TXT Options History — March 2008

In March 2008, TXT traded between $51.38 and $56.37. ATM implied volatility averaged 38.9%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.8% (HV 20d: 34.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2008-03-06: Highest Volume — 19,070 contracts
  • 2008-03-13: Largest IV spike — 18.0% change
  • 2008-03-17: Highest IV Rank — 71.6%
  • 2008-03-17: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.33$51.38$56.37$55.11$55.42
Max Pain$56.00$55.00$60.00$60.00$55.00
ATM IV38.9%31.4%46.4%34.4%44.0%
Expected Move11.4%9.0%13.3%9.8%12.6%
HV 20d34.2%26.2%41.3%30.6%39.3%
HV 60d41.3%39.7%42.9%41.0%41.1%
IV Rank51.5%31.4%71.6%39.2%65.1%
IV Percentile84.1%55.2%98.4%75.8%96.0%
Term Structure-0.6%-4.1%6.8%3.5%-4.1%
VWIV40.5%33.1%43.7%33.8%43.3%
Skew 25d4.8%2.9%6.4%3.8%5.5%
Skew 10d9.6%5.5%18.8%7.9%12.7%
Call IV 25d38.4%31.1%43.0%33.1%41.9%
Put IV 25d43.2%35.5%49.4%36.9%47.5%
Bid-Ask Spread %16.0910.5123.3314.1323.33
Gamma HHI0.190.180.230.190.19
Net GEX-1.1M-2.3M-70.2K-341.8K-317.9K
Net DEX36.0M15.3M63.4M26.3M16.6M
Net VEX-517.0K-633.7K-472.2K-472.2K-519.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.112.440.430.11
Total Volume2,566.3570019,0701,7531,857
Total OI54,53444,59464,70150,54246,670

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$55.11$60.0034.4%9.8%30.6%39.2%33.8%3.8%3.5%-341.8K26.3M-472.2K0.4314.131,22952427,27623,266
2008-03-04$55.28$60.0034.2%9.8%30.7%38.8%35.6%4.0%4.3%-305.9K23.8M-491.3K0.3016.8779324128,18023,614
2008-03-05$56.37$60.0031.4%9.0%27.5%31.4%33.1%4.4%6.8%-70.2K15.3M-504.7K2.4112.3625561428,77423,639
2008-03-06$55.12$60.0034.2%9.8%28.6%38.8%34.6%2.9%4.6%-290.1K23.3M-492.2K2.1516.876,06113,00928,87023,774
2008-03-07$54.63$55.0034.0%11.2%26.2%38.2%42.9%4.7%-1.5%-886.2K42.1M-633.7K0.9210.5177070830,30034,401
2008-03-10$53.17$55.0039.5%11.9%27.7%53.1%41.9%4.6%-2.5%-1.4M62.4M-509.4K2.0011.026761,35324,85934,742
2008-03-11$54.72$55.0034.0%11.2%29.5%38.2%39.0%5.0%-1.1%-1.5M53.3M-511.4K2.0511.878681,78025,19734,577
2008-03-12$54.37$55.0033.9%11.5%29.6%37.9%40.2%3.4%-1.5%-1.9M56.0M-514.7K0.5711.2159833824,99235,782
2008-03-13$54.18$55.0040.0%11.5%28.5%54.3%43.7%4.1%-0.9%-1.9M45.8M-510.8K1.6010.991,7122,73725,31833,627
2008-03-14$52.86$55.0041.5%11.9%29.4%58.4%42.4%5.5%-1.3%-1.8M49.9M-518.6K2.4412.955651,37626,18133,516
2008-03-17$51.38$55.0046.4%13.3%30.6%71.6%43.6%6.4%-3.1%-2.0M63.4M-503.8K0.8518.8797582726,78134,295
2008-03-18$54.90$55.0041.0%11.8%39.6%57.1%40.9%5.2%-1.8%-1.9M30.9M-535.6K0.3918.351,87872627,25033,882
2008-03-19$53.03$55.0042.2%12.1%41.3%60.3%42.7%5.0%-2.2%-2.3M46.7M-523.0K0.5513.9870338827,86834,004
2008-03-20$53.56$55.0040.4%11.6%41.3%55.5%40.0%5.0%-1.1%-2.1M43.3M-524.2K1.7421.9841371827,60133,783
2008-03-24$53.54$55.0041.4%11.9%40.1%58.0%42.4%4.9%-2.1%-745.4K31.0M-502.3K0.8813.241,01189417,14827,446
2008-03-25$54.49$55.0040.6%11.6%39.9%55.8%43.7%6.3%-1.5%-617.3K24.8M-514.8K1.4920.2328141917,64627,625
2008-03-26$55.67$55.0041.5%11.9%40.8%58.4%40.7%6.1%-1.8%-450.2K18.2M-521.9K0.6118.6780148917,82027,503
2008-03-27$54.25$55.0042.2%12.1%41.3%60.3%43.0%4.7%-2.6%-539.4K24.2M-516.1K0.8521.3281769218,26827,650
2008-03-28$54.62$55.0042.3%12.1%40.6%60.5%42.8%4.3%-3.2%-445.4K22.3M-519.3K0.5623.0079044118,80727,748
2008-03-31$55.42$55.0044.0%12.6%39.3%65.1%43.3%5.5%-4.1%-317.9K16.6M-519.5K0.1123.331,66818918,91927,751