TXT Options History — March 2009

In March 2009, TXT traded between $3.75 and $6.89. ATM implied volatility averaged 153.3%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 43.1%. IV traded above realized volatility by 4.0% (HV 20d: 149.2%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2009-03-03: Highest Volume — 13,241 contracts
  • 2009-03-30: Largest IV spike — 24.6% change
  • 2009-03-06: Highest IV Rank — 94.5%
  • 2009-03-06: Largest Expected Move — 56.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.44$3.75$6.89$4.43$5.74
Max Pain$5.91$5.00$10.00$10.00$5.00
ATM IV153.3%116.1%228.7%163.9%139.1%
Expected Move43.1%33.3%56.2%47.0%39.9%
HV 20d149.2%139.0%160.5%152.1%146.1%
HV 60d147.0%139.1%152.2%139.1%150.6%
IV Rank59.3%42.1%94.5%64.3%52.7%
IV Percentile87.7%75.4%99.6%94.0%82.5%
Term Structure-9.9%-33.3%4.1%-10.3%-0.3%
VWIV149.8%117.9%197.2%168.3%135.3%
Skew 25d22.8%5.8%41.3%25.1%15.1%
Skew 10d38.9%-15.3%86.5%34.5%26.7%
Call IV 25d142.9%114.0%191.5%165.9%123.1%
Put IV 25d165.7%131.8%214.6%190.9%138.2%
Bid-Ask Spread %13.756.6021.369.4716.71
Gamma HHI0.300.240.360.280.33
Net GEX95.2K6.4K174.6K6.4K121.5K
Net DEX2.7M-11.4M13.1M13.1M-3.7M
Net VEX-101.9K-131.7K-65.0K-77.5K-99.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.032.250.870.81
Total Volume6,148.59195213,2419,5351,008
Total OI180,953.045116,197217,905192,391118,640

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$4.43$10.00163.9%47.0%152.1%64.3%168.3%25.1%-10.3%6.4K13.1M-77.5K0.879.475,1094,426119,58672,805
2009-03-03$4.31$10.00171.9%49.3%151.3%68.0%197.2%36.6%-10.3%17.1K11.9M-77.8K1.886.664,5938,648121,18473,484
2009-03-04$4.71$10.00172.3%49.4%157.2%68.2%173.0%41.3%-8.8%27.9K10.9M-90.4K0.0913.197,603706122,55676,020
2009-03-05$4.01$10.00184.5%52.9%145.3%73.9%184.9%23.1%-14.3%34.8K10.2M-78.7K0.226.6010,6612,324128,53676,262
2009-03-06$3.75$5.00228.7%56.2%146.2%94.5%176.1%21.2%2.4%23.0K13.1M-65.0K1.7311.261,7863,084136,19677,852
2009-03-09$3.98$5.00180.0%49.0%140.8%71.8%176.1%23.5%-33.3%42.9K9.7M-82.9K0.6514.343,0791,987136,77378,916
2009-03-10$4.54$5.00177.5%45.9%147.6%70.6%159.6%33.9%-22.0%52.9K9.7M-91.1K1.329.642,2492,961138,25379,652
2009-03-11$4.77$5.00169.2%46.0%140.7%66.8%152.2%24.1%-20.8%44.4K11.8M-94.6K0.7913.792,2211,765137,54180,299
2009-03-12$5.06$5.00152.2%43.6%139.1%58.9%149.6%24.9%-12.2%56.9K9.4M-97.7K0.1521.363,332514137,32075,313
2009-03-13$5.00$5.00153.1%43.9%139.0%59.3%143.3%19.0%-14.8%53.7K9.7M-96.9K0.459.404,4802,021138,80575,030
2009-03-16$5.56$5.00153.2%43.9%145.2%59.3%143.9%26.4%-17.5%112.2K3.5M-104.9K0.2218.156,4271,427140,31375,167
2009-03-17$5.89$5.00154.8%44.4%142.6%60.1%141.0%31.1%-17.4%123.8K2.4M-108.6K1.2017.58747897139,93773,928
2009-03-18$6.61$5.00128.8%36.9%147.8%48.0%136.3%25.1%-8.2%153.0K-288.0K-125.5K0.2715.863,463952140,25973,820
2009-03-19$6.53$5.00139.3%39.9%147.1%52.9%139.2%14.9%-16.6%151.3K-812.0K-125.5K0.1713.057,0281,200140,43473,688
2009-03-20$5.94$5.00145.5%41.7%151.1%55.7%143.5%11.7%-11.3%134.7K1.8M-113.2K2.2519.312,0524,620141,42273,608
2009-03-23$6.89$5.00127.3%36.5%157.9%47.2%130.3%28.1%-5.6%174.6K-11.4M-131.7K0.1515.582,67840681,95635,500
2009-03-24$6.38$5.00129.4%37.1%159.8%48.2%131.3%5.8%-5.3%152.6K-8.3M-117.0K0.0713.139,94968080,97535,680
2009-03-25$6.67$5.00121.6%34.9%159.7%44.6%126.3%24.1%0.1%162.6K-9.6M-121.3K0.4317.501,23453480,26135,936
2009-03-26$6.87$5.00118.8%34.0%159.6%43.3%117.9%24.2%2.0%173.1K-10.8M-125.2K0.0318.2511,19638980,60035,940
2009-03-27$6.54$5.00116.1%33.3%160.5%42.1%126.6%15.3%2.7%163.2K-9.1M-121.9K1.5210.9737857483,91336,204
2009-03-30$5.53$5.00144.7%41.5%146.5%55.4%143.5%6.8%4.1%112.9K-3.1M-94.5K0.7910.752,1721,70983,95436,449
2009-03-31$5.74$5.00139.1%39.9%146.1%52.7%135.3%15.1%-0.3%121.5K-3.7M-99.3K0.8116.7155745181,71636,924