TXT Options History — February 2009

In February 2009, TXT traded between $5.65 and $8.37. ATM implied volatility averaged 159.9%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 46.0%. IV traded below realized volatility by 14.4% (HV 20d: 174.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.95.

Notable Days

  • 2009-02-04: Highest Volume — 89,837 contracts
  • 2009-02-04: Largest IV spike — 80.7% change
  • 2009-02-20: Highest IV Rank — 76.5%
  • 2009-02-20: Largest Expected Move — 54.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.53$5.65$8.37$8.37$5.65
Max Pain$10.13$10.00$12.50$12.50$10.00
ATM IV159.9%92.8%190.0%97.0%151.3%
Expected Move46.0%26.6%54.5%27.8%43.4%
HV 20d174.3%130.9%186.6%149.7%130.9%
HV 60d135.6%126.0%140.3%127.0%132.0%
IV Rank62.4%31.2%76.5%33.2%58.4%
IV Percentile94.5%80.6%98.8%83.3%89.7%
Term Structure-20.0%-40.7%21.8%3.7%0.0%
VWIV151.5%92.4%177.9%97.7%144.8%
Skew 25d19.5%-3.5%35.4%-1.0%8.0%
Skew 10d41.3%-30.6%93.7%-20.0%-20.1%
Call IV 25d143.8%92.7%168.8%97.4%138.4%
Put IV 25d163.3%89.1%183.6%96.4%146.3%
Bid-Ask Spread %9.935.0915.4910.2811.47
Gamma HHI0.380.260.530.400.35
Net GEX46.2K-139.6K134.7K-107.6K68.7K
Net DEX13.0M4.2M25.6M23.8M8.9M
Net VEX-110.5K-154.9K-60.6K-73.0K-108.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.152.121.950.44
Total Volume16,037.89599189,83712,813991
Total OI183,943.895107,947229,326107,947192,204

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$8.37$12.5097.0%27.8%149.7%33.2%97.7%-1.0%3.7%-107.6K23.8M-73.0K1.9510.284,3508,46357,00650,941
2009-02-03$7.97$10.0092.8%26.6%149.8%31.2%92.4%-3.5%-1.2%-139.6K25.6M-74.1K1.979.473,0526,00259,26155,271
2009-02-04$6.28$10.00167.7%48.1%162.3%66.1%169.0%3.2%-27.9%-53.5K21.6M-60.6K2.1215.4928,83161,00660,93053,356
2009-02-05$6.09$10.00172.1%49.3%161.8%68.1%170.5%3.7%-0.4%-57.9K20.3M-80.3K1.919.3112,29123,44776,59275,968
2009-02-06$6.81$10.00154.8%41.8%170.5%60.1%148.7%34.2%-30.6%-5.1K17.0M-101.4K0.868.965,1984,48585,73683,266
2009-02-09$7.33$10.00160.6%43.2%175.1%62.8%140.2%35.4%-28.2%26.2K13.2M-110.3K0.917.058,7998,01487,85983,963
2009-02-10$6.25$10.00189.6%52.0%180.2%76.2%164.4%25.9%-34.2%7.5K15.5M-103.0K0.8511.2312,84710,92991,37687,518
2009-02-11$6.76$10.00126.0%45.9%184.9%46.6%153.8%29.9%-30.0%33.3K15.2M-107.8K0.4211.1432,20713,57494,80491,137
2009-02-12$6.77$10.00162.5%46.6%185.3%63.6%154.9%30.6%-32.1%63.1K9.7M-144.0K0.1510.9712,6971,968117,99898,849
2009-02-13$6.89$10.00160.3%45.9%185.7%62.6%151.0%31.3%-27.9%94.4K6.2M-154.9K0.346.195,7681,932124,29599,209
2009-02-17$6.20$10.00185.7%53.2%185.8%74.5%164.4%24.8%-31.0%121.0K11.0M-128.9K1.177.452,0342,377126,61799,213
2009-02-18$6.49$10.00166.8%47.8%185.7%65.6%170.8%24.3%-27.6%134.7K10.4M-133.4K0.479.562,9171,378126,41599,716
2009-02-19$6.24$10.00186.4%53.4%183.9%74.8%177.9%23.3%-33.1%129.3K11.8M-127.1K0.9713.881,6151,563128,678100,267
2009-02-20$6.25$10.00190.0%54.5%184.3%76.5%171.6%27.1%-40.7%125.5K11.3M-126.8K0.1511.019,4111,419129,40999,917
2009-02-23$5.83$10.00183.6%52.6%183.8%73.5%151.8%11.5%-37.6%98.1K7.0M-117.7K1.645.091,3902,282114,48872,213
2009-02-24$6.14$10.00173.6%49.8%186.6%68.8%151.2%23.5%-16.7%123.1K6.6M-119.8K0.2412.283,929939115,12072,011
2009-02-25$5.90$10.00159.9%45.9%183.9%62.4%155.9%26.9%21.8%130.4K4.2M-112.2K1.117.612,0122,232118,11472,637
2009-02-26$5.80$10.00157.9%45.3%182.2%61.5%146.6%11.4%-6.2%87.3K8.4M-115.2K0.3310.291,784587119,06873,512
2009-02-27$5.65$10.00151.3%43.4%130.9%58.4%144.8%8.0%0.0%68.7K8.9M-108.1K0.4411.47687304119,37472,830