TXT Options History — November 2007

In November 2007, TXT traded between $63.92 and $70.24. ATM implied volatility averaged 32.4%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.0% (HV 20d: 30.4%). Max pain ranged from $57.50 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2007-11-08: Highest Volume — 5,242 contracts
  • 2007-11-12: Largest IV spike — 16.0% change
  • 2007-11-12: Highest IV Rank — 83.4%
  • 2007-11-09: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.88$63.92$70.24$68.08$69.05
Max Pain$58.69$57.50$65.00$65.00$60.00
ATM IV32.4%27.3%41.4%29.4%27.3%
Expected Move9.1%7.8%10.1%8.4%7.8%
HV 20d30.4%26.0%38.0%27.1%38.0%
HV 60d31.2%29.7%33.1%33.1%31.8%
IV Rank50.2%31.4%83.4%39.2%31.4%
IV Percentile75.4%52.2%97.7%66.2%52.2%
Term Structure1.6%0.5%3.7%0.5%3.7%
VWIV32.2%28.5%36.3%32.1%28.5%
Skew 25d4.7%2.6%6.8%2.6%4.4%
Skew 10d7.9%-5.6%12.6%-5.6%7.0%
Call IV 25d29.6%25.6%33.3%28.8%25.6%
Put IV 25d34.3%29.9%38.7%31.5%29.9%
Bid-Ask Spread %16.3911.2921.4918.9916.03
Gamma HHI0.220.180.280.230.24
Net GEX3.1M2.1M4.0M3.4M3.6M
Net DEX-93.0M-142.6M-45.4M-116.7M-113.6M
Net VEX-496.1K-539.2K-464.7K-496.4K-464.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.091.470.130.35
Total Volume1,914.2382365,2423,277814
Total OI55,819.71451,49659,69953,67755,835

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$68.08$65.0029.4%8.4%27.1%39.2%32.1%2.6%0.5%3.4M-116.7M-496.4K0.1318.992,90737031,53222,145
2007-11-02$69.49$65.0029.0%8.3%26.6%37.8%30.6%4.0%0.7%3.6M-132.2M-503.2K0.3916.2365125132,72322,292
2007-11-05$68.43$57.5031.3%9.0%26.0%46.2%32.2%4.4%1.8%3.6M-121.3M-498.2K0.5213.6188345732,64222,384
2007-11-06$70.24$57.5030.5%8.7%27.2%43.3%31.2%4.3%1.7%3.7M-142.6M-490.5K0.5211.293,3371,74833,14322,484
2007-11-07$69.28$57.5033.7%9.0%27.2%55.1%31.6%3.7%2.0%4.0M-139.8M-532.6K0.3615.3496335035,93723,762
2007-11-08$67.31$57.5036.2%9.9%29.7%64.2%34.9%5.8%0.9%3.3M-101.4M-539.2K0.5616.033,3531,88934,07923,904
2007-11-09$66.76$57.5035.7%10.1%29.8%62.5%34.7%5.1%0.8%3.0M-91.5M-536.3K0.4718.2872333933,31524,290
2007-11-12$66.33$57.5041.4%10.1%29.9%83.4%36.3%5.4%0.7%2.7M-82.2M-510.6K1.1317.5665373932,27824,449
2007-11-13$67.61$57.5035.0%9.5%30.2%59.8%33.8%6.2%1.4%3.0M-95.9M-502.6K1.0015.6541541532,36724,544
2007-11-14$66.50$57.5035.1%9.6%30.8%60.2%34.5%4.7%0.8%2.9M-83.6M-493.3K0.4412.0652422932,27424,453
2007-11-15$65.52$57.5034.0%9.7%27.5%55.9%33.7%5.3%1.1%2.9M-72.6M-488.1K1.3117.0144958732,51424,561
2007-11-16$64.14$57.5032.4%9.3%27.5%50.1%32.9%5.9%1.5%2.7M-45.4M-480.1K0.9216.631,06998632,51124,578
2007-11-19$64.02$57.5032.2%9.2%27.1%49.4%31.0%4.6%1.7%2.1M-55.1M-469.3K0.0921.492,95225629,11222,384
2007-11-20$65.14$57.5031.4%9.0%27.3%46.6%30.7%5.5%2.0%2.7M-71.8M-495.8K0.8518.552,4102,03731,34922,488
2007-11-21$63.92$57.5031.7%9.1%27.8%47.6%31.6%4.0%1.5%2.4M-55.7M-528.3K0.1118.852122432,79824,156
2007-11-23$66.98$57.5029.8%8.6%32.4%40.8%30.3%6.8%2.7%3.0M-88.8M-490.9K0.6418.1571645731,33723,146
2007-11-26$64.37$57.5033.1%9.5%35.3%52.6%32.8%3.0%1.7%2.6M-65.4M-472.2K0.8816.131,04291531,55922,871
2007-11-27$65.84$60.0032.2%9.2%35.2%49.4%31.2%5.0%1.9%3.0M-77.5M-474.3K0.6314.8475647731,83023,024
2007-11-28$68.28$60.0029.8%8.6%37.5%40.9%31.8%5.0%2.3%3.5M-104.6M-477.5K1.1613.448751,01932,13423,151
2007-11-29$67.29$60.0028.8%8.2%37.3%36.9%29.5%3.3%3.3%3.4M-94.3M-474.0K1.4718.0738456632,21923,660
2007-11-30$69.05$60.0027.3%7.8%38.0%31.4%28.5%4.4%3.7%3.6M-113.6M-464.7K0.3516.0360421032,10823,727