TXT Options History — September 2009

In September 2009, TXT traded between $15.50 and $20.55. ATM implied volatility averaged 57.3%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 0.3% (HV 20d: 57.6%). Max pain ranged from $10.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2009-09-03: Highest Volume — 19,163 contracts
  • 2009-09-08: Largest IV spike — 13.3% change
  • 2009-09-08: Highest IV Rank — 15.2%
  • 2009-09-17: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.59$15.50$20.55$15.50$18.98
Max Pain$15.71$10.00$17.00$10.00$17.00
ATM IV57.3%53.5%62.2%57.3%53.5%
Expected Move16.5%15.3%17.3%16.4%15.3%
HV 20d57.6%43.4%61.3%43.4%60.4%
HV 60d60.9%57.0%63.6%59.5%57.0%
IV Rank12.9%11.0%15.2%12.9%11.0%
IV Percentile10.9%3.2%19.0%12.7%3.2%
Term Structure2.9%-0.8%9.7%2.0%9.7%
VWIV57.6%53.1%62.1%58.5%53.3%
Skew 25d3.1%-5.4%6.0%-5.4%1.0%
Skew 10d7.2%-19.7%21.7%-19.7%6.7%
Call IV 25d56.4%51.1%62.6%62.6%52.7%
Put IV 25d59.5%53.7%63.7%57.1%53.7%
Bid-Ask Spread %14.539.9218.1013.1917.61
Gamma HHI0.190.140.230.210.23
Net GEX1.2M869.3K1.7M926.8K1.4M
Net DEX-79.5M-123.8M-42.2M-59.3M-61.2M
Net VEX-287.7K-360.9K-180.9K-180.9K-360.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.101.520.161.01
Total Volume8,593.3333,41519,16310,2838,417
Total OI148,316.286120,530174,652140,721144,791

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$15.50$10.0057.3%16.4%43.4%12.9%58.5%-5.4%2.0%926.8K-59.3M-180.9K0.1613.198,8791,40489,48451,237
2009-09-02$17.39$10.0059.8%17.1%58.5%14.0%60.5%-2.2%2.5%1.0M-84.8M-191.1K0.6510.2710,9817,08788,05951,886
2009-09-03$16.86$10.0059.1%16.9%59.8%13.7%60.8%3.3%2.7%999.7K-76.6M-208.4K0.3413.3614,3494,81491,48655,479
2009-09-04$17.07$16.0054.9%17.2%58.6%11.7%62.1%5.3%-0.4%1.2M-84.3M-257.2K0.2312.953,922917100,59658,390
2009-09-08$18.00$16.0062.2%17.3%60.2%15.2%60.8%4.1%0.3%1.3M-101.2M-255.4K0.659.924,5382,954101,66158,856
2009-09-09$18.41$16.0057.4%17.0%59.1%12.9%59.3%3.4%-0.8%1.3M-86.1M-258.7K0.2316.593,67984990,57060,900
2009-09-10$19.02$16.0058.1%16.6%59.2%13.2%57.0%4.3%0.6%1.2M-96.1M-253.6K0.1018.1013,0061,28490,22861,174
2009-09-11$19.02$16.0059.9%17.2%59.4%14.1%58.9%1.5%0.5%1.6M-106.7M-266.4K0.6415.357,7784,95199,57261,946
2009-09-14$19.27$16.0060.3%17.3%57.6%14.3%61.9%6.0%-0.4%1.5M-103.9M-304.6K1.0717.701,6481,76799,75366,032
2009-09-15$20.55$17.0057.1%16.4%52.2%12.7%57.9%5.9%-0.8%1.3M-123.8M-283.4K0.6713.125,0143,34698,02065,271
2009-09-16$20.15$17.0059.4%17.0%53.7%13.8%58.6%5.0%1.2%1.4M-116.3M-302.6K0.3715.995,9842,23399,84667,946
2009-09-17$19.40$17.0060.5%17.3%56.9%14.4%60.0%3.1%0.4%1.7M-103.4M-316.7K0.8915.022,6962,407103,61969,478
2009-09-18$19.44$17.0056.6%16.2%57.1%12.5%56.8%5.4%2.1%1.4M-103.1M-311.4K0.8214.233,5582,919104,29270,360
2009-09-21$19.25$17.0056.9%16.3%57.5%12.6%56.5%3.5%2.4%929.7K-54.8M-312.6K0.5417.132,4421,32176,34244,188
2009-09-22$19.37$17.0053.8%15.4%57.6%11.2%53.1%4.7%4.5%1.0M-57.2M-314.2K0.7013.894,0072,80077,85244,694
2009-09-23$19.20$17.0053.6%15.4%58.0%11.1%53.2%4.1%3.4%1.0M-54.6M-320.0K1.5216.891,9352,94579,32846,294
2009-09-24$18.34$17.0055.8%16.0%59.3%12.1%54.2%2.1%6.1%869.3K-42.2M-311.2K0.1911.3611,3812,21679,50546,373
2009-09-25$17.88$17.0056.8%16.3%60.3%12.6%56.0%2.7%8.5%1.0M-42.5M-328.2K0.5712.947,9424,50488,15146,462
2009-09-28$18.59$17.0056.0%16.0%61.3%12.2%56.0%2.9%8.6%1.3M-53.9M-350.7K0.4814.972,3741,15192,19249,332
2009-09-29$18.71$17.0055.0%15.8%60.4%11.7%54.4%3.7%8.5%1.3M-56.7M-353.7K0.4014.582,9051,15693,21549,782
2009-09-30$18.98$17.0053.5%15.3%60.4%11.0%53.3%1.0%9.7%1.4M-61.2M-360.9K1.0117.614,1884,22994,31350,478