TXT Options History — April 2008

In April 2008, TXT traded between $56.90 and $62.17. ATM implied volatility averaged 38.1%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.4% (HV 20d: 34.7%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2008-04-29: Highest Volume — 13,627 contracts
  • 2008-04-10: Largest IV drop — 19.5% change
  • 2008-04-09: Highest IV Rank — 79.6%
  • 2008-04-02: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.34$56.90$62.17$57.90$61.01
Max Pain$57.27$55.00$60.00$55.00$60.00
ATM IV38.1%30.5%49.4%40.3%30.5%
Expected Move10.5%8.7%12.8%11.5%8.7%
HV 20d34.7%24.2%42.4%41.8%24.2%
HV 60d37.0%32.9%42.1%42.1%32.9%
IV Rank49.2%28.9%79.6%55.0%28.9%
IV Percentile70.5%34.1%98.4%85.7%34.1%
Term Structure-1.5%-5.1%0.7%-3.7%0.3%
VWIV36.3%30.6%46.0%41.8%30.6%
Skew 25d5.5%2.7%7.8%5.6%2.7%
Skew 10d10.9%6.3%16.4%12.4%9.3%
Call IV 25d34.6%28.3%42.3%39.8%30.1%
Put IV 25d40.1%32.8%46.9%45.4%32.8%
Bid-Ask Spread %13.867.6419.7818.2814.30
Gamma HHI0.260.180.320.190.26
Net GEX1.7M-2.2K2.7M102.8K995.0K
Net DEX-36.1M-100.9M6.7M304.3K-9.5M
Net VEX-534.5K-609.6K-505.6K-532.1K-609.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.149.920.440.33
Total Volume3,559.13663913,6271,738950
Total OI57,825.90947,74371,62947,74365,684

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$57.90$55.0040.3%11.5%41.8%55.0%41.8%5.6%-3.7%102.8K304.3K-532.1K0.4418.281,20653219,91427,829
2008-04-02$56.90$55.0044.6%12.8%42.4%66.7%44.3%4.1%-5.1%-2.2K6.7M-529.5K1.4211.9559284120,24328,040
2008-04-03$57.98$55.0042.6%12.2%42.4%61.3%46.0%4.5%-4.8%121.7K-1.3M-528.4K0.1511.6111,8011,72920,32028,248
2008-04-04$58.03$55.0043.5%10.9%41.4%63.8%35.7%6.4%-1.1%2.2M-42.0M-572.3K0.2411.741,31832030,82929,208
2008-04-07$57.33$55.0048.5%11.7%41.6%77.1%40.3%6.4%-2.1%2.3M-36.2M-566.3K9.9212.905705,65531,41429,379
2008-04-08$57.59$55.0044.5%10.6%40.1%66.3%36.6%6.3%-0.8%2.3M-34.1M-602.1K1.4013.4245263431,65131,761
2008-04-09$57.42$55.0049.4%11.6%39.0%79.6%37.5%5.7%-2.1%2.5M-41.5M-527.5K0.4011.2154221931,91126,956
2008-04-10$57.40$55.0039.8%11.4%38.9%53.7%37.3%5.7%-1.6%2.7M-40.4M-522.4K0.5611.8286248731,90627,135
2008-04-11$57.16$55.0042.4%12.2%38.9%60.9%39.2%6.2%-2.9%2.5M-39.2M-522.1K1.9010.591,4862,81832,03627,117
2008-04-14$58.24$55.0039.4%11.3%37.9%52.8%41.9%6.4%-2.2%2.2M-49.7M-512.0K0.2612.292,40261932,24429,133
2008-04-15$59.80$55.0039.5%11.3%36.5%53.1%43.0%6.7%-2.9%2.3M-72.3M-526.9K1.5014.521,0691,60034,19529,321
2008-04-16$62.17$55.0038.9%11.1%31.6%51.3%35.8%6.7%-2.8%2.2M-100.9M-527.0K0.3619.387,3862,64834,60030,484
2008-04-17$60.44$60.0033.2%9.5%30.6%36.2%32.3%6.6%0.7%2.6M-92.3M-536.8K0.9016.241,8561,66239,43231,393
2008-04-18$60.97$60.0032.3%9.3%30.6%33.7%31.3%7.8%0.3%2.1M-99.9M-535.2K0.8817.0996084139,44532,184
2008-04-21$61.12$60.0032.0%9.2%30.5%33.0%30.9%6.6%0.4%1.7M-24.2M-523.1K0.5211.9876639925,70326,527
2008-04-22$59.96$60.0033.1%9.5%31.5%35.8%32.4%4.7%-0.3%1.3M-14.5M-518.3K0.2413.093,22078125,70326,527
2008-04-23$60.15$60.0033.5%9.6%30.9%37.0%33.6%3.8%-0.3%1.2M-15.7M-519.6K0.9111.3940837025,31526,861
2008-04-24$60.74$60.0033.0%9.5%28.9%35.5%33.2%4.3%-0.4%1.4M-20.9M-519.9K0.3919.7845918025,38127,038
2008-04-25$61.39$60.0032.1%9.2%29.0%33.1%33.1%4.7%-0.3%1.7M-26.8M-514.2K1.1316.0152158725,39627,025
2008-04-28$61.08$60.0032.9%9.4%29.0%35.2%31.4%4.4%-1.0%1.6M-22.7M-508.2K0.1417.642,56336325,56827,220
2008-04-29$60.69$60.0031.8%9.1%25.3%32.5%31.3%4.8%-0.4%1.5M-18.4M-505.6K6.047.641,93611,69125,76528,129
2008-04-30$61.01$60.0030.5%8.7%24.2%28.9%30.6%2.7%0.3%995.0K-9.5M-609.6K0.3314.3071423626,28539,399