TXT Options History — September 2008

In September 2008, TXT traded between $27.50 and $41.74. ATM implied volatility averaged 60.5%, placing in the 80.1% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 3.7% (HV 20d: 56.8%). Max pain ranged from $35.00 to $50.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.60.

Notable Days

  • 2008-09-16: Highest Volume — 30,905 contracts
  • 2008-09-29: Largest IV spike — 37.8% change
  • 2008-09-17: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 29.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.67$27.50$41.74$41.74$29.28
Max Pain$41.19$35.00$50.00$50.00$35.00
ATM IV60.5%41.0%102.0%41.4%84.0%
Expected Move17.5%11.8%29.2%11.9%24.1%
HV 20d56.8%37.7%93.6%38.2%93.6%
HV 60d50.4%44.0%66.4%44.4%66.4%
IV Rank80.1%48.9%100.0%50.0%76.5%
IV Percentile95.1%75.8%100.0%77.8%99.6%
Term Structure-6.9%-19.3%2.7%2.0%-12.6%
VWIV61.0%40.8%103.4%41.1%86.2%
Skew 25d3.5%-2.4%6.2%4.4%5.5%
Skew 10d6.4%-9.4%14.9%14.9%4.5%
Call IV 25d59.8%38.5%104.2%38.8%85.8%
Put IV 25d63.3%43.2%101.8%43.2%91.3%
Bid-Ask Spread %18.276.8142.919.3328.06
Gamma HHI0.220.180.270.260.27
Net GEX150.7K-359.2K1.1M1.1M-359.2K
Net DEX68.3M35.7M106.4M35.7M71.8M
Net VEX-522.0K-680.0K-315.1K-680.0K-373.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.1924.290.360.70
Total Volume5,835.33384830,9053,0933,136
Total OI110,328.8192,827120,336114,910104,392

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$41.74$50.0041.4%11.9%38.2%50.0%41.1%4.4%2.0%1.1M35.7M-680.0K0.369.332,27581862,39952,511
2008-09-03$41.31$50.0041.0%11.8%38.4%48.9%40.8%4.8%2.7%911.7K44.4M-664.0K4.209.7816368561,56852,527
2008-09-04$39.19$50.0043.9%12.6%41.7%58.1%44.8%4.4%2.1%401.8K70.7M-597.4K3.926.811,3025,09961,30752,265
2008-09-05$39.28$40.0042.5%13.2%41.4%53.6%46.0%2.4%-3.4%212.6K74.9M-604.9K1.2514.451,4941,87161,49054,220
2008-09-08$39.07$40.0043.8%13.3%37.7%57.7%46.4%2.5%-4.2%240.0K77.6M-603.4K0.1922.082,63451162,40454,244
2008-09-09$37.18$40.0048.5%14.3%40.3%72.6%48.7%2.3%-4.5%88.0K94.8M-547.4K1.1120.941,5421,70964,22054,029
2008-09-10$37.66$40.0046.6%13.6%40.2%66.7%47.9%2.1%-4.5%123.3K90.5M-569.5K0.398.971,26349465,03454,863
2008-09-11$38.78$40.0049.4%14.2%42.1%75.6%49.5%3.9%-5.2%273.3K59.9M-610.6K1.7921.303,4736,21464,66651,186
2008-09-12$38.92$40.0050.4%14.5%42.2%78.9%51.0%3.9%-5.7%480.3K51.8M-626.5K2.0216.811,7543,54666,72351,100
2008-09-15$36.27$40.0055.8%16.0%48.2%96.1%54.4%3.9%-6.3%-95.4K86.8M-537.2K0.5712.462,6531,51766,21852,822
2008-09-16$35.54$40.0055.1%15.8%48.3%93.8%54.3%4.6%-6.0%-112.1K94.0M-485.1K24.2915.051,22229,68365,47051,225
2008-09-17$32.13$40.0064.3%18.4%57.8%100.0%62.1%3.0%-9.9%-196.9K106.4M-398.6K1.3318.342,2522,99764,19551,056
2008-09-18$32.04$40.0075.0%21.5%57.1%100.0%73.7%4.8%-10.1%-164.1K101.1M-412.9K1.4719.196,0088,82364,78451,408
2008-09-19$35.96$40.0068.2%19.6%72.2%86.2%70.0%6.2%-9.9%223.7K75.1M-556.3K0.5220.864,9762,60766,82253,514
2008-09-22$34.80$40.0072.4%20.7%72.7%94.6%71.7%3.6%-9.8%186.4K35.7M-517.0K0.4521.8760827654,26438,563
2008-09-23$33.96$40.0071.1%20.4%72.7%92.0%71.4%1.7%-9.9%140.2K41.0M-496.8K0.8322.3065654256,45139,392
2008-09-24$32.55$40.0072.4%20.8%73.6%94.8%73.6%3.0%-11.2%-23.0K51.9M-448.4K1.1617.181,5921,84556,65939,494
2008-09-25$33.52$40.0068.8%19.7%73.6%87.5%70.9%3.0%-8.1%-1.6K47.6M-475.2K1.7814.776721,19957,00740,686
2008-09-26$32.49$40.0074.0%21.2%71.1%98.0%73.1%5.5%-10.7%-110.5K54.9M-442.8K3.5320.2825088257,20740,677
2008-09-29$27.50$40.00102.0%29.2%89.6%100.0%103.4%-2.4%-19.3%-171.0K66.9M-315.1K2.6442.913,1078,19257,24440,599
2008-09-30$29.28$35.0084.0%24.1%93.6%76.5%86.2%5.5%-12.6%-359.2K71.8M-373.1K0.7028.061,8431,29358,98045,412