TXT Options History — October 2007

In October 2007, TXT traded between $62.58 and $69.21. ATM implied volatility averaged 32.5%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.8% (HV 20d: 27.7%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.61.

Notable Days

  • 2007-10-18: Highest Volume — 11,773 contracts
  • 2007-10-08: Largest IV spike — 14.7% change
  • 2007-10-10: Highest IV Rank — 69.8%
  • 2007-10-17: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.33$62.58$69.21$63.35$69.21
Max Pain$61.52$55.00$65.00$57.50$65.00
ATM IV32.5%26.7%37.7%33.5%26.7%
Expected Move9.1%7.7%10.7%9.6%7.7%
HV 20d27.7%23.7%32.3%32.3%26.5%
HV 60d34.8%32.8%36.6%36.3%32.9%
IV Rank50.6%29.3%69.8%54.1%29.3%
IV Percentile78.8%55.0%96.4%84.5%55.0%
Term Structure-1.3%-3.6%1.4%-3.1%0.9%
VWIV31.8%28.5%37.3%34.1%28.5%
Skew 25d3.5%2.2%5.8%3.4%3.9%
Skew 10d6.1%0.9%9.7%6.8%0.9%
Call IV 25d30.3%26.2%35.9%31.7%26.2%
Put IV 25d33.8%30.1%38.4%35.0%30.1%
Bid-Ask Spread %17.239.6925.759.6914.25
Gamma HHI0.330.230.800.330.23
Net GEX3.7M2.4M12.6M2.4M3.4M
Net DEX-97.1M-147.4M-70.2M-76.1M-129.9M
Net VEX-411.5K-523.2K-366.0K-380.4K-489.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.112.340.470.79
Total Volume2,932.60961711,7731,506617
Total OI47,454.60941,86753,83241,86753,582

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$63.35$57.5033.5%9.6%32.3%54.1%34.1%3.4%-3.1%2.4M-76.1M-380.4K0.479.691,02248424,17517,692
2007-10-02$63.40$57.5033.4%9.6%32.3%53.8%34.6%4.3%-2.9%2.5M-76.3M-378.0K0.3614.791,35649424,23817,706
2007-10-03$62.58$57.5034.0%9.8%30.3%56.2%34.4%3.9%-3.6%2.4M-70.2M-385.0K1.7915.0633459925,16017,979
2007-10-04$63.76$57.5032.4%9.3%30.5%50.0%34.1%4.7%-1.8%2.6M-80.9M-381.6K2.3210.614391,02024,99317,950
2007-10-05$65.38$60.0031.2%8.5%26.8%45.7%29.7%3.7%-0.8%2.9M-94.9M-367.8K0.2311.162,08548525,08418,078
2007-10-08$64.01$60.0035.8%9.1%28.5%62.6%30.7%3.0%-2.1%2.7M-81.6M-373.0K0.2320.331,14125925,07818,244
2007-10-09$64.00$60.0035.0%8.9%28.6%59.9%30.5%4.0%-1.4%2.8M-82.0M-372.3K0.1423.0380211225,51418,408
2007-10-10$63.16$60.0037.7%9.0%29.5%69.8%31.3%3.3%-0.6%2.6M-73.6M-372.0K0.4625.7575834625,54018,429
2007-10-11$63.60$60.0033.3%9.5%28.8%53.6%32.8%2.4%-0.6%2.7M-79.8M-371.9K0.1620.213,36655225,82018,249
2007-10-12$64.24$55.0034.6%9.9%27.8%58.3%34.3%2.5%-2.7%3.1M-88.5M-373.7K0.3312.022,65487227,09418,412
2007-10-15$64.20$60.0035.6%10.2%27.9%62.1%35.1%3.4%-2.6%3.4M-90.3M-370.9K0.1112.311,96521128,23018,742
2007-10-16$63.50$60.0036.1%10.3%23.7%63.7%35.9%2.8%-1.7%3.6M-86.5M-380.5K0.3522.672,28580529,75418,844
2007-10-17$64.13$60.0037.4%10.7%23.7%68.6%37.3%2.5%-3.6%3.8M-94.7M-388.3K0.3113.825,3831,68030,71219,265
2007-10-18$66.85$65.0031.9%9.1%27.1%48.4%31.3%2.2%-1.3%7.8M-147.4M-366.0K0.2611.319,3212,45233,84119,991
2007-10-19$65.46$65.0031.1%8.9%27.6%45.6%30.9%3.0%-0.6%12.6M-123.7M-374.2K0.1522.017,6221,12832,44520,374
2007-10-22$66.22$65.0030.5%8.7%27.1%43.3%29.4%5.8%-0.3%3.3M-98.4M-422.5K2.3425.529682,26228,55117,249
2007-10-23$67.26$65.0030.0%8.6%27.3%41.3%28.7%3.5%-1.6%3.3M-105.9M-451.9K0.4115.151,88077228,88019,225
2007-10-24$67.69$65.0028.1%8.1%26.0%34.5%28.9%3.5%1.0%3.2M-111.2M-459.4K0.6617.191,32987129,24019,676
2007-10-25$66.68$65.0031.3%9.0%25.8%46.0%31.1%3.6%-2.1%3.1M-99.5M-471.3K0.1721.272,23237529,30319,958
2007-10-26$67.12$65.0030.6%8.8%25.8%43.5%29.9%3.6%-1.5%3.2M-104.3M-523.2K0.6519.4971546231,12521,728
2007-10-29$68.73$65.0028.7%8.2%26.3%36.6%29.2%3.9%1.4%3.2M-122.1M-505.4K0.2822.001,50841931,31622,029
2007-10-30$67.99$65.0028.7%8.2%26.8%36.6%29.4%3.8%1.2%3.3M-115.9M-504.9K0.9816.5751049831,57021,983
2007-10-31$69.21$65.0026.7%7.7%26.5%29.3%28.5%3.9%0.9%3.4M-129.9M-489.4K0.7914.2534427331,49622,086