TXT Options History — July 2008

In July 2008, TXT traded between $40.16 and $48.87. ATM implied volatility averaged 44.0%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 2.5% (HV 20d: 46.5%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2008-07-16: Highest Volume — 12,712 contracts
  • 2008-07-10: Largest IV drop — 25.2% change
  • 2008-07-09: Highest IV Rank — 99.2%
  • 2008-07-15: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.78$40.16$48.87$48.79$43.47
Max Pain$47.95$45.00$55.00$55.00$45.00
ATM IV44.0%37.1%56.8%42.6%39.3%
Expected Move12.3%10.6%14.0%12.2%11.3%
HV 20d46.5%37.6%56.1%37.6%55.4%
HV 60d35.8%30.5%41.7%30.5%41.7%
IV Rank59.0%36.2%99.2%55.7%43.4%
IV Percentile84.9%64.7%99.6%88.9%67.9%
Term Structure-2.5%-5.5%-0.2%-3.5%-1.3%
VWIV43.1%38.0%49.3%42.6%40.2%
Skew 25d4.2%1.3%6.5%3.2%1.3%
Skew 10d8.4%-3.7%21.0%10.2%-3.7%
Call IV 25d41.2%36.4%49.1%42.8%40.3%
Put IV 25d45.4%41.0%52.1%46.0%41.6%
Bid-Ask Spread %14.676.3726.9016.7218.61
Gamma HHI0.240.160.340.200.25
Net GEX-616.3K-1.1M-174.9K-789.2K-301.1K
Net DEX62.6M45.9M83.1M45.9M60.1M
Net VEX-432.7K-501.1K-322.6K-501.1K-465.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.264.024.020.77
Total Volume2,608.54564012,7121,505684
Total OI66,780.36455,57480,39662,94968,327

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$48.79$55.0042.6%12.2%37.6%55.7%42.6%3.2%-3.5%-789.2K45.9M-501.1K4.0216.723001,20532,87530,074
2008-07-02$46.95$55.0047.4%13.6%38.8%70.5%47.3%2.1%-4.1%-913.4K57.7M-467.7K0.2616.611,84148432,90330,976
2008-07-03$47.84$55.0045.5%13.0%39.2%64.6%47.7%2.8%-5.5%-877.6K52.9M-484.8K0.6619.0638525533,32930,959
2008-07-07$47.97$50.0049.6%12.0%38.4%77.3%45.2%6.1%-2.9%-923.9K51.8M-483.1K1.6315.266341,03533,23331,023
2008-07-08$48.87$50.0048.8%11.7%39.7%74.9%39.7%5.2%-1.7%-1.1M49.6M-496.3K0.7011.8847433033,43231,742
2008-07-09$47.14$50.0056.8%13.2%40.8%99.2%44.2%3.9%-4.2%-998.2K58.2M-464.1K0.6518.503,1702,07633,61131,880
2008-07-10$47.60$50.0042.5%12.2%41.3%55.4%47.7%6.5%-2.4%-949.8K58.0M-479.9K1.7319.4929550935,50733,194
2008-07-11$46.03$50.0046.3%13.3%40.5%67.1%46.3%5.1%-3.2%-931.1K68.3M-447.7K0.7610.601,21191835,51333,360
2008-07-14$46.11$50.0047.8%13.7%39.8%71.8%48.0%5.1%-5.2%-843.7K52.1M-322.6K0.7210.5359142628,70426,870
2008-07-15$43.28$50.0048.8%14.0%39.2%74.9%49.3%3.0%-5.4%-767.4K81.9M-370.9K0.4514.323,1811,42836,58033,833
2008-07-16$45.98$45.0048.3%13.9%45.1%73.3%47.5%5.8%-5.4%-620.3K62.4M-436.0K0.3113.519,7162,99638,69533,907
2008-07-17$43.25$45.0039.8%11.4%49.0%47.1%40.7%5.3%-1.1%-174.9K83.1M-378.5K0.4313.065,0852,20042,94135,073
2008-07-18$41.60$45.0042.8%12.3%49.5%56.3%41.3%3.5%-1.5%-489.7K82.1M-383.7K0.3118.171,11034645,70334,693
2008-07-21$40.16$45.0041.0%11.8%50.1%48.7%40.7%1.7%-1.1%-489.0K77.2M-343.4K0.939.491,05598131,36531,089
2008-07-22$41.91$45.0042.1%12.1%53.5%52.3%38.0%6.4%-1.9%-425.9K70.7M-380.4K0.5213.841,17761131,88531,500
2008-07-23$42.90$45.0037.1%10.6%54.8%36.2%38.2%6.1%-0.4%-377.4K63.4M-418.2K0.3110.651,58148932,41131,588
2008-07-24$42.43$45.0041.7%11.9%53.0%50.9%40.5%3.1%-0.8%-329.6K62.7M-418.7K2.1926.906471,42033,38831,745
2008-07-25$42.81$45.0037.9%10.9%53.0%38.8%40.5%4.0%-0.2%-351.8K62.5M-431.6K0.687.4349834133,41432,286
2008-07-28$41.90$45.0042.5%12.2%53.2%53.6%40.3%2.7%-1.5%-389.6K66.8M-404.6K1.026.3777078533,44632,287
2008-07-29$43.44$45.0039.4%11.3%55.3%43.6%41.2%4.2%-1.2%-348.8K59.7M-448.7K0.3417.891,65757133,55532,795
2008-07-30$44.73$45.0039.3%11.3%56.1%43.4%40.9%5.4%-1.4%-204.9K51.0M-490.5K1.3513.838161,10434,48432,993
2008-07-31$43.47$45.0039.3%11.3%55.4%43.4%40.2%1.3%-1.3%-301.1K60.1M-465.8K0.7718.6138629834,74733,580