TXT Options History — September 2007

In September 2007, TXT traded between $55.58 and $63.13. ATM implied volatility averaged 33.1%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 4.4% (HV 20d: 37.5%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.80.

Notable Days

2007-09-11: Highest Volume — 9,176 contracts
2007-09-13: Largest IV spike — 11.1% change
2007-09-17: Highest IV Rank — 66.3%
2007-09-11: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.96	$55.58	$63.13	$58.83	$62.21
Max Pain	$55.79	$55.00	$57.50	$55.00	$57.50
ATM IV	33.1%	28.7%	36.8%	30.9%	33.0%
Expected Move	9.8%	8.2%	10.9%	8.9%	9.5%
HV 20d	37.5%	33.0%	41.6%	40.0%	33.0%
HV 60d	35.7%	34.6%	36.3%	34.6%	36.3%
IV Rank	52.6%	36.7%	66.3%	44.6%	52.6%
IV Percentile	85.8%	75.9%	96.0%	82.1%	82.3%
Term Structure	-0.8%	-3.2%	6.3%	3.2%	-0.4%
VWIV	34.2%	27.6%	38.3%	34.6%	32.0%
Skew 25d	4.4%	3.5%	5.3%	5.3%	4.3%
Skew 10d	8.6%	6.3%	11.4%	10.8%	9.7%
Call IV 25d	32.2%	26.7%	36.1%	30.3%	30.7%
Put IV 25d	36.5%	31.2%	40.4%	35.6%	35.0%
Bid-Ask Spread %	15.08	11.11	19.08	18.34	17.73
Gamma HHI	0.28	0.18	0.66	0.19	0.30
Net GEX	3.9M	1.4M	8.0M	4.8M	2.1M
Net DEX	-78.4M	-159.3M	-39.8M	-107.1M	-66.1M
Net VEX	-427.1K	-511.8K	-364.9K	-511.8K	-391.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.09	3.48	1.44	0.61
Total Volume	2,548.737	522	9,176	597	986
Total OI	64,107.526	36,998	75,044	75,004	41,387

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-09-04	$58.83	$55.00	30.9%	8.9%	40.0%	44.6%	34.6%	5.3%	3.2%	4.8M	-107.1M	-511.8K	1.44	18.34	245	352	45,307	29,697
2007-09-05	$57.05	$55.00	29.7%	8.5%	41.4%	40.5%	30.9%	3.6%	6.0%	5.1M	-77.7M	-497.4K	0.19	16.82	6,201	1,205	45,343	29,701
2007-09-06	$57.87	$55.00	28.7%	8.2%	41.6%	36.7%	27.6%	4.5%	6.3%	4.8M	-87.0M	-489.6K	0.34	19.08	2,242	755	44,634	29,790
2007-09-07	$55.72	$57.50	31.5%	10.6%	40.9%	46.9%	36.3%	5.0%	-2.1%	3.9M	-44.5M	-468.2K	3.48	12.49	584	2,034	42,913	29,908
2007-09-10	$55.58	$57.50	34.0%	10.9%	38.3%	56.0%	36.3%	4.8%	-3.1%	3.7M	-39.8M	-461.2K	0.16	11.93	1,980	321	43,110	30,816
2007-09-11	$55.80	$57.50	33.2%	10.9%	37.9%	53.0%	38.3%	3.5%	-2.9%	3.8M	-44.4M	-456.5K	0.10	11.37	8,341	835	42,999	30,825
2007-09-12	$56.02	$55.00	32.5%	10.9%	37.5%	50.5%	35.7%	3.8%	-2.8%	4.3M	-43.9M	-465.1K	0.36	11.11	756	275	42,739	31,394
2007-09-13	$57.36	$55.00	36.1%	10.3%	37.4%	63.8%	36.4%	3.6%	-2.1%	4.4M	-71.4M	-449.5K	0.39	15.58	869	335	41,106	30,224
2007-09-14	$56.51	$55.00	35.9%	10.3%	36.2%	63.0%	37.7%	4.0%	-2.1%	4.6M	-56.4M	-437.9K	1.01	15.04	260	262	41,250	30,260
2007-09-17	$56.58	$55.00	36.8%	10.5%	35.7%	66.3%	36.8%	4.6%	-3.2%	4.8M	-61.1M	-423.3K	1.80	14.37	205	368	41,292	30,345
2007-09-18	$59.36	$55.00	33.4%	9.6%	39.0%	53.8%	32.0%	5.3%	-1.8%	4.6M	-116.6M	-395.2K	0.56	17.11	2,381	1,328	41,355	30,046
2007-09-19	$60.00	$55.00	33.9%	9.7%	38.2%	55.7%	33.2%	5.0%	-2.6%	5.0M	-128.2M	-390.1K	0.26	14.97	2,666	690	41,902	30,372
2007-09-20	$60.89	$55.00	33.9%	9.7%	37.1%	55.6%	34.9%	3.5%	-1.8%	3.9M	-142.6M	-381.8K	0.59	15.87	414	243	41,264	30,282
2007-09-21	$62.33	$55.00	32.2%	9.2%	36.8%	49.6%	32.8%	3.8%	-1.9%	8.0M	-159.3M	-370.9K	0.09	14.35	2,192	196	41,173	30,323
2007-09-24	$61.48	$55.00	32.8%	9.4%	37.3%	51.8%	32.8%	4.2%	-0.1%	1.4M	-53.2M	-364.9K	0.14	14.40	2,088	300	20,096	16,902
2007-09-25	$61.45	$55.00	32.7%	9.4%	37.3%	51.4%	34.0%	4.5%	0.1%	1.7M	-57.5M	-385.9K	3.08	15.20	476	1,465	21,921	17,080
2007-09-26	$63.13	$57.50	33.7%	9.7%	33.9%	55.0%	33.7%	4.5%	-2.5%	1.9M	-69.8M	-381.4K	0.26	14.43	2,306	606	22,227	17,010
2007-09-27	$62.05	$57.50	33.1%	9.5%	33.1%	53.0%	34.1%	4.9%	-0.4%	2.0M	-63.7M	-393.1K	0.41	16.25	1,177	487	23,589	17,461
2007-09-28	$62.21	$57.50	33.0%	9.5%	33.0%	52.6%	32.0%	4.3%	-0.4%	2.1M	-66.1M	-391.6K	0.61	17.73	612	374	23,841	17,546