TXT Options History — December 2007

In December 2007, TXT traded between $68.28 and $73.38. ATM implied volatility averaged 29.4%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 7.9% (HV 20d: 37.3%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2007-12-11: Highest Volume — 13,593 contracts
  • 2007-12-11: Largest IV spike — 17.0% change
  • 2007-12-17: Highest IV Rank — 51.5%
  • 2007-12-17: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.84$68.28$73.38$70.13$71.30
Max Pain$61.63$60.00$62.50$60.00$62.50
ATM IV29.4%27.1%32.7%28.2%29.5%
Expected Move8.5%7.8%9.4%8.1%8.5%
HV 20d37.3%31.3%41.1%37.7%31.3%
HV 60d31.6%30.7%32.6%30.7%32.0%
IV Rank39.1%30.6%51.5%34.8%39.7%
IV Percentile60.8%50.9%77.2%54.5%62.0%
Term Structure3.5%2.1%5.8%2.8%4.9%
VWIV30.0%26.8%32.5%28.1%29.4%
Skew 25d2.9%1.7%4.2%2.1%2.4%
Skew 10d5.6%3.8%8.5%5.6%5.4%
Call IV 25d28.3%25.8%31.6%27.4%28.5%
Put IV 25d31.2%29.0%33.8%29.5%30.9%
Bid-Ask Spread %12.279.1915.429.3412.47
Gamma HHI0.270.200.760.230.27
Net GEX4.0M2.0M10.6M3.6M2.2M
Net DEX-112.1M-175.1M-70.4M-127.5M-84.6M
Net VEX-433.8K-457.7K-406.1K-448.0K-414.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.032.030.030.85
Total Volume2,310.0541413,5932,421702
Total OI55,161.4543,95761,33055,91846,201

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$70.13$60.0028.2%8.1%37.7%34.8%28.1%2.1%2.8%3.6M-127.5M-448.0K0.039.342,3586332,07423,844
2007-12-04$69.84$60.0027.8%8.0%37.3%33.2%30.7%1.7%3.5%4.1M-128.9M-457.7K0.2712.312,54268333,58123,838
2007-12-05$72.24$60.0028.1%8.1%38.1%34.6%28.5%2.6%2.3%4.0M-161.8M-443.2K1.099.471,2741,38434,33923,918
2007-12-06$72.15$60.0027.1%7.8%37.7%30.6%26.8%3.2%2.1%4.1M-157.9M-449.2K0.3612.5230510934,47424,630
2007-12-07$73.38$60.0027.6%8.5%36.2%32.6%31.0%4.2%3.8%3.7M-175.1M-429.5K0.9410.9975370734,50724,627
2007-12-10$73.00$60.0027.7%8.4%36.1%32.9%30.7%3.1%3.3%3.9M-171.1M-419.1K0.9412.6493888134,55124,809
2007-12-11$69.79$60.0032.4%8.9%40.0%50.1%31.7%2.8%2.6%4.4M-127.2M-444.1K0.2211.0111,1062,48734,98725,098
2007-12-12$69.86$62.5028.9%8.7%39.5%37.4%30.4%3.5%3.0%3.9M-93.8M-451.8K2.0313.058891,80730,59226,592
2007-12-13$70.96$62.5030.4%8.7%39.2%43.1%30.2%3.1%3.7%4.4M-111.7M-443.4K0.429.6553322330,93426,210
2007-12-14$71.15$62.5031.1%8.9%38.6%45.4%31.2%3.0%3.3%4.3M-115.2M-444.5K1.1514.8458267130,99226,643
2007-12-17$68.28$62.5032.7%9.4%40.9%51.5%32.5%2.2%2.5%4.1M-70.4M-439.7K0.3812.152,40191131,05927,095
2007-12-18$69.24$62.5031.0%8.9%41.1%45.0%31.2%3.3%3.2%4.4M-89.2M-437.9K1.0912.2648152631,99327,268
2007-12-19$69.51$62.5030.7%8.8%40.8%44.1%30.3%3.0%3.6%4.4M-88.7M-424.3K0.1315.422,96039031,11027,325
2007-12-20$68.96$62.5030.0%8.6%40.1%41.3%30.6%2.7%4.0%4.9M-83.2M-423.6K1.739.1944576932,20427,303
2007-12-21$70.00$62.5029.5%8.4%37.1%39.5%29.0%3.5%3.9%10.6M-103.1M-435.3K0.3812.3790834333,60227,728
2007-12-24$71.49$62.5027.8%8.0%34.1%33.3%29.2%3.2%5.8%2.4M-87.3M-419.8K1.1813.1748857723,88720,216
2007-12-26$72.72$62.5028.5%8.2%33.8%36.0%29.0%3.3%3.1%2.0M-95.0M-406.1K0.5113.011,18059723,30420,653
2007-12-27$71.16$62.5029.8%8.5%32.9%40.7%29.6%2.4%4.1%2.1M-84.6M-419.7K0.8914.9576168024,14521,082
2007-12-28$71.62$62.5028.8%8.3%32.4%37.1%29.5%3.2%4.9%2.1M-86.0M-423.4K0.5214.6351826924,30021,514
2007-12-31$71.30$62.5029.5%8.5%31.3%39.7%29.4%2.4%4.9%2.2M-84.6M-414.8K0.8512.4737932324,63621,565