TXT Options History — June 2010

In June 2010, TXT traded between $16.80 and $20.65. ATM implied volatility averaged 51.0%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 13.8% (HV 20d: 64.8%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2010-06-04: Highest Volume — 19,271 contracts
  • 2010-06-29: Largest IV spike — 23.4% change
  • 2010-06-07: Highest IV Rank — 88.6%
  • 2010-06-07: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.22$16.80$20.65$19.89$16.97
Max Pain$20.14$18.00$21.00$20.00$18.00
ATM IV51.0%41.1%66.6%60.0%56.4%
Expected Move14.5%11.8%17.7%17.2%16.2%
HV 20d64.8%52.1%82.1%77.0%61.4%
HV 60d59.4%54.8%64.7%54.8%64.7%
IV Rank59.2%40.0%88.6%69.1%73.8%
IV Percentile56.7%30.2%93.3%84.1%78.2%
Term Structure1.6%-2.6%5.7%-2.6%0.4%
VWIV49.7%38.8%61.9%60.2%54.2%
Skew 25d8.5%7.0%11.7%8.8%7.5%
Skew 10d17.9%14.4%30.2%17.8%17.8%
Call IV 25d46.8%37.6%57.4%55.9%52.6%
Put IV 25d55.3%44.8%66.2%64.7%60.1%
Bid-Ask Spread %17.2111.6622.6713.3814.34
Gamma HHI0.190.100.710.100.22
Net GEX495.7K-143.0K3.2M426.6K60.3K
Net DEX-7.0M-25.4M18.0M-5.2M15.0M
Net VEX-447.6K-489.9K-386.0K-395.6K-404.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.023.870.440.08
Total Volume5,070.27354019,2713,0464,747
Total OI135,031.36493,601158,471126,974120,135

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$19.89$20.0060.0%17.2%77.0%69.1%60.2%8.8%-2.6%426.6K-5.2M-395.6K0.4413.382,10993774,18752,787
2010-06-02$20.47$20.0055.8%16.0%77.8%61.9%52.2%8.9%-0.7%670.8K-15.0M-410.5K0.0218.599,91920775,48853,195
2010-06-03$20.65$20.0051.7%14.8%77.6%56.4%54.8%10.3%0.7%851.8K-25.4M-442.9K0.0820.629,12070381,75253,271
2010-06-04$18.96$21.0063.4%17.1%82.1%82.5%57.2%11.7%-1.4%288.0K-360.6K-425.7K1.6217.557,36211,90985,81753,568
2010-06-07$18.21$21.0066.6%17.7%76.0%88.6%61.9%8.7%-1.5%7.4K13.7M-431.5K1.3517.715,4497,37389,96259,291
2010-06-08$18.96$21.0058.9%16.5%68.7%73.8%60.2%8.6%-1.0%4.6K1.2M-474.0K3.8721.348623,33493,00362,721
2010-06-09$18.68$21.0058.3%16.2%68.3%72.6%55.4%8.2%-0.0%-143.0K7.2M-476.7K0.8219.1946238192,99064,805
2010-06-10$19.30$21.0053.3%15.3%64.9%63.1%51.7%9.2%1.4%109.8K-3.7M-489.9K0.3511.6653818693,10764,769
2010-06-11$19.46$20.0053.0%15.2%65.1%62.6%50.1%8.8%0.5%209.2K-6.0M-488.1K0.6022.6764038293,38964,732
2010-06-14$19.30$20.0052.0%14.9%64.0%60.7%49.7%8.5%1.3%120.2K-3.2M-466.1K0.1519.106569993,50064,672
2010-06-15$20.24$20.0047.7%13.7%66.4%52.6%47.5%7.5%2.1%956.9K-22.7M-481.8K0.2818.691,16932993,52064,581
2010-06-16$20.02$20.0046.2%13.2%66.2%49.7%45.9%7.8%3.0%890.8K-17.7M-468.2K0.2017.5952210593,65064,578
2010-06-17$19.95$20.0044.9%12.9%65.9%47.1%44.6%7.1%3.1%830.4K-14.3M-460.7K1.2312.8242652693,83564,636
2010-06-18$20.03$20.0041.1%11.8%58.8%40.0%41.1%7.0%4.5%3.2M-19.2M-455.2K0.4117.032,11487293,98564,068
2010-06-21$20.01$20.0041.1%11.8%54.9%41.1%38.8%8.2%3.5%597.6K-23.5M-444.3K0.2114.802,26146757,41136,190
2010-06-22$19.35$20.0043.7%12.5%55.9%46.3%41.4%8.4%2.9%552.4K-16.6M-430.9K1.4518.719921,43458,69836,427
2010-06-23$19.02$20.0042.4%12.2%54.8%45.4%41.5%8.5%4.3%485.2K-12.1M-421.9K0.9013.459,9148,89459,09137,658
2010-06-24$18.59$20.0044.3%12.7%53.3%49.3%47.3%8.4%3.5%395.4K-6.8M-453.6K3.1621.551,4004,42766,46346,148
2010-06-25$19.31$20.0042.1%12.1%52.1%44.8%39.1%7.1%5.7%278.8K-13.9M-480.9K0.2716.6242611466,76650,482
2010-06-28$18.66$20.0044.5%12.7%52.5%49.5%44.0%7.7%3.9%141.9K-4.2M-456.8K1.5217.0846570566,87550,507
2010-06-29$16.80$20.0054.9%15.7%62.5%70.6%54.1%10.4%2.0%-12.5K18.0M-386.0K0.1814.025,61799266,98550,995
2010-06-30$16.97$18.0056.4%16.2%61.4%73.8%54.2%7.5%0.4%60.3K15.0M-404.8K0.0814.344,41233568,70751,428