43.7%6.2%-6.1%2.5M12.7M-601.4K0.4016.978,0983,27058,68438,384
2007-08-17$54.02$55.0038.8%11.1%38.4%73.7%38.2%5.6%-2.2%3.1M1.6M-579.5K0.6615.553,7162,45254,50038,974
2007-08-20$54.84$55.0036.7%10.5%37.5%65.8%36.7%4.2%0.8%2.7M-39.1M-566.2K1.3817.261,8502,55041,59229,298
2007-08-21$56.29$55.0035.3%10.1%38.2%60.8%36.4%4.4%1.2%3.2M-63.8M-579.9K0.7715.251,06682442,21229,546
2007-08-22$58.05$55.0033.8%9.7%40.0%55.5%34.2%3.7%2.0%3.8M-91.5M-574.4K0.2814.962,40467042,64629,758
2007-08-23$56.87$55.0033.5%9.6%39.9%54.1%34.5%4.1%1.0%3.7M-73.5M-570.7K0.1014.182,78026643,46030,132
2007-08-24$57.34$55.0032.4%9.3%38.3%50.2%32.6%4.8%2.3%4.1M-80.4M-573.7K0.3517.042,9721,04844,45430,174
2007-08-27$57.11$47.5032.7%9.4%37.7%51.5%33.9%4.3%2.5%-21.4K-8.6M-39.8K0.8118.873953202,4193,197
2007-08-28$54.75$55.0036.1%10.3%39.3%63.7%35.7%3.6%1.2%3.2M-37.5M-549.3K0.2316.6963714545,75830,755
2007-08-29$56.79$55.0032.6%9.3%41.1%51.0%33.2%4.1%2.3%4.2M-71.2M-556.4K0.3510.9639614045,91830,703
2007-08-30$56.74$55.0032.2%9.2%40.3%49.5%31.8%4.9%3.1%4.3M-73.3M-547.9K0.1410.646669645,91130,764
2007-08-31$58.34$55.0031.0%8.9%39.9%45.2%32.7%3.9%3.5%4.9M-101.0M-537.1K0.5420.7470438346,15330,551