TXT Options History — May 2010

In May 2010, TXT traded between $19.41 and $24.09. ATM implied volatility averaged 52.4%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 18.8% (HV 20d: 71.3%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2010-05-26: Highest Volume — 24,192 contracts
  • 2010-05-07: Largest IV spike — 19.1% change
  • 2010-05-20: Highest IV Rank — 76.6%
  • 2010-05-20: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.71$19.41$24.09$23.49$20.67
Max Pain$21.75$20.00$22.00$22.00$20.00
ATM IV52.4%40.4%67.9%40.4%51.0%
Expected Move15.0%11.6%19.5%11.6%14.6%
HV 20d71.3%53.4%79.4%53.4%77.1%
HV 60d47.6%37.2%54.7%37.6%54.7%
IV Rank46.7%23.9%76.6%23.9%53.4%
IV Percentile57.4%27.4%90.1%27.4%51.2%
Term Structure-1.4%-8.1%4.2%-0.6%1.1%
VWIV52.9%40.6%68.3%40.6%51.4%
Skew 25d7.3%1.5%13.4%1.5%7.7%
Skew 10d17.8%7.7%33.6%7.7%18.3%
Call IV 25d49.5%38.8%61.2%38.8%48.1%
Put IV 25d56.9%40.4%72.4%40.4%55.8%
Bid-Ask Spread %22.1615.6558.9617.7318.46
Gamma HHI0.110.080.130.120.10
Net GEX902.4K-248.6K1.9M1.7M672.7K
Net DEX-29.2M-78.8M17.2M-63.1M-18.1M
Net VEX-444.0K-498.6K-380.6K-476.3K-425.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.102.441.100.99
Total Volume4,703.2556924,1921,8252,399
Total OI130,244.95111,741137,235130,645127,585

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$23.49$22.0040.4%11.6%53.4%23.9%40.6%1.5%-0.6%1.7M-63.1M-476.3K1.1017.7386895773,88756,758
2010-05-04$22.93$22.0043.6%12.5%54.3%27.7%43.6%3.0%-0.8%1.5M-51.8M-476.3K0.7019.9095566673,93956,733
2010-05-05$23.27$22.0044.2%12.7%53.7%28.4%45.4%2.1%0.8%1.6M-59.2M-486.4K1.0724.451,8531,97774,17257,008
2010-05-06$22.50$22.0051.3%14.7%55.2%36.8%52.5%3.1%4.2%1.1M-41.7M-498.6K0.6658.961,6781,10474,44657,939
2010-05-07$20.38$22.0061.2%17.8%65.6%48.4%60.3%9.2%-4.4%379.1K-4.5M-453.6K0.4323.456,1652,63174,10158,049
2010-05-10$22.39$22.0052.9%14.4%73.9%38.7%50.7%8.6%-1.1%1.2M-37.9M-470.5K0.5220.621,9451,00374,24959,022
2010-05-11$22.64$22.0048.2%13.9%74.0%33.1%49.2%7.9%-0.6%1.4M-45.3M-479.4K0.2923.7849414374,96859,433
2010-05-12$24.09$22.0044.0%12.8%77.1%28.1%45.9%4.9%0.2%1.9M-78.8M-465.0K0.2220.362,86762474,78559,482
2010-05-13$23.53$22.0044.2%12.7%77.3%31.0%45.0%5.3%0.7%1.9M-66.5M-461.0K0.6517.0434422574,74659,621
2010-05-14$22.57$22.0049.5%14.2%78.6%38.3%51.7%7.0%-1.1%1.4M-42.9M-464.0K0.4918.1390044374,74559,665
2010-05-17$21.95$22.0051.7%14.8%79.0%44.3%56.0%8.3%-2.0%1.1M-26.6M-438.6K2.4219.948352,01974,69659,663
2010-05-18$21.50$22.0054.2%15.5%79.2%51.8%55.0%6.8%-2.8%791.1K-18.1M-423.5K0.1420.221,82726374,72559,076
2010-05-19$21.07$22.0057.3%16.4%79.4%59.6%60.6%9.2%-4.3%424.0K-8.1M-415.5K0.9915.652,5432,52775,47458,997
2010-05-20$19.41$22.0067.9%19.5%71.6%76.6%68.3%11.1%-8.1%-248.6K17.2M-381.0K2.4421.831,7254,20576,08959,271
2010-05-21$20.57$22.0062.1%17.8%75.7%67.3%62.7%12.1%-6.0%-98.5K1.1M-417.1K0.9419.541,6861,58878,04059,195
2010-05-24$20.22$22.0060.0%17.2%74.5%67.5%56.3%10.8%-2.8%58.1K-3.5M-398.6K0.1617.792,43739160,88750,854
2010-05-25$19.52$22.0059.2%17.0%73.3%66.1%57.8%13.4%0.3%-58.5K5.6M-380.6K0.1021.4611,7461,16062,58651,078
2010-05-26$20.27$21.0055.6%15.9%74.6%60.1%53.9%7.3%-0.7%447.8K-12.8M-428.0K0.1422.7521,3122,88070,87151,338
2010-05-27$21.26$20.0050.6%14.5%77.2%52.9%51.5%7.7%0.5%901.9K-29.3M-440.5K0.3021.073,5911,08974,21152,515
2010-05-28$20.67$20.0051.0%14.6%77.1%53.4%51.4%7.7%1.1%672.7K-18.1M-425.1K0.9918.461,2031,19674,54453,041