TXT Options History — June 2009

In June 2009, TXT traded between $9.12 and $12.31. ATM implied volatility averaged 67.8%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 7.0% (HV 20d: 60.8%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2009-06-19: Highest Volume — 14,947 contracts
  • 2009-06-11: Largest IV spike — 9.8% change
  • 2009-06-02: Highest IV Rank — 23.6%
  • 2009-06-02: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.73$9.12$12.31$12.00$9.66
Max Pain$10.55$10.00$11.00$10.00$10.00
ATM IV67.8%53.9%77.9%75.1%53.9%
Expected Move19.6%15.4%22.3%21.5%15.4%
HV 20d60.8%52.7%72.5%67.5%56.0%
HV 60d125.4%114.1%133.4%133.4%114.1%
IV Rank16.8%9.0%23.6%23.0%9.0%
IV Percentile28.8%20.6%36.9%35.7%20.6%
Term Structure3.9%-2.6%12.1%7.5%11.7%
VWIV68.6%56.2%77.2%76.1%59.8%
Skew 25d4.0%-2.1%7.4%1.9%2.0%
Skew 10d8.8%-5.5%20.0%15.0%-0.2%
Call IV 25d67.0%53.5%75.5%75.5%58.5%
Put IV 25d70.9%59.9%77.4%77.4%60.5%
Bid-Ask Spread %12.918.1022.899.9210.94
Gamma HHI0.240.120.550.190.15
Net GEX619.2K47.1K1.0M887.9K151.1K
Net DEX-20.8M-55.9M8.8M-50.8M-1.9M
Net VEX-169.2K-217.9K-129.2K-217.9K-142.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.081.270.170.31
Total Volume4,318.51,17714,9475,6792,412
Total OI181,250.455116,294213,192209,063126,533

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$12.00$10.0075.1%21.5%67.5%23.0%76.1%1.9%7.5%887.9K-50.8M-217.9K0.179.924,846833131,02678,037
2009-06-02$11.80$10.0077.9%22.3%67.5%23.6%77.2%3.2%0.2%857.6K-46.4M-211.5K0.8810.171,5251,336130,19178,132
2009-06-03$11.38$10.0076.2%21.8%68.8%22.8%74.1%2.3%-0.1%808.1K-38.4M-205.5K0.858.102,3041,960130,27879,116
2009-06-04$12.27$10.0069.2%19.8%72.5%19.5%70.0%2.1%4.5%935.3K-53.7M-212.4K0.5412.032,4601,319131,00780,357
2009-06-05$12.31$11.0069.3%20.6%69.8%19.6%72.9%6.0%0.3%955.0K-55.9M-209.3K0.1817.392,649472131,08980,852
2009-06-08$12.01$11.0072.1%20.9%65.5%20.5%73.0%7.4%-2.6%939.4K-49.1M-196.6K0.2416.08948229130,94780,507
2009-06-09$11.95$11.0066.8%20.2%64.7%17.5%70.6%6.3%-0.3%918.3K-47.3M-190.4K0.1414.661,187171130,24679,677
2009-06-10$11.43$11.0063.6%20.3%66.5%14.8%70.3%6.8%2.3%856.4K-28.8M-182.4K0.9112.571,1841,073121,63879,776
2009-06-11$11.23$11.0069.9%20.0%59.3%17.8%67.3%5.4%2.4%806.9K-24.4M-178.0K0.0918.647,554683121,74779,526
2009-06-12$11.48$11.0069.7%20.0%58.0%16.7%69.4%3.0%2.6%852.8K-29.3M-182.2K0.0812.816,182498127,63679,991
2009-06-15$10.95$11.0072.2%20.7%60.4%17.9%74.8%5.4%0.5%812.5K-21.5M-172.5K1.2322.899261,137129,98080,105
2009-06-16$10.52$11.0070.4%20.2%58.7%17.0%70.2%4.3%1.6%835.4K-13.3M-163.6K0.5218.652,8901,514129,92580,697
2009-06-17$10.21$11.0072.1%20.7%56.4%17.9%70.2%3.0%0.7%1.0M-6.8M-159.8K1.2713.072,3753,028130,60380,965
2009-06-18$9.75$11.0072.7%20.8%57.7%18.1%72.0%2.9%1.4%834.4K2.9M-150.6K0.2411.035,4381,290130,75181,217
2009-06-19$9.59$11.0069.2%19.8%55.3%16.4%68.4%5.2%3.5%577.5K8.8M-140.7K0.2810.5311,6893,258132,36180,831
2009-06-22$9.12$11.0071.2%20.4%56.7%17.4%69.0%4.6%2.3%47.1K2.3M-129.2K0.4711.912,6751,25467,00049,294
2009-06-23$9.30$10.0068.0%19.5%52.7%15.9%68.6%4.7%5.4%60.5K1.4M-129.9K0.9211.902,1902,00867,98050,011
2009-06-24$9.55$10.0062.5%17.9%53.7%13.2%63.2%3.1%7.3%79.4K137.2K-134.6K0.599.521,03860868,97350,950
2009-06-25$9.97$10.0057.5%16.5%56.5%10.7%57.6%3.4%11.0%128.4K-2.9M-142.4K0.4410.091,33658369,55751,390
2009-06-26$9.61$10.0058.0%16.6%57.4%11.0%58.2%-2.1%10.9%103.3K-693.8K-134.9K0.389.893,1341,19270,24351,600
2009-06-29$9.88$10.0054.9%15.7%55.8%9.5%56.2%6.5%12.1%132.4K-2.3M-136.3K0.2311.122,93368672,52752,241
2009-06-30$9.66$10.0053.9%15.4%56.0%9.0%59.8%2.0%11.7%151.1K-1.9M-142.0K0.3110.941,83957374,42052,113