TXT Options History — May 2009

In May 2009, TXT traded between $10.53 and $11.96. ATM implied volatility averaged 86.3%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 24.5%. IV traded below realized volatility by 17.6% (HV 20d: 103.9%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2009-05-12: Highest Volume — 33,001 contracts
  • 2009-05-11: Largest IV spike — 16.9% change
  • 2009-05-12: Highest IV Rank — 36.9%
  • 2009-05-13: Largest Expected Move — 28.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.35$10.53$11.96$10.94$11.50
Max Pain$9.95$9.00$11.00$11.00$10.00
ATM IV86.3%74.1%105.0%87.3%74.1%
Expected Move24.5%21.2%28.3%25.0%21.2%
HV 20d103.9%66.3%177.6%177.6%66.3%
HV 60d148.7%138.2%155.5%155.5%138.2%
IV Rank28.2%22.5%36.9%28.7%22.5%
IV Percentile48.0%35.3%65.9%51.2%35.3%
Term Structure-1.0%-10.9%6.7%-0.2%6.7%
VWIV85.4%72.5%98.6%88.4%72.5%
Skew 25d6.3%2.4%12.5%12.5%6.1%
Skew 10d9.1%-5.3%18.3%7.3%12.1%
Call IV 25d82.6%70.0%95.0%81.1%70.0%
Put IV 25d88.9%76.1%102.3%93.6%76.1%
Bid-Ask Spread %12.829.2016.8310.439.24
Gamma HHI0.170.150.200.150.20
Net GEX719.5K509.2K887.0K509.2K784.4K
Net DEX-38.8M-51.6M-25.6M-30.5M-40.0M
Net VEX-249.0K-275.8K-214.9K-262.2K-214.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.121.141.140.12
Total Volume7,128.9586333,0015,8971,653
Total OI226,814.45202,347258,397229,734207,925

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$10.94$11.0087.3%25.0%177.6%28.7%88.4%12.5%-0.2%509.2K-30.5M-262.2K1.1410.432,7533,144137,28092,454
2009-05-04$11.22$9.0091.1%25.0%177.4%30.4%88.6%9.8%-0.4%589.1K-35.5M-260.3K0.5514.786,5303,586138,56892,673
2009-05-05$11.19$9.0089.0%25.1%174.6%29.4%86.6%7.9%-1.7%616.7K-36.4M-267.0K0.4914.953,7141,832143,22295,064
2009-05-06$11.66$10.0084.8%24.5%172.8%27.5%85.8%8.4%0.5%736.1K-44.2M-271.0K0.6312.434,0262,524144,23096,030
2009-05-07$11.10$10.0086.4%25.1%174.2%28.2%87.8%5.9%-3.5%627.0K-33.6M-260.8K0.3913.437,0522,738145,13497,168
2009-05-08$11.96$10.0082.5%23.9%101.2%26.4%84.7%8.9%-4.4%844.8K-51.6M-275.8K0.3811.883,6421,386147,09898,644
2009-05-11$11.63$10.0096.4%25.5%95.5%32.9%89.4%6.3%-3.1%825.9K-46.2M-260.3K0.1714.134,228717147,83498,518
2009-05-12$11.44$10.00105.0%27.8%91.9%36.9%98.0%8.3%-9.0%816.2K-42.3M-262.5K0.209.2027,4595,542148,32398,639
2009-05-13$10.53$10.0098.0%28.3%96.5%33.6%98.6%7.2%-10.6%598.7K-25.6M-247.8K0.6412.267,0414,512154,18498,316
2009-05-14$10.98$10.0097.0%27.8%95.7%33.2%96.2%5.6%-10.9%781.6K-34.5M-255.5K0.5012.897,9534,006153,970100,336
2009-05-15$10.82$10.0091.4%26.2%91.9%30.6%91.0%6.1%-7.6%887.0K-29.7M-248.9K0.3312.015,1151,699156,837101,560
2009-05-18$11.41$10.0086.0%24.7%71.3%28.0%84.5%6.0%-0.5%666.4K-38.7M-246.9K0.1314.836,616866126,75775,590
2009-05-19$11.93$10.0081.6%23.4%72.8%26.0%81.6%4.0%1.3%771.8K-49.2M-253.2K0.3112.212,969907128,42276,143
2009-05-20$11.64$10.0081.4%23.3%73.0%25.9%81.3%4.9%2.1%719.4K-43.3M-244.5K0.2611.254,4651,179126,93376,605
2009-05-21$11.03$10.0082.5%23.6%75.4%26.4%83.8%4.0%4.5%619.8K-32.8M-239.4K0.3416.832,784952127,49577,209
2009-05-22$11.21$10.0078.9%22.6%69.9%24.7%79.4%4.3%6.0%672.8K-35.3M-235.8K0.1811.53730133128,22477,651
2009-05-26$11.83$10.0076.3%21.9%66.7%23.5%78.3%3.6%4.1%789.1K-45.4M-230.1K0.7012.273,0022,115128,46877,702
2009-05-27$11.43$10.0079.2%22.7%67.7%24.9%75.9%2.4%3.8%758.8K-40.6M-223.9K0.4716.30948443129,65177,681
2009-05-28$11.54$10.0077.8%22.3%66.3%24.2%75.9%3.9%3.1%775.9K-41.3M-218.7K0.8213.49888730129,86577,886
2009-05-29$11.50$10.0074.1%21.2%66.3%22.5%72.5%6.1%6.7%784.4K-40.0M-214.9K0.129.241,470183129,95877,967