TXT Options History — December 2009

In December 2009, TXT traded between $18.67 and $20.62. ATM implied volatility averaged 38.7%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 9.8% (HV 20d: 28.9%). Max pain ranged from $16.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2009-12-21: Highest Volume — 7,106 contracts
  • 2009-12-10: Largest IV spike — 21.6% change
  • 2009-12-10: Highest IV Rank — 6.9%
  • 2009-12-07: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.56$18.67$20.62$20.45$18.81
Max Pain$17.30$16.00$17.50$17.50$17.50
ATM IV38.7%32.9%43.9%40.8%35.3%
Expected Move11.5%9.4%13.1%11.7%10.1%
HV 20d28.9%24.7%33.1%31.2%24.7%
HV 60d44.4%40.4%48.0%48.0%40.4%
IV Rank4.3%1.3%6.9%5.3%2.5%
IV Percentile2.7%0.4%6.3%1.6%0.8%
Term Structure5.7%3.6%8.5%4.8%7.7%
VWIV39.9%34.5%47.0%40.6%34.9%
Skew 25d5.5%1.6%7.2%5.3%6.1%
Skew 10d10.2%-9.5%21.5%14.0%12.3%
Call IV 25d38.2%33.1%43.2%37.4%34.0%
Put IV 25d43.7%38.3%49.4%42.7%40.1%
Bid-Ask Spread %8.795.7312.0411.585.75
Gamma HHI0.270.170.360.180.31
Net GEX794.6K262.8K1.0M879.7K740.4K
Net DEX-32.7M-56.6M-11.7M-54.3M-19.0M
Net VEX-274.7K-305.7K-248.2K-305.7K-252.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.161.600.911.05
Total Volume1,835.1364707,1063,066785
Total OI131,164.598,203148,558145,293107,710

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$20.45$17.5040.8%11.7%31.2%5.3%40.6%5.3%4.8%879.7K-54.3M-305.7K0.9111.581,6041,46283,37361,920
2009-12-02$20.62$17.5037.2%10.7%30.7%3.5%39.8%6.3%7.0%932.2K-56.6M-304.9K0.5510.251,08959983,81662,809
2009-12-03$20.11$17.5038.7%11.1%32.4%4.2%39.1%1.6%6.3%849.5K-49.4M-304.8K0.467.961,35962884,02263,093
2009-12-04$20.23$16.0037.3%12.7%31.8%3.5%43.0%5.9%5.3%887.1K-50.8M-303.0K0.6011.5594956984,93863,335
2009-12-07$19.73$16.0037.4%13.1%33.1%3.6%45.4%6.3%3.6%793.4K-41.8M-291.4K0.259.9171417984,91063,221
2009-12-08$19.60$16.0038.3%12.9%31.4%4.0%47.0%6.2%5.1%786.5K-39.1M-290.6K0.6012.0485451385,24263,316
2009-12-09$19.62$17.5036.1%12.7%28.8%2.9%44.0%5.2%4.9%833.2K-32.1M-286.8K1.1911.0531137081,46663,485
2009-12-10$19.45$17.5043.9%12.6%28.8%6.9%44.6%5.6%4.7%770.4K-28.7M-283.6K1.198.7638145381,40163,805
2009-12-11$19.88$17.5042.0%12.0%28.7%5.9%41.9%6.4%5.1%931.5K-36.7M-284.3K0.449.4554624281,56963,889
2009-12-14$20.05$17.5042.1%12.1%28.7%6.0%41.4%4.6%6.3%1.0M-40.4M-276.7K0.2410.241,78343081,68863,954
2009-12-15$19.72$17.5041.8%12.0%26.9%5.8%42.0%6.7%4.9%926.1K-32.7M-270.5K0.468.4948422481,52264,043
2009-12-16$19.57$17.5040.7%11.7%27.0%5.2%40.3%5.3%4.3%858.4K-29.4M-264.1K0.607.971,28876781,70864,034
2009-12-17$18.98$17.5042.0%12.0%28.8%5.9%42.3%4.7%4.4%383.1K-18.0M-258.0K0.338.4164921682,34863,977
2009-12-18$18.67$17.5041.4%11.9%29.2%5.6%40.6%7.2%5.0%262.8K-11.7M-248.2K0.669.132,7401,80082,56063,924
2009-12-21$19.27$17.5040.2%11.5%30.4%5.0%37.1%6.3%3.9%525.4K-23.2M-253.9K0.168.946,12698056,93341,270
2009-12-22$19.39$17.5037.8%10.8%29.3%3.8%36.5%5.8%6.5%821.6K-26.8M-262.2K0.465.891,96889860,80941,764
2009-12-23$19.55$17.5032.9%9.4%28.9%1.3%34.5%5.5%8.5%891.0K-29.3M-269.6K0.776.7395773363,92542,433
2009-12-24$19.40$17.5036.0%10.3%28.0%2.9%34.9%5.2%7.4%894.7K-28.0M-265.3K0.637.7228918162,14942,378
2009-12-28$19.25$17.5038.3%11.0%26.0%4.1%36.8%5.9%5.2%851.2K-25.4M-257.1K0.309.1756916962,22042,483
2009-12-29$19.01$17.5035.6%10.2%26.3%2.7%35.0%5.9%7.1%807.6K-22.3M-251.7K1.135.731,2931,46362,43242,532
2009-12-30$19.02$17.5036.6%10.5%24.9%3.2%36.6%4.1%6.8%824.9K-22.3M-257.2K1.606.5729246763,33943,874
2009-12-31$18.81$17.5035.3%10.1%24.7%2.5%34.9%6.1%7.7%740.4K-19.0M-252.7K1.055.7538340263,43644,274