TXT Options History — August 2009

In August 2009, TXT traded between $13.52 and $15.67. ATM implied volatility averaged 57.8%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 4.8% (HV 20d: 62.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2009-08-26: Highest Volume — 19,181 contracts
  • 2009-08-26: Largest IV spike — 21.3% change
  • 2009-08-10: Highest IV Rank — 18.6%
  • 2009-08-10: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.60$13.52$15.67$14.20$15.36
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV57.8%50.3%69.3%56.2%59.0%
Expected Move16.2%14.4%17.6%16.1%16.9%
HV 20d62.5%43.6%73.0%68.2%43.6%
HV 60d62.6%59.5%67.3%67.3%59.7%
IV Rank13.1%9.5%18.6%12.3%13.6%
IV Percentile14.8%6.0%27.0%16.3%15.9%
Term Structure1.4%-3.1%5.3%-3.1%3.3%
VWIV57.2%50.8%63.4%54.4%59.1%
Skew 25d2.5%-5.9%6.3%3.9%-0.8%
Skew 10d6.4%-4.9%27.6%26.3%0.3%
Call IV 25d56.8%49.9%66.1%53.4%59.9%
Put IV 25d59.2%53.2%63.4%57.3%59.1%
Bid-Ask Spread %12.288.7319.4812.238.73
Gamma HHI0.220.110.430.110.21
Net GEX886.0K545.5K1.3M600.8K870.8K
Net DEX-62.2M-76.6M-46.8M-60.2M-55.6M
Net VEX-179.4K-202.5K-156.4K-173.0K-176.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.082.280.110.59
Total Volume4,870.14356119,18111,9343,277
Total OI157,281.762125,298172,347153,941138,772

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$14.20$10.0056.2%16.1%68.2%12.3%54.4%3.9%-3.1%600.8K-60.2M-173.0K0.1112.2310,7991,13589,61564,326
2009-08-04$14.44$10.0058.0%16.6%62.7%13.2%56.4%6.3%-2.0%902.7K-66.8M-190.0K1.7119.484,5657,79897,40764,761
2009-08-05$14.34$10.0056.3%16.1%62.5%12.4%58.3%6.0%0.4%897.0K-65.6M-193.4K0.6312.761,39188297,94560,770
2009-08-06$14.18$10.0058.1%16.7%63.7%13.2%58.3%5.9%-1.2%879.8K-63.0M-193.0K0.3014.3379923997,91761,153
2009-08-07$14.78$10.0066.1%17.4%63.3%17.0%61.6%2.5%-1.7%867.6K-73.1M-195.3K0.089.6915,5591,29098,16561,193
2009-08-10$14.57$10.0069.3%17.6%64.8%18.6%61.8%1.8%-0.6%1.2M-73.3M-202.5K0.3214.042,337753108,87561,742
2009-08-11$14.26$10.0065.5%16.9%66.6%16.8%59.4%2.6%1.7%1.2M-67.1M-199.4K2.2813.111,1622,644108,87962,301
2009-08-12$14.68$10.0062.1%16.4%65.5%15.1%57.8%1.8%1.6%1.3M-74.8M-195.4K0.5712.382,1391,228109,06963,248
2009-08-13$14.79$10.0056.0%16.0%65.6%12.2%57.1%3.1%2.7%1.3M-76.6M-193.9K0.6911.46466320108,97863,250
2009-08-14$14.41$10.0055.5%15.9%67.4%12.0%56.5%3.1%3.1%1.2M-68.3M-186.2K0.2715.44828221108,87863,180
2009-08-17$13.52$10.0057.1%16.4%72.5%12.8%57.5%4.6%1.6%731.6K-52.0M-172.0K0.5814.811,475852108,60363,353
2009-08-18$14.03$10.0054.4%15.6%73.0%11.5%54.8%5.0%3.6%777.9K-58.2M-168.2K0.4213.191,182494108,82463,523
2009-08-19$14.01$10.0053.8%15.4%73.0%11.2%55.7%4.5%4.9%659.9K-57.6M-166.7K0.2613.09447114108,60563,307
2009-08-20$14.13$10.0052.8%15.1%72.1%10.7%52.7%2.9%4.3%545.5K-58.1M-158.2K1.6312.13477778107,16362,666
2009-08-21$14.58$10.0053.1%15.2%72.3%10.9%53.4%3.8%1.4%1.1M-65.1M-158.7K0.369.463,1841,145107,22762,951
2009-08-24$14.75$10.0050.8%14.6%71.6%9.8%53.9%1.6%5.3%548.7K-46.8M-156.4K0.2210.374,00387977,65447,644
2009-08-25$14.80$10.0050.3%14.4%45.5%9.5%50.8%3.2%5.3%636.0K-48.3M-158.0K0.588.922,0651,20480,10947,927
2009-08-26$15.64$10.0061.0%17.5%47.2%14.6%63.4%-5.9%-2.1%641.6K-56.1M-165.7K0.1112.2017,2091,97278,76048,398
2009-08-27$15.52$10.0059.8%17.2%46.2%14.0%59.6%-3.8%-0.7%897.0K-59.3M-182.3K0.5310.442,0611,08488,09149,351
2009-08-28$15.67$10.0058.2%16.7%46.2%13.3%59.9%-0.7%1.5%911.2K-60.6M-183.4K0.529.541,19861888,21450,123
2009-08-31$15.36$10.0059.0%16.9%43.6%13.6%59.1%-0.8%3.3%870.8K-55.6M-176.1K0.598.732,0661,21188,36150,411