TXT Options History — April 2010

In April 2010, TXT traded between $21.33 and $24.55. ATM implied volatility averaged 34.4%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 4.3% (HV 20d: 30.1%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2010-04-07: Highest Volume — 36,468 contracts
  • 2010-04-15: Largest IV spike — 97.6% change
  • 2010-04-30: Highest IV Rank — 24.1%
  • 2010-04-27: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.56$21.33$24.55$21.40$22.84
Max Pain$21.57$21.00$22.00$22.00$22.00
ATM IV34.4%20.1%41.2%32.0%40.5%
Expected Move10.8%9.2%11.8%9.2%11.6%
HV 20d30.1%17.4%52.8%21.5%52.8%
HV 60d38.2%33.1%42.8%42.8%38.5%
IV Rank10.1%0.0%24.1%1.4%24.1%
IV Percentile12.5%0.0%29.0%2.8%28.2%
Term Structure-0.5%-2.2%5.8%5.8%-1.0%
VWIV37.9%31.9%41.7%31.9%41.0%
Skew 25d3.9%1.4%5.6%3.5%2.6%
Skew 10d8.2%1.7%14.8%1.7%6.5%
Call IV 25d36.4%30.1%40.4%30.1%40.4%
Put IV 25d40.3%32.8%43.2%33.6%43.0%
Bid-Ask Spread %20.8114.1327.7615.2321.00
Gamma HHI0.170.110.540.140.11
Net GEX490.3K-3.4M1.7M-521.2K1.4M
Net DEX-40.1M-87.3M-4.3M-5.8M-49.2M
Net VEX-446.2K-493.9K-418.4K-427.1K-484.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.067.560.180.72
Total Volume6,310.95253636,4685363,528
Total OI120,714.857107,195130,397110,558130,397

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$21.40$22.0032.0%9.2%21.5%1.4%31.9%3.5%5.8%-521.2K-5.8M-427.1K0.1815.234538352,54058,018
2010-04-05$21.33$22.0034.9%11.3%17.4%3.8%36.6%5.4%-0.3%-564.8K-4.3M-418.4K7.5614.133252,45652,63458,105
2010-04-06$21.57$22.0031.2%10.6%17.9%0.7%37.5%5.6%0.1%-635.3K-8.9M-426.6K1.2815.6135445452,72560,366
2010-04-07$22.18$22.0037.3%11.6%20.4%5.7%39.9%5.5%-1.2%-292.7K-21.6M-434.4K0.0620.6834,2702,19852,81260,597
2010-04-08$22.17$22.0031.9%11.2%20.2%1.3%38.8%4.0%-0.4%-449.9K-21.6M-429.3K3.3022.131,3184,35452,81260,597
2010-04-09$22.09$21.0030.6%11.3%18.9%0.2%38.9%4.3%-1.0%-262.3K-25.7M-457.5K0.4716.681,79985464,64565,455
2010-04-12$22.59$21.0030.6%10.8%20.6%0.3%38.5%4.8%-1.0%1.0M-46.1M-451.6K0.3919.212,04779365,09961,443
2010-04-13$22.55$22.0022.4%10.7%20.2%0.0%38.6%4.6%-1.4%878.2K-44.6M-448.1K0.2123.961,34328465,10961,765
2010-04-14$22.76$22.0020.1%10.8%19.7%0.0%38.0%4.5%-1.2%1.3M-51.8M-442.2K0.1922.612,31644165,44561,798
2010-04-15$22.33$21.0039.7%11.4%20.8%15.0%39.2%4.5%-2.2%61.7K-39.0M-440.0K0.0718.534,12130965,05561,954
2010-04-16$21.94$21.0038.6%11.1%20.9%14.9%38.6%4.0%-0.6%-3.4M-22.7M-435.8K0.3920.332,11882266,43861,920
2010-04-19$21.56$21.0038.1%10.9%21.7%15.0%38.8%5.4%-0.5%522.2K-19.8M-420.8K0.9122.212,3162,09656,40250,793
2010-04-20$21.87$21.0034.2%9.8%22.4%11.7%35.5%4.3%-0.4%700.4K-26.6M-423.7K0.7227.761,8331,31257,69251,722
2010-04-21$21.60$21.0037.0%10.6%22.3%14.2%37.0%4.3%-1.1%604.4K-22.4M-426.7K0.0823.339,74082258,60352,661
2010-04-22$24.23$21.0032.5%9.3%46.9%11.6%32.2%1.4%-0.4%1.7M-82.9M-428.4K0.3319.9114,1114,64264,17453,175
2010-04-23$23.85$21.0034.7%10.0%46.4%13.8%35.3%1.8%-0.5%1.7M-73.8M-462.0K0.3924.182,9161,12467,28554,675
2010-04-26$24.55$22.0036.3%10.4%47.1%15.3%36.9%2.4%-1.4%1.7M-87.3M-444.2K0.2024.3712,4512,53767,12054,109
2010-04-27$23.25$22.0041.2%11.8%51.8%19.9%41.0%2.7%-1.3%1.5M-58.9M-485.3K1.0523.602,1352,24872,78455,767
2010-04-28$23.61$22.0040.5%11.6%51.8%20.6%41.7%3.0%-1.2%1.6M-65.6M-493.9K0.7717.191,5931,22873,17056,836
2010-04-29$23.52$22.0039.0%11.2%51.4%22.3%39.1%2.9%0.2%1.6M-63.9M-490.2K0.3924.311,72066673,47056,845
2010-04-30$22.84$22.0040.5%11.6%52.8%24.1%41.0%2.6%-1.0%1.4M-49.2M-484.7K0.7221.002,0531,47573,44456,953