TXT Options History — March 2010

In March 2010, TXT traded between $20.21 and $22.53. ATM implied volatility averaged 33.5%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 5.2% (HV 20d: 28.4%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.78.

Notable Days

  • 2010-03-16: Highest Volume — 15,009 contracts
  • 2010-03-11: Largest IV spike — 18.8% change
  • 2010-03-15: Highest IV Rank — 5.7%
  • 2010-03-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.79$20.21$22.53$20.21$21.23
Max Pain$21.48$20.00$22.00$20.00$22.00
ATM IV33.5%30.6%37.4%37.4%32.6%
Expected Move9.8%8.8%10.7%10.7%9.4%
HV 20d28.4%21.5%39.7%39.7%21.6%
HV 60d43.4%42.8%43.9%43.3%43.0%
IV Rank2.3%0.2%5.7%3.6%1.9%
IV Percentile3.0%0.4%8.7%5.2%4.8%
Term Structure4.2%1.6%6.2%2.0%5.4%
VWIV34.9%31.8%39.7%37.5%35.4%
Skew 25d5.4%3.8%7.7%7.7%3.8%
Skew 10d11.0%-4.1%22.5%22.5%9.6%
Call IV 25d32.4%29.8%35.5%35.1%31.1%
Put IV 25d37.8%34.1%42.8%42.8%34.9%
Bid-Ask Spread %18.2213.2724.7316.0513.27
Gamma HHI0.210.120.500.160.13
Net GEX1.1M-563.3K2.9M110.3K-563.3K
Net DEX-40.8M-67.7M-2.7M-19.5M-2.7M
Net VEX-397.8K-432.9K-345.3K-363.7K-425.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.2317.601.060.45
Total Volume3,657.8758415,0091,6253,338
Total OI128,578.47898,594158,198129,358109,153

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$20.21$20.0037.4%10.7%39.7%3.6%37.5%7.7%2.0%110.3K-19.5M-363.7K1.0616.0578783869,99559,363
2010-03-02$20.90$20.0034.9%10.0%36.4%2.3%35.9%6.9%2.5%710.9K-37.1M-365.6K0.7217.141,9451,39470,22259,623
2010-03-03$21.24$20.0035.4%10.1%36.8%2.6%35.5%6.4%1.6%1.0M-44.7M-360.9K0.4624.732,7131,25670,70259,762
2010-03-04$21.06$20.0032.7%9.4%36.8%1.2%34.5%6.2%3.3%994.6K-42.8M-360.6K0.2322.682,86467272,00660,306
2010-03-05$21.81$21.0031.4%10.1%34.2%0.5%38.6%6.5%4.1%1.8M-64.5M-354.9K1.8720.051,4852,77073,08860,480
2010-03-08$21.74$21.0032.5%10.4%31.2%1.1%36.9%5.7%3.8%1.8M-61.6M-345.3K0.7820.101,7951,40472,99561,757
2010-03-09$21.62$21.0031.4%10.3%30.8%0.7%37.9%4.9%4.8%1.8M-57.8M-348.9K0.5123.161,89795873,74862,197
2010-03-10$21.81$21.0030.6%10.1%30.8%0.2%35.6%5.9%4.3%2.1M-59.6M-347.4K17.6016.9766411,68572,26062,440
2010-03-11$22.25$22.0036.3%10.4%31.0%4.3%36.3%5.1%4.0%1.8M-60.2M-406.8K0.7119.121,6641,18172,30273,335
2010-03-12$22.26$22.0036.4%10.4%31.1%4.9%36.3%5.1%4.2%1.9M-59.6M-408.5K1.3620.5763486372,83574,287
2010-03-15$22.05$22.0037.3%10.7%27.6%5.7%39.7%5.9%3.8%1.9M-54.9M-397.6K1.0019.8249149372,96474,109
2010-03-16$22.40$22.0035.7%10.2%25.2%4.3%34.3%4.3%4.2%2.2M-65.1M-388.6K0.6415.009,1725,83773,05774,212
2010-03-17$22.53$22.0033.7%9.7%25.0%2.7%34.0%6.1%4.3%2.5M-67.7M-426.3K0.2516.741,87847877,94479,602
2010-03-18$22.15$22.0034.6%9.9%24.4%3.5%33.8%6.6%4.3%2.9M-57.8M-427.6K0.4716.341,63676678,36879,830
2010-03-19$22.21$22.0034.0%9.8%24.1%3.0%33.7%4.2%5.2%2.8M-60.4M-426.2K0.4321.632,5131,09377,94279,887
2010-03-22$22.18$22.0032.8%9.4%24.2%2.0%34.1%4.7%4.9%-69.5K-22.7M-421.6K1.4116.531,1751,65546,97551,619
2010-03-23$22.45$22.0032.5%9.3%22.7%1.8%32.2%4.4%5.0%-16.1K-26.7M-424.0K0.5515.071,66191747,72152,696
2010-03-24$22.28$22.0032.6%9.3%23.3%1.9%31.9%5.6%5.4%-39.1K-24.6M-430.4K4.4416.725962,64948,59053,458
2010-03-25$21.77$22.0032.2%9.2%25.1%1.6%32.1%4.8%5.1%-221.7K-15.0M-427.3K0.9420.611,4151,32548,73654,636
2010-03-26$21.68$22.0031.0%8.9%24.4%0.6%31.9%4.0%6.2%-295.6K-12.8M-428.5K4.0313.896102,46149,82455,573
2010-03-29$21.70$22.0032.1%9.2%24.1%1.5%33.6%4.9%4.2%-403.8K-11.9M-431.5K0.4115.231,36155850,04357,709
2010-03-30$21.56$22.0030.8%8.8%21.5%0.4%31.8%3.8%4.6%-506.1K-8.4M-432.9K0.6117.5336322150,91258,042
2010-03-31$21.23$22.0032.6%9.4%21.6%1.9%35.4%3.8%5.4%-563.3K-2.7M-425.0K0.4513.272,3081,03051,12358,030