TXT Options History — July 2009

In July 2009, TXT traded between $8.69 and $13.44. ATM implied volatility averaged 58.4%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 0.1% (HV 20d: 58.5%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2009-07-28: Highest Volume — 26,339 contracts
  • 2009-07-15: Largest IV spike — 58.8% change
  • 2009-07-27: Highest IV Rank — 18.3%
  • 2009-07-13: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.53$8.69$13.44$10.03$13.44
Max Pain$9.36$9.00$10.00$10.00$10.00
ATM IV58.4%30.3%68.8%53.6%51.5%
Expected Move18.4%14.8%22.0%15.4%14.8%
HV 20d58.5%51.1%75.1%57.5%67.9%
HV 60d72.1%58.4%112.3%112.3%67.3%
IV Rank12.6%0.0%18.3%8.8%10.1%
IV Percentile19.5%0.0%25.8%20.2%13.1%
Term Structure0.1%-7.3%14.8%10.2%-1.6%
VWIV65.1%51.9%81.0%51.9%51.9%
Skew 25d9.4%1.1%14.8%8.9%6.0%
Skew 10d23.5%7.1%38.8%38.8%26.7%
Call IV 25d59.9%47.9%69.9%51.0%47.9%
Put IV 25d69.3%53.9%82.6%59.9%53.9%
Bid-Ask Spread %14.9010.6519.1213.5917.39
Gamma HHI0.170.120.290.160.12
Net GEX244.8K26.7K641.5K161.5K639.7K
Net DEX-12.3M-50.3M5.7M-4.3M-50.3M
Net VEX-143.4K-180.3K-121.5K-142.6K-179.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.076.020.130.43
Total Volume4,869.8641,15626,3392,0301,156
Total OI136,837.273125,194154,608126,780154,608

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$10.03$10.0053.6%15.4%57.5%8.8%51.9%8.9%10.2%161.5K-4.3M-142.6K0.1313.591,79323774,58852,192
2009-07-02$9.33$10.0054.3%15.6%53.4%9.2%55.4%1.1%14.8%127.1K-103.3K-133.7K4.2410.865562,35675,52452,306
2009-07-06$9.24$10.0060.9%20.6%53.1%12.4%71.2%9.5%0.8%89.6K1.9M-129.4K2.0113.115441,09675,77253,068
2009-07-07$8.78$9.0063.6%20.5%54.6%13.7%74.1%7.2%1.8%41.7K4.9M-123.7K1.3215.688011,05676,00953,761
2009-07-08$8.69$9.0065.0%21.0%54.5%14.4%74.5%8.9%-0.7%26.7K5.7M-121.5K0.5217.382,4861,29976,17354,365
2009-07-09$8.97$9.0062.0%20.8%55.9%12.9%73.4%8.4%0.1%66.4K3.1M-128.8K3.0213.776862,07177,82955,205
2009-07-10$8.95$9.0061.1%21.6%55.9%12.5%81.0%12.7%-3.1%53.9K4.0M-128.2K6.0218.361,2057,26078,16156,178
2009-07-13$9.24$9.0066.2%22.0%56.8%15.0%77.8%13.5%-4.4%42.4K2.8M-135.6K1.2616.5278298878,79262,378
2009-07-14$9.51$9.0030.3%20.1%56.8%0.0%70.0%14.1%-1.3%93.8K597.7K-138.0K0.6914.611,28488279,36562,607
2009-07-15$10.03$9.0048.1%20.0%59.2%8.5%69.4%10.2%-2.2%177.5K-5.1M-141.7K0.6619.121,6081,05479,00562,718
2009-07-16$10.15$9.0068.3%19.6%58.5%18.1%73.7%14.8%-1.7%243.0K-6.1M-144.2K1.4315.821,1461,63579,54662,973
2009-07-17$10.19$9.0067.0%19.2%55.9%17.5%68.1%12.7%0.1%233.9K-7.1M-137.0K0.6517.651,9671,26978,37061,326
2009-07-20$10.62$9.0059.4%17.0%57.1%13.8%60.6%10.6%0.5%147.7K-8.4M-133.8K1.0517.062,2202,33368,61456,580
2009-07-21$10.82$9.0058.9%16.9%53.4%13.6%62.3%10.7%0.9%177.3K-10.5M-137.5K0.3315.823,7751,24069,96057,131
2009-07-22$10.79$9.0058.9%16.9%53.3%13.6%61.4%10.4%-0.1%218.1K-11.9M-140.8K1.4011.9165491472,26257,806
2009-07-23$11.28$9.0060.2%17.3%54.5%14.2%58.9%11.7%-0.2%244.9K-16.0M-143.6K0.2511.244,7331,19672,52357,955
2009-07-24$11.31$9.0062.9%18.0%53.0%15.5%60.7%9.9%-2.6%309.1K-16.9M-146.4K0.0711.557,46552474,99458,336
2009-07-27$11.15$10.0068.8%19.7%51.1%18.3%69.3%8.4%-7.3%424.5K-19.1M-152.8K0.4015.846,1992,46481,95958,724
2009-07-28$13.11$10.0056.8%16.3%74.9%12.6%56.0%4.5%-0.1%594.2K-45.2M-155.4K0.2812.3720,5245,81584,30259,700
2009-07-29$12.79$10.0054.6%15.7%75.0%11.6%56.4%4.9%0.4%631.3K-42.3M-180.3K0.3810.653,7931,42589,67663,096
2009-07-30$13.31$10.0052.3%15.0%75.1%10.5%54.1%6.6%-2.1%641.5K-49.3M-180.1K0.2517.563,70394390,42463,559
2009-07-31$13.44$10.0051.5%14.8%67.9%10.1%51.9%6.0%-1.6%639.7K-50.3M-179.8K0.4317.3981134590,48264,126