TXT Options History — November 2009

In November 2009, TXT traded between $18.12 and $20.73. ATM implied volatility averaged 47.2%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 6.0% (HV 20d: 53.2%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2009-11-10: Highest Volume — 5,776 contracts
  • 2009-11-27: Largest IV spike — 11.8% change
  • 2009-11-02: Highest IV Rank — 13.0%
  • 2009-11-02: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.84$18.12$20.73$18.12$20.05
Max Pain$17.70$16.00$20.00$20.00$17.50
ATM IV47.2%37.5%56.1%56.1%41.1%
Expected Move13.6%10.8%16.1%16.1%11.8%
HV 20d53.2%31.2%58.7%57.8%31.2%
HV 60d53.5%47.9%55.7%55.7%47.9%
IV Rank8.5%3.7%13.0%13.0%5.5%
IV Percentile3.7%0.4%16.7%16.7%1.6%
Term Structure2.8%0.3%5.6%0.4%5.5%
VWIV47.6%38.0%56.8%56.7%41.7%
Skew 25d5.9%4.0%7.6%4.6%6.7%
Skew 10d13.2%9.3%22.6%22.6%10.7%
Call IV 25d45.2%36.4%55.2%55.2%40.1%
Put IV 25d51.0%40.5%59.8%59.8%46.7%
Bid-Ask Spread %12.296.8316.3514.2212.74
Gamma HHI0.270.170.580.190.18
Net GEX1.6M743.6K2.8M785.2K793.6K
Net DEX-56.2M-78.6M-26.4M-26.4M-46.9M
Net VEX-338.8K-368.2K-297.6K-358.8K-306.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.258.160.440.25
Total Volume2,313.86785,7762,2281,489
Total OI159,261.7138,451166,308164,596144,846

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$18.12$20.0056.1%16.1%57.8%13.0%56.7%4.6%0.4%785.2K-26.4M-358.8K0.4414.221,54368597,25667,340
2009-11-03$18.51$20.0055.9%16.0%58.1%12.9%56.8%4.5%0.3%919.7K-32.4M-362.5K0.4816.3573935297,02967,081
2009-11-04$18.75$20.0052.6%15.1%58.3%11.2%51.1%6.5%1.7%1.1M-37.3M-363.4K0.3513.611,60156197,29167,135
2009-11-05$19.13$20.0050.1%14.4%57.3%10.0%50.2%7.0%2.3%1.2M-43.5M-365.0K1.6215.9130549397,40967,399
2009-11-06$19.33$16.0048.5%15.1%57.4%9.2%51.2%5.6%2.0%1.3M-48.8M-363.5K1.3215.001,1411,50697,44667,392
2009-11-09$19.92$16.0048.4%14.7%58.4%9.1%52.4%7.0%1.3%1.6M-61.4M-368.2K0.7813.081,3481,05797,51068,385
2009-11-10$20.59$16.0049.0%14.0%58.7%9.5%50.4%5.5%2.4%1.8M-78.6M-363.7K3.5314.301,2754,50197,67067,842
2009-11-11$20.49$16.0050.2%14.1%56.5%10.0%48.9%5.9%2.3%2.0M-77.8M-356.9K8.1613.653693,01197,38565,217
2009-11-12$19.96$17.5049.2%14.1%57.1%9.6%50.2%7.1%2.0%1.9M-63.2M-355.6K2.3613.6120247697,93967,016
2009-11-13$19.81$17.5049.0%14.0%56.7%9.4%48.8%5.5%3.0%2.0M-59.6M-349.2K0.2514.511,66341997,93966,922
2009-11-16$20.43$17.5049.0%14.1%57.7%9.5%47.4%7.6%1.5%2.2M-75.4M-342.3K0.3611.811,32847398,52967,037
2009-11-17$20.40$17.5047.7%13.7%55.8%8.8%48.2%6.9%2.7%2.4M-75.6M-338.0K1.6712.1848480998,55267,182
2009-11-18$20.23$17.5046.9%13.4%55.4%8.4%47.3%6.8%3.2%2.5M-71.3M-332.5K0.628.8370643798,53167,306
2009-11-19$20.18$17.5046.7%13.4%54.1%8.3%47.2%4.3%2.4%2.8M-69.8M-325.4K0.6413.651,26781798,76767,541
2009-11-20$19.64$17.5044.3%12.7%54.1%7.0%44.9%6.8%3.6%2.4M-46.3M-310.1K0.869.331,5511,33798,62767,587
2009-11-23$20.09$17.5039.8%11.4%52.2%4.8%39.3%5.0%4.8%743.6K-48.4M-297.6K0.429.672,15291480,46857,983
2009-11-24$20.37$17.5039.8%11.4%46.5%4.8%39.1%5.3%4.7%851.0K-53.4M-299.7K0.768.702,1281,62581,29858,335
2009-11-25$20.73$17.5037.5%10.8%39.5%3.7%38.0%4.0%5.6%930.8K-58.1M-305.7K1.436.831,7212,46581,89859,593
2009-11-27$20.08$17.5042.0%12.0%40.5%5.9%42.1%4.6%4.3%829.3K-49.0M-311.7K1.907.8445886883,03961,512
2009-11-30$20.05$17.5041.1%11.8%31.2%5.5%41.7%6.7%5.5%793.6K-46.9M-306.7K0.2512.741,19429583,11361,733