TXT Options History — December 2008

In December 2008, TXT traded between $12.20 and $15.61. ATM implied volatility averaged 86.2%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 24.8%. IV traded below realized volatility by 24.8% (HV 20d: 110.9%). Max pain ranged from $17.50 to $30.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.35.

Notable Days

  • 2008-12-23: Highest Volume — 7,397 contracts
  • 2008-12-23: Largest IV spike — 22.8% change
  • 2008-12-01: Highest IV Rank — 36.7%
  • 2008-12-01: Largest Expected Move — 30.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.34$12.20$15.61$13.90$13.87
Max Pain$21.48$17.50$30.00$30.00$17.50
ATM IV86.2%68.1%104.7%104.7%68.1%
Expected Move24.8%19.5%30.0%30.0%19.5%
HV 20d110.9%98.8%120.5%118.0%106.3%
HV 60d126.2%124.0%128.5%124.7%128.2%
IV Rank28.1%19.7%36.7%36.7%19.7%
IV Percentile79.7%71.4%88.5%88.5%71.4%
Term Structure1.0%-8.5%6.4%-8.5%5.7%
VWIV87.6%65.8%110.2%107.3%78.7%
Skew 25d20.7%7.7%25.9%24.5%7.7%
Skew 10d43.7%23.5%60.1%46.9%23.5%
Call IV 25d79.5%63.2%100.1%100.1%69.1%
Put IV 25d100.2%76.8%124.5%124.5%76.8%
Bid-Ask Spread %6.563.0512.339.093.05
Gamma HHI0.240.110.640.150.21
Net GEX62.9K-91.6K606.7K-19.0K-59.3K
Net DEX39.0M25.7M51.7M49.7M25.7M
Net VEX-101.7K-124.0K-68.5K-103.1K-86.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.058.570.281.53
Total Volume2,445.0457257,3971,8944,478
Total OI123,938.40992,935141,509131,82599,631

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$13.90$30.00104.7%30.0%118.0%36.7%107.3%24.5%-8.5%-19.0K49.7M-103.1K0.289.091,48141376,78955,036
2008-12-02$14.75$30.0097.5%27.9%120.5%33.4%110.2%24.5%-1.7%19.0K50.4M-111.6K8.5712.335794,96477,64854,772
2008-12-03$14.62$30.0092.5%26.5%116.2%31.0%92.3%25.5%0.1%-17.5K51.7M-113.9K0.097.106,22058478,03258,621
2008-12-04$13.85$25.0095.3%27.3%113.1%32.4%104.3%23.7%-1.2%-4.2K51.0M-108.5K1.987.555941,17980,33159,028
2008-12-05$14.12$25.0088.3%26.2%112.7%29.1%92.2%25.9%0.1%5.5K51.3M-111.5K0.667.7143828780,68059,723
2008-12-08$15.46$25.0094.5%26.4%117.9%32.0%88.1%22.6%-0.2%87.8K50.2M-124.0K0.406.791,08143680,88959,835
2008-12-09$15.24$25.0092.5%26.5%117.2%31.1%87.0%20.0%0.1%87.7K49.9M-123.0K1.987.808511,68781,02060,022
2008-12-10$14.95$25.0087.1%25.9%116.0%28.6%90.8%21.0%-0.2%68.1K50.0M-119.0K0.478.1557226681,37060,139
2008-12-11$14.41$22.5088.3%25.3%113.8%29.1%89.8%22.2%1.7%47.8K45.7M-110.3K1.035.4455757181,53856,906
2008-12-12$15.33$20.0088.3%25.3%110.0%29.1%96.7%21.0%1.0%134.3K40.2M-119.0K0.299.141,01229381,78154,472
2008-12-15$14.57$20.0089.3%25.6%110.7%29.6%89.0%20.9%0.4%85.4K38.6M-107.8K0.986.1748147382,04652,262
2008-12-16$15.61$20.0086.3%24.7%108.9%28.2%85.9%20.7%0.6%218.6K36.0M-111.4K2.247.7433975882,16352,202
2008-12-17$15.43$17.5084.4%24.2%108.0%27.3%86.2%20.2%0.4%243.8K35.2M-108.9K2.115.315181,09282,25251,722
2008-12-18$15.25$17.5079.4%22.8%104.2%25.0%83.6%16.9%1.9%356.3K35.9M-106.1K0.825.4766354482,45351,940
2008-12-19$15.25$17.5072.6%20.8%103.7%21.8%65.8%17.7%6.4%606.7K33.7M-100.6K0.056.496,05529182,67851,987
2008-12-22$15.34$17.5070.9%20.3%98.8%21.0%66.4%19.7%3.9%-36.6K26.1M-96.1K0.385.0484032256,49936,436
2008-12-23$12.20$17.5087.0%25.0%110.0%28.5%88.5%16.7%-0.7%-91.6K27.6M-68.5K1.106.473,5183,87957,01436,323
2008-12-24$12.78$17.5084.9%24.3%110.7%27.5%84.9%22.8%-0.1%-84.6K27.3M-76.5K0.283.9874721159,35937,683
2008-12-26$12.91$17.5081.4%23.3%109.5%25.9%82.3%18.6%4.0%-84.9K27.1M-76.9K2.893.913691,06859,20637,722
2008-12-29$12.75$17.5081.1%23.3%109.4%25.8%79.0%21.8%5.8%-89.0K27.3M-75.9K1.164.5270681759,46838,222
2008-12-30$12.89$17.5081.3%23.3%105.1%25.9%77.8%20.9%3.1%-91.5K27.4M-77.8K0.344.971,15839960,07738,668
2008-12-31$13.87$17.5068.1%19.5%106.3%19.7%78.7%7.7%5.7%-59.3K25.7M-86.2K1.533.051,7712,70760,73638,895