TXT Options History — January 2010

In January 2010, TXT traded between $18.68 and $22.98. ATM implied volatility averaged 45.2%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 1.9% (HV 20d: 43.3%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.41.

Notable Days

  • 2010-01-14: Highest Volume — 60,372 contracts
  • 2010-01-14: Largest IV spike — 34.0% change
  • 2010-01-26: Highest IV Rank — 12.6%
  • 2010-01-26: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.83$18.68$22.98$19.04$19.53
Max Pain$20.05$19.00$21.00$19.00$21.00
ATM IV45.2%30.7%55.3%38.1%44.2%
Expected Move13.7%11.6%15.9%12.4%12.7%
HV 20d43.3%24.1%59.8%24.1%59.8%
HV 60d42.6%40.0%46.3%40.4%41.3%
IV Rank7.5%0.2%12.6%3.9%7.0%
IV Percentile16.7%0.4%36.1%4.8%14.7%
Term Structure-0.6%-2.8%2.4%1.4%0.7%
VWIV47.8%40.1%55.5%42.2%43.1%
Skew 25d3.4%0.2%6.3%5.9%4.7%
Skew 10d6.9%2.5%14.1%12.3%3.7%
Call IV 25d47.1%38.3%55.3%40.8%41.7%
Put IV 25d50.5%42.9%60.1%46.6%46.5%
Bid-Ask Spread %16.7610.6723.0915.3515.14
Gamma HHI0.240.130.420.330.14
Net GEX1.6M708.8K2.3M871.2K767.2K
Net DEX-54.8M-106.9M-13.5M-22.3M-13.5M
Net VEX-335.5K-418.4K-242.9K-248.8K-382.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.031.120.270.31
Total Volume11,805.2632,50760,3723,33110,217
Total OI121,641.947100,059159,099108,168137,711

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$19.04$19.0038.1%12.4%24.1%3.9%42.2%5.9%1.4%871.2K-22.3M-248.8K0.2715.352,61571663,55944,609
2010-01-05$18.68$19.0037.1%12.3%24.5%3.4%44.0%4.9%-0.0%708.8K-16.6M-242.9K0.3219.673,3691,07864,40345,004
2010-01-06$19.33$19.0037.0%12.5%26.7%3.4%40.9%6.3%-0.3%1.1M-28.2M-268.0K0.0314.496,43619766,28545,387
2010-01-07$20.19$19.0035.1%11.8%30.9%2.4%41.4%5.5%1.8%1.7M-47.1M-282.9K0.3113.672,53478170,48545,326
2010-01-08$20.38$19.0030.7%11.6%31.0%0.2%40.1%4.6%1.2%2.0M-51.5M-279.7K0.3216.451,89761071,42145,503
2010-01-11$21.47$19.0040.5%12.6%35.5%5.1%44.1%2.1%-0.6%1.5M-73.3M-273.7K0.1310.6716,7402,09372,17945,908
2010-01-12$21.33$19.0042.3%13.7%35.1%6.0%47.7%1.4%-1.3%2.1M-78.5M-305.5K0.5617.913,3361,87583,90746,714
2010-01-13$20.92$19.0039.1%13.8%36.0%4.4%48.8%1.3%-1.5%2.3M-71.3M-314.1K0.4515.922,7991,27286,42147,644
2010-01-14$22.79$20.0052.4%15.0%45.9%11.1%53.2%0.2%-2.6%1.9M-106.9M-310.6K0.1916.3950,6249,74885,36848,136
2010-01-15$21.88$20.0049.5%14.2%48.7%9.7%49.7%2.4%-0.8%2.1M-97.9M-360.5K0.1016.8411,6331,106104,98654,113
2010-01-19$22.98$21.0049.3%14.1%49.1%9.6%49.9%0.4%-1.2%1.8M-81.5M-353.6K0.0814.1216,5901,30966,77133,288
2010-01-20$22.31$21.0049.8%14.3%50.2%9.8%49.8%2.2%-0.5%2.0M-74.8M-373.8K0.2311.066,7331,52773,48733,869
2010-01-21$21.43$21.0052.1%14.9%52.3%11.0%52.2%0.7%-1.1%1.8M-58.1M-380.8K0.1615.247,7171,25474,98334,699
2010-01-22$21.32$21.0053.9%15.4%52.4%11.9%53.7%4.6%-1.0%1.9M-59.3M-403.0K1.0523.094,3774,58380,22335,220
2010-01-25$21.13$21.0054.5%15.6%52.6%12.2%54.0%3.4%-2.5%1.8M-53.3M-411.0K0.6121.464,1362,50582,42238,879
2010-01-26$20.57$21.0055.3%15.9%53.6%12.6%55.5%4.8%-2.8%1.5M-41.7M-400.5K1.1219.304,1524,65983,32840,482
2010-01-27$21.00$21.0053.6%15.4%53.8%11.7%54.1%4.6%-1.9%1.7M-48.8M-418.4K0.5922.855,7253,36384,06943,311
2010-01-28$19.58$21.0044.0%12.6%59.8%6.9%44.3%3.9%2.4%887.5K-16.7M-364.7K1.0618.8711,66812,32685,80445,293
2010-01-29$19.53$21.0044.2%12.7%59.8%7.0%43.1%4.7%0.7%767.2K-13.5M-382.1K0.3115.147,8282,38988,61449,097