TXT Options History — November 2008

In November 2008, TXT traded between $11.95 and $18.64. ATM implied volatility averaged 113.4%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 32.0%. IV traded below realized volatility by 26.1% (HV 20d: 139.5%). Max pain ranged from $17.50 to $30.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.19.

Notable Days

  • 2008-11-11: Highest Volume — 10,477 contracts
  • 2008-11-24: Largest IV drop — 16.3% change
  • 2008-11-20: Highest IV Rank — 47.6%
  • 2008-11-20: Largest Expected Move — 36.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.00$11.95$18.64$17.24$15.23
Max Pain$27.37$17.50$30.00$17.50$30.00
ATM IV113.4%93.9%128.0%123.4%93.9%
Expected Move32.0%26.9%36.7%35.4%26.9%
HV 20d139.5%114.9%158.0%158.0%121.1%
HV 60d114.8%107.8%124.1%107.8%123.8%
IV Rank40.8%31.7%47.6%45.5%31.7%
IV Percentile90.9%84.1%93.7%93.7%84.1%
Term Structure-4.7%-9.4%4.0%-7.1%0.1%
VWIV110.2%89.6%129.1%123.7%93.2%
Skew 25d21.8%16.2%27.6%27.6%21.6%
Skew 10d46.0%34.6%71.7%64.7%41.6%
Call IV 25d102.5%85.6%120.6%114.1%85.6%
Put IV 25d124.3%107.2%143.5%141.7%107.2%
Bid-Ask Spread %10.897.4715.2813.737.47
Gamma HHI0.140.110.230.120.12
Net GEX40.0K-130.2K281.4K203.7K52.3K
Net DEX50.2M35.4M56.8M38.6M49.4M
Net VEX-139.5K-223.2K-87.4K-202.1K-121.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.175.090.615.09
Total Volume3,062.36884010,4773,763840
Total OI146,873.947129,274156,106145,933131,451

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$17.24$17.50123.4%35.4%158.0%45.5%123.7%27.6%-7.1%203.7K38.6M-202.1K0.6113.732,3431,42087,04158,892
2008-11-04$18.64$17.50114.9%33.0%152.7%41.5%129.1%21.0%-4.6%281.4K35.4M-223.2K2.0713.451,3592,81987,37459,505
2008-11-05$16.93$17.50114.9%32.9%156.0%41.5%119.0%24.0%-7.2%186.2K42.1M-187.9K1.8410.882,7345,02987,59061,165
2008-11-06$16.16$17.50125.6%36.0%153.7%46.5%125.4%21.6%-3.3%124.1K46.2M-185.2K0.7615.2864949388,34963,260
2008-11-07$16.20$30.00120.4%32.9%152.8%44.1%107.1%21.1%-8.3%134.6K47.2M-179.8K1.2611.4848360788,58463,233
2008-11-10$15.60$30.00120.2%32.1%148.0%43.9%110.2%21.0%-7.7%109.0K49.2M-163.1K0.879.811,9381,68388,71463,365
2008-11-11$14.83$30.00111.2%30.0%147.6%39.8%105.8%22.8%-6.9%32.3K53.0M-138.9K1.519.504,1706,30788,94463,944
2008-11-12$13.82$30.00117.8%30.6%143.8%42.8%106.5%22.4%-6.5%-30.7K54.7M-125.7K0.607.561,25174990,06166,045
2008-11-13$15.30$30.00103.3%29.6%147.6%36.1%104.6%19.1%-6.8%19.1K54.8M-133.6K0.5810.741,46284187,72763,114
2008-11-14$14.73$30.00104.4%29.9%147.1%36.6%100.9%16.2%-5.0%-73154.1M-131.7K0.3610.881,96671488,26563,323
2008-11-17$13.57$30.00119.7%34.3%149.2%43.7%113.3%23.5%-8.5%-72.6K56.5M-107.7K0.368.593,4081,23089,38763,540
2008-11-18$13.10$30.00118.8%34.1%139.5%43.3%109.3%23.0%-9.4%-113.9K56.8M-98.4K0.6212.491,15171187,30963,670
2008-11-19$12.20$30.00119.7%34.3%121.2%43.7%122.4%18.0%-3.6%-129.3K55.8M-87.4K1.218.531,2911,55687,11463,770
2008-11-20$11.95$30.00128.0%36.7%114.9%47.6%125.1%22.9%-5.0%-130.2K55.4M-92.2K0.8212.101,10790688,12764,679
2008-11-21$13.16$30.00123.8%35.5%118.9%45.6%116.9%19.3%-5.4%-54.0K56.5M-100.1K2.9111.515371,56187,89064,729
2008-11-24$15.77$30.00103.6%29.7%130.0%36.2%98.1%27.4%4.0%47.0K49.6M-126.0K0.3413.841,35846775,40453,870
2008-11-25$14.94$30.0095.8%27.5%124.4%32.6%93.6%20.7%2.8%37.3K48.7M-118.4K0.729.381,23089076,10954,104
2008-11-26$15.57$30.0094.9%27.2%124.3%32.2%89.6%21.1%-0.2%64.2K49.2M-127.6K0.179.7079013576,59854,359
2008-11-28$15.23$30.0093.9%26.9%121.1%31.7%93.2%21.6%0.1%52.3K49.4M-121.0K5.097.4713870276,98154,470