TXT Options History — October 2009

In October 2009, TXT traded between $17.51 and $20.34. ATM implied volatility averaged 52.3%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 2.8% (HV 20d: 49.5%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2009-10-28: Highest Volume — 10,510 contracts
  • 2009-10-15: Largest IV spike — 25.5% change
  • 2009-10-26: Highest IV Rank — 13.2%
  • 2009-10-05: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.08$17.51$20.34$18.15$17.78
Max Pain$18.91$17.00$20.00$17.00$20.00
ATM IV52.3%44.6%57.1%57.0%54.7%
Expected Move16.1%13.7%18.9%16.3%15.7%
HV 20d49.5%43.7%60.5%49.2%60.5%
HV 60d56.6%50.6%59.7%58.1%56.2%
IV Rank10.8%6.8%13.2%12.7%12.3%
IV Percentile5.9%0.4%15.9%11.9%12.7%
Term Structure-1.2%-5.9%10.5%8.4%1.5%
VWIV56.3%48.7%65.7%56.3%55.3%
Skew 25d5.7%1.9%8.9%2.0%2.7%
Skew 10d11.1%-2.4%15.5%-2.4%6.6%
Call IV 25d53.6%45.5%61.2%55.6%53.4%
Put IV 25d59.3%52.1%69.8%57.6%56.0%
Bid-Ask Spread %15.5211.3020.6214.2417.71
Gamma HHI0.250.190.450.220.19
Net GEX1.5M707.3K2.3M1.2M707.3K
Net DEX-58.7M-93.0M-21.8M-47.7M-21.8M
Net VEX-361.6K-377.1K-347.1K-356.1K-351.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.128.961.541.78
Total Volume4,298.59194510,5104,2945,912
Total OI154,593.818140,693164,432149,112162,127

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$18.15$17.0057.0%16.3%49.2%12.7%56.3%2.0%8.4%1.2M-47.7M-356.1K1.5414.241,6922,60296,38552,727
2009-10-02$17.51$17.0053.9%15.5%49.7%11.2%55.5%1.9%10.5%986.4K-36.1M-352.6K0.3511.791,89265898,72555,973
2009-10-05$18.45$19.0057.1%18.9%52.7%12.8%64.8%7.8%-5.9%1.3M-51.2M-362.4K0.2112.5486618099,48356,108
2009-10-06$18.72$19.0056.6%18.6%49.6%12.5%64.5%8.9%-4.7%1.4M-57.6M-366.5K0.6511.301,9321,26299,89556,094
2009-10-07$18.70$19.0053.5%18.2%49.1%11.0%65.7%8.7%-3.5%1.4M-57.1M-365.1K1.4314.09513735100,30156,151
2009-10-08$19.38$19.0052.5%18.3%49.3%10.6%62.0%8.0%-3.8%1.7M-69.9M-370.3K0.3812.161,384526100,41755,922
2009-10-09$19.49$19.0048.1%17.7%49.4%8.5%61.3%6.1%-3.1%1.8M-72.4M-369.5K0.4712.282,7721,294100,40655,758
2009-10-12$19.60$19.0051.1%17.5%49.2%9.9%60.5%6.7%-3.2%1.9M-75.9M-367.1K0.2315.22769176101,96356,118
2009-10-13$19.15$19.0048.0%17.6%43.7%8.4%60.8%4.3%-3.6%1.7M-66.0M-355.8K0.1214.632,982349102,10456,072
2009-10-14$20.07$19.0044.6%16.7%46.8%6.8%58.7%8.1%-3.4%2.3M-86.8M-367.9K0.3615.304,9461,767104,36656,264
2009-10-15$20.34$19.0056.0%16.1%44.8%12.2%57.1%6.5%-2.3%2.3M-93.0M-373.4K0.8518.18867738106,58157,614
2009-10-16$19.92$19.0056.0%16.1%45.5%13.0%55.5%6.8%-3.2%2.1M-83.5M-367.3K0.3614.711,386499106,61057,822
2009-10-19$20.08$19.0051.5%14.8%45.4%10.7%51.4%6.8%-1.8%1.5M-67.9M-354.1K0.3016.632,61777389,32351,370
2009-10-20$19.32$19.0052.7%15.1%47.6%11.3%52.3%4.3%-1.0%1.4M-56.5M-347.1K0.4815.852,3511,12190,30951,639
2009-10-21$18.96$19.0051.6%14.8%48.0%10.7%50.9%6.4%-1.6%1.4M-50.2M-350.5K0.3916.376,0342,34494,19452,191
2009-10-22$19.64$19.0048.6%13.9%46.4%9.2%50.4%5.8%-1.3%1.6M-60.6M-365.1K0.5119.022,6131,33093,44153,493
2009-10-23$19.13$19.0050.0%14.3%46.5%10.0%49.7%4.8%-1.9%1.4M-52.7M-358.6K2.3720.622,4695,85793,77853,991
2009-10-26$18.36$19.0056.4%16.2%47.1%13.2%55.3%5.0%-4.5%1.1M-39.0M-352.8K0.5116.744,0342,04994,45358,712
2009-10-27$19.67$19.0050.3%14.4%53.1%10.1%51.2%3.0%-0.6%1.6M-63.8M-377.1K0.3919.335,3702,09096,07059,342
2009-10-28$18.43$19.0051.5%14.8%58.0%10.7%49.5%2.7%-0.1%1.2M-38.9M-353.3K8.9616.371,0559,45595,95859,698
2009-10-29$19.01$20.0047.9%13.7%56.8%8.9%48.7%8.0%2.1%1.1M-41.9M-371.7K1.4216.471,7792,52996,00865,108
2009-10-30$17.78$20.0054.7%15.7%60.5%12.3%55.3%2.7%1.5%707.3K-21.8M-351.9K1.7817.712,1233,78996,59865,529