TXT Options History — June 2008

In June 2008, TXT traded between $47.73 and $62.25. ATM implied volatility averaged 36.4%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 4.7% (HV 20d: 31.8%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2008-06-25: Highest Volume — 9,266 contracts
  • 2008-06-12: Largest IV spike — 17.7% change
  • 2008-06-30: Highest IV Rank — 61.8%
  • 2008-06-30: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.68$47.73$62.25$62.25$47.93
Max Pain$58.10$55.00$60.00$60.00$55.00
ATM IV36.4%27.6%44.6%28.6%44.6%
Expected Move10.7%7.9%12.8%8.2%12.8%
HV 20d31.8%23.4%38.1%23.4%36.5%
HV 60d30.2%26.6%31.3%30.2%30.2%
IV Rank40.5%17.6%61.8%24.0%61.8%
IV Percentile62.3%10.7%95.2%19.0%95.2%
Term Structure-1.4%-5.0%5.7%4.7%-5.0%
VWIV36.8%28.0%44.6%28.1%44.6%
Skew 25d4.0%3.0%5.8%3.8%3.3%
Skew 10d7.1%4.2%12.0%6.0%4.2%
Call IV 25d35.7%25.9%43.9%25.9%43.9%
Put IV 25d39.7%29.7%47.2%29.7%47.2%
Bid-Ask Spread %10.985.8218.5110.3611.17
Gamma HHI0.190.160.250.250.20
Net GEX-546.2K-1.6M1.8M1.8M-794.7K
Net DEX30.1M-28.5M62.4M-28.5M51.6M
Net VEX-525.8K-612.1K-416.3K-612.1K-480.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.111.760.561.68
Total Volume1,717.2864479,266751570
Total OI63,407.04854,61567,62463,27662,824

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$62.25$60.0028.6%8.2%23.4%24.0%28.1%3.8%4.7%1.8M-28.5M-612.1K0.5610.3648226931,66031,616
2008-06-03$60.53$60.0028.8%8.2%25.4%22.9%29.3%4.4%4.8%899.0K-11.3M-592.8K0.787.4349338531,76331,651
2008-06-04$60.24$60.0028.0%8.0%25.4%20.9%28.0%4.3%5.3%585.9K-4.8M-589.3K1.2910.7232241631,82731,810
2008-06-05$61.13$60.0027.6%7.9%25.2%17.6%28.3%4.4%5.7%997.6K-13.3M-592.6K0.8410.1327623331,99832,027
2008-06-06$58.95$60.0028.7%9.8%28.0%20.7%34.8%3.1%-1.6%25.6K5.9M-579.2K1.7612.1548184632,16932,154
2008-06-09$58.00$60.0029.9%10.0%28.4%24.1%34.8%4.6%-1.6%-373.5K16.2M-563.0K0.6313.7479149632,13132,279
2008-06-10$57.03$60.0034.5%10.6%28.3%36.7%35.5%4.1%-2.2%-721.1K25.0M-555.8K0.3716.031,11841232,77732,327
2008-06-11$56.14$60.0032.8%10.7%27.7%31.9%38.7%3.3%-2.0%-761.9K28.1M-545.3K0.858.5663954132,74232,277
2008-06-12$57.42$60.0038.6%11.1%29.1%48.3%35.7%4.7%-2.6%-445.6K18.1M-563.7K0.7318.5188864932,89432,315
2008-06-13$58.18$60.0036.0%10.3%28.4%36.6%36.0%4.3%-2.2%-275.2K11.3M-566.0K0.6213.751,22775633,03932,247
2008-06-16$54.42$60.0037.8%10.8%35.1%42.1%38.0%3.7%-3.0%-1.1M40.9M-516.5K1.4415.551,7312,49533,14032,430
2008-06-17$52.19$60.0040.8%11.7%35.1%51.1%38.5%3.3%-3.8%-1.5M58.2M-491.6K1.195.829281,10833,55233,207
2008-06-18$52.19$60.0041.3%11.8%35.2%52.5%39.0%4.2%-4.6%-1.5M57.0M-493.0K1.157.8568178633,73733,259
2008-06-19$52.74$55.0037.8%10.8%35.9%42.2%40.5%4.5%-3.4%-1.3M53.4M-499.7K0.608.6946628134,03433,224
2008-06-20$51.66$55.0041.6%11.9%36.0%53.4%37.9%5.8%-4.2%-1.6M59.9M-484.1K1.4310.8031745434,24533,379
2008-06-23$51.90$55.0041.3%11.8%36.2%51.6%39.0%3.6%-3.0%-1.3M45.3M-477.6K0.1112.491,84120325,18129,434
2008-06-24$50.98$55.0041.0%11.8%36.4%51.0%40.6%4.4%-2.5%-1.2M48.9M-470.1K0.4612.6470032126,51929,464
2008-06-25$48.68$55.0041.1%11.8%38.1%51.1%41.0%3.0%-2.4%-1.2M62.4M-416.3K0.186.377,8371,42926,63029,546
2008-06-26$47.73$55.0042.1%12.1%37.1%54.2%42.6%3.6%-3.2%-811.7K53.8M-476.1K0.797.9897976932,03629,984
2008-06-27$47.93$55.0042.6%12.2%36.3%55.8%42.6%3.7%-3.4%-837.7K53.6M-477.2K0.679.8526718032,03629,984
2008-06-30$47.93$55.0044.6%12.8%36.5%61.8%44.6%3.3%-5.0%-794.7K51.6M-480.0K1.6811.1721335732,72530,099