TXT Options History — May 2008

In May 2008, TXT traded between $60.33 and $64.24. ATM implied volatility averaged 28.7%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.3% (HV 20d: 22.4%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2008-05-20: Highest Volume — 8,451 contracts
  • 2008-05-14: Largest IV spike — 17.4% change
  • 2008-05-05: Highest IV Rank — 31.8%
  • 2008-05-05: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.98$60.33$64.24$61.73$62.55
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV28.7%25.8%31.6%30.5%25.8%
Expected Move8.3%7.4%8.9%8.8%7.4%
HV 20d22.4%16.7%24.7%23.8%23.3%
HV 60d31.3%30.6%31.8%31.7%30.6%
IV Rank24.1%16.2%31.8%29.0%16.2%
IV Percentile23.0%6.7%41.3%34.9%6.7%
Term Structure3.3%0.4%5.1%0.4%5.1%
VWIV28.8%26.2%32.1%29.8%27.2%
Skew 25d4.4%3.0%5.6%5.2%3.0%
Skew 10d9.4%5.3%16.5%16.5%6.1%
Call IV 25d26.7%24.9%28.2%27.4%25.7%
Put IV 25d31.1%28.7%33.0%32.5%28.7%
Bid-Ask Spread %11.226.9818.5513.229.39
Gamma HHI0.310.190.610.310.25
Net GEX1.7M653.1K4.9M1.8M1.8M
Net DEX-24.3M-47.6M-7.0M-23.6M-32.4M
Net VEX-562.0K-642.5K-506.1K-523.1K-624.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.079.570.597.47
Total Volume1,954.9052608,4511,2253,184
Total OI58,846.8153,69963,07455,18263,074

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$61.73$60.0030.5%8.8%23.8%29.0%29.8%5.2%0.4%1.8M-23.6M-523.1K0.5913.2277245325,66729,515
2008-05-02$62.00$60.0029.3%8.4%23.7%25.8%29.1%4.7%1.2%2.0M-27.1M-529.5K1.4818.5536554226,31629,730
2008-05-05$61.98$60.0031.6%8.9%23.1%31.8%30.1%5.5%2.0%2.1M-27.7M-518.8K1.669.4828647526,45429,802
2008-05-06$62.02$60.0030.4%8.8%23.1%28.7%32.1%5.6%2.1%2.0M-27.3M-518.7K1.3611.9729039326,46730,221
2008-05-07$60.88$60.0030.9%8.8%24.3%30.0%30.7%4.9%2.5%1.4M-16.0M-519.3K1.9311.7524046226,61430,327
2008-05-08$61.48$60.0030.3%8.8%24.4%28.4%28.0%5.3%2.1%1.4M-16.5M-543.5K0.2712.6444112026,61132,185
2008-05-09$60.87$60.0028.0%8.7%24.7%22.3%28.3%5.1%2.6%904.2K-8.5M-534.1K1.7411.739516526,62532,198
2008-05-12$61.53$60.0031.2%8.6%24.2%30.8%29.4%4.8%2.8%1.1M-14.7M-524.9K1.3412.5568891926,54132,240
2008-05-13$62.47$60.0026.3%8.8%23.1%17.7%30.8%4.8%2.2%2.1M-25.9M-527.2K1.5813.0127543426,71732,179
2008-05-14$62.93$60.0030.9%7.7%18.7%30.0%31.0%4.1%4.4%2.6M-32.2M-515.3K2.3914.965871,40526,73432,189
2008-05-15$64.24$60.0026.9%7.7%16.7%19.1%27.5%3.1%4.1%4.9M-47.6M-513.6K0.618.9386052426,79631,698
2008-05-16$62.43$60.0028.3%8.1%19.9%23.0%27.1%3.9%3.8%704.3K-26.3M-506.1K0.178.504,00968626,83031,666
2008-05-19$63.96$60.0025.8%7.4%21.6%16.2%26.6%3.9%4.3%1.3M-40.8M-584.8K0.739.591,17085924,49529,204
2008-05-20$62.94$60.0026.0%7.5%21.2%16.9%26.2%3.6%4.2%1.1M-31.5M-592.1K0.089.107,85659524,99329,676
2008-05-21$62.61$60.0026.7%7.7%21.3%18.8%27.6%3.6%4.3%2.4M-39.2M-642.5K0.5812.4155431932,67130,026
2008-05-22$61.52$60.0028.7%8.2%22.2%24.1%27.0%4.2%4.5%1.3M-21.1M-620.4K0.0812.626,14551330,30830,160
2008-05-23$60.52$60.0028.2%8.1%22.7%22.9%28.5%4.7%4.5%767.1K-8.9M-611.9K9.5712.691361,30230,40730,539
2008-05-27$60.33$60.0029.1%8.4%22.6%25.3%28.0%3.9%4.0%653.1K-7.0M-614.2K0.076.982,13013930,39531,515
2008-05-28$60.88$60.0028.4%8.1%22.8%23.3%31.7%4.6%4.1%1.1M-14.2M-619.4K1.237.3315819431,40231,527
2008-05-29$61.69$60.0029.4%8.4%23.2%26.0%28.7%4.6%3.9%1.5M-21.7M-617.4K0.208.162605331,46731,602
2008-05-30$62.55$60.0025.8%7.4%23.3%16.2%27.2%3.0%5.1%1.8M-32.4M-624.7K7.479.393762,80831,47131,603