TXT Options History — January 2009

In January 2009, TXT traded between $9.03 and $16.04. ATM implied volatility averaged 85.2%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 24.5%. IV traded below realized volatility by 24.5% (HV 20d: 109.7%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.62.

Notable Days

  • 2009-01-29: Highest Volume — 34,436 contracts
  • 2009-01-14: Largest IV spike — 19.3% change
  • 2009-01-29: Highest IV Rank — 34.0%
  • 2009-01-29: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.56$9.03$16.04$15.37$9.03
Max Pain$15.00$12.50$17.50$17.50$12.50
ATM IV85.2%72.4%98.9%72.4%97.4%
Expected Move24.5%20.7%28.4%20.7%27.9%
HV 20d109.7%81.1%159.4%112.7%155.8%
HV 60d118.5%104.3%127.7%126.6%127.6%
IV Rank27.7%21.7%34.0%21.7%33.3%
IV Percentile77.6%72.6%84.9%73.0%83.7%
Term Structure-1.4%-5.2%4.0%4.0%-5.2%
VWIV87.9%75.3%103.8%76.4%102.2%
Skew 25d16.9%3.1%26.3%14.8%10.9%
Skew 10d32.7%-14.1%57.5%37.4%-4.1%
Call IV 25d77.8%67.1%98.5%67.9%94.3%
Put IV 25d94.8%82.6%105.2%82.6%105.2%
Bid-Ask Spread %14.944.4421.104.449.97
Gamma HHI0.200.140.390.150.27
Net GEX-17.7K-141.4K76.9K11.8K-71.2K
Net DEX20.8M16.9M27.0M21.1M21.5M
Net VEX-88.1K-105.6K-61.4K-97.1K-86.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.396.190.972.29
Total Volume4,993.5595334,4363,74015,745
Total OI90,778.863,562105,708100,449101,829

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$15.37$17.5072.4%20.7%112.7%21.7%76.4%14.8%4.0%11.8K21.1M-97.1K0.974.441,9001,84061,69738,752
2009-01-05$15.08$15.0078.0%22.0%111.0%24.3%82.3%17.8%-1.5%7.3K21.6M-97.4K0.5015.101,68083762,62139,262
2009-01-06$16.04$15.0078.7%22.5%112.8%24.6%77.5%17.9%-1.9%76.9K18.3M-105.6K0.4321.1083135763,61839,331
2009-01-07$15.87$15.0079.8%22.8%108.4%25.2%78.8%18.8%-0.5%66.2K19.0M-104.9K0.8515.3360250963,92439,504
2009-01-08$16.01$15.0077.4%22.9%108.2%24.0%80.4%16.6%-1.4%76.6K19.0M-104.2K0.7916.271,11288364,19039,617
2009-01-09$15.86$15.0072.7%22.9%108.0%21.8%75.3%16.6%-0.6%62.8K19.7M-102.7K1.7116.3439867964,62340,083
2009-01-12$14.87$15.0083.9%23.5%109.8%27.1%82.8%15.6%-2.2%-12.2K23.3M-94.8K1.4017.2865591464,70140,549
2009-01-13$13.86$15.0078.3%23.4%110.2%24.5%82.9%14.1%-2.1%-55.9K25.9M-85.5K1.2718.841,1991,52464,93140,609
2009-01-14$13.59$15.0093.4%26.2%109.0%31.5%88.9%17.4%-1.5%-67.2K27.0M-81.4K0.6514.6487056564,86340,802
2009-01-15$13.66$15.0091.8%26.3%105.7%30.7%88.9%18.8%-1.3%-59.4K25.2M-81.1K6.1920.125683,51665,21739,968
2009-01-16$14.05$15.0079.9%22.9%106.4%25.2%82.8%14.5%0.6%8.2K24.7M-83.7K0.7814.5653441965,52340,185
2009-01-20$12.45$15.0092.8%26.6%114.2%31.2%91.4%15.5%-3.2%-17.6K16.9M-73.2K4.8117.045562,67635,08828,474
2009-01-21$12.92$15.0089.3%25.6%115.3%29.6%84.6%20.5%-1.1%-31.0K18.0M-81.3K0.3916.842,43994635,44530,532
2009-01-22$12.38$15.0090.6%26.0%115.8%30.2%103.8%20.5%-3.5%-30.4K17.8M-79.2K2.9110.139622,80136,64731,051
2009-01-23$12.56$15.0086.2%24.7%82.4%28.1%82.5%20.2%-1.0%-53.3K18.5M-81.4K0.4311.111,66071936,89733,301
2009-01-26$12.26$15.0086.2%24.7%81.1%28.1%96.9%16.0%-2.5%-55.3K18.9M-78.5K0.8114.111,4561,18437,76933,662
2009-01-27$12.88$15.0088.1%25.2%83.0%29.0%100.5%26.3%-2.2%-32.3K17.7M-85.2K2.788.901,7234,79638,53734,576
2009-01-28$13.30$15.0088.5%25.4%83.7%29.2%97.6%23.0%-1.7%-37.0K17.9M-97.1K1.8016.001,9193,46139,33737,831
2009-01-29$9.09$15.0098.9%28.4%159.4%34.0%101.3%3.1%0.3%-141.4K23.6M-61.4K0.5820.7621,80012,63639,55840,472
2009-01-30$9.03$12.5097.4%27.9%155.8%33.3%102.2%10.9%-5.2%-71.2K21.5M-86.7K2.299.974,78610,95955,04746,782