TXT Options History — July 2010

In July 2010, TXT traded between $16.07 and $21.17. ATM implied volatility averaged 46.8%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 11.5% (HV 20d: 58.3%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2010-07-21: Highest Volume — 12,041 contracts
  • 2010-07-21: Largest IV drop — 15.8% change
  • 2010-07-01: Highest IV Rank — 79.3%
  • 2010-07-01: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.61$16.07$21.17$16.37$20.76
Max Pain$18.90$18.00$19.00$18.00$19.00
ATM IV46.8%37.5%59.1%59.1%40.0%
Expected Move13.6%10.8%16.9%16.9%11.5%
HV 20d58.3%47.7%66.9%61.7%47.7%
HV 60d65.3%62.8%67.4%64.7%64.5%
IV Rank54.3%35.5%79.3%79.3%40.5%
IV Percentile46.9%19.8%87.3%87.3%27.8%
Term Structure-0.1%-2.3%3.0%0.7%1.2%
VWIV48.6%41.4%57.8%57.8%44.4%
Skew 25d8.3%3.4%10.9%8.5%10.1%
Skew 10d20.1%4.8%31.9%11.6%19.8%
Call IV 25d44.1%34.7%54.9%54.9%36.2%
Put IV 25d52.4%43.0%63.5%63.5%46.3%
Bid-Ask Spread %17.9312.5723.9512.5720.67
Gamma HHI0.210.160.260.200.16
Net GEX690.8K171.3K1.2M181.6K859.9K
Net DEX-18.3M-70.9M24.3M20.4M-60.1M
Net VEX-438.5K-504.6K-358.7K-378.9K-484.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.086.040.920.84
Total Volume4,259.04856912,0413,021856
Total OI131,930.048122,907144,507122,907144,507

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$16.37$18.0059.1%16.9%61.7%79.3%57.8%8.5%0.7%181.6K20.4M-378.9K0.9212.571,5761,44571,34351,564
2010-07-02$16.07$18.0054.8%15.7%55.3%70.6%55.6%3.4%2.8%171.3K24.3M-359.2K0.7816.4247436872,13652,615
2010-07-06$16.28$19.0057.2%16.3%54.4%75.4%54.6%10.9%-2.3%188.3K24.1M-358.7K0.3314.531,01333672,59352,898
2010-07-07$17.17$19.0050.6%14.8%56.0%62.0%50.4%9.3%-0.3%205.6K14.2M-394.3K0.5814.972,5901,49872,27352,947
2010-07-08$17.04$19.0049.2%14.6%55.9%59.1%50.1%8.8%0.4%246.6K16.5M-388.4K0.2513.181,24231474,03553,514
2010-07-09$17.80$19.0043.8%14.0%57.0%48.2%49.0%7.9%-1.1%264.8K4.1M-418.4K2.4116.132,1725,24574,54653,702
2010-07-12$17.68$19.0048.8%14.1%56.8%58.3%48.1%8.7%-0.7%654.0K1.1M-414.7K0.7816.202,4801,94675,98650,818
2010-07-13$18.39$19.0048.2%14.4%58.9%57.1%49.3%8.8%-1.9%805.8K-12.1M-441.7K0.8612.762,4732,12777,26551,581
2010-07-14$18.25$19.0043.5%14.2%55.9%47.7%50.0%8.1%-0.9%894.5K-8.8M-439.1K0.3315.151,71156178,34252,763
2010-07-15$18.26$19.0048.7%14.0%55.9%58.1%48.1%8.1%-1.8%798.1K-8.4M-434.8K0.1417.322,86639078,15952,690
2010-07-16$17.34$19.0053.7%15.4%58.3%68.2%50.7%5.8%-1.5%522.2K7.3M-407.7K0.0822.676,27447379,53652,815
2010-07-19$17.57$19.0049.1%14.1%58.6%58.9%50.8%5.5%-1.6%615.4K2.0M-414.7K6.0414.398465,10875,08349,845
2010-07-20$18.08$19.0051.0%14.6%59.9%62.7%52.3%8.0%-2.1%525.3K-4.2M-439.9K0.2519.386,9181,73975,39754,579
2010-07-21$19.65$19.0042.9%12.3%66.6%46.4%44.9%8.6%0.0%1.0M-39.0M-488.8K0.2323.959,7502,29179,95055,779
2010-07-22$20.22$19.0042.2%12.1%66.9%45.0%44.0%7.6%-0.7%1.1M-53.0M-504.6K0.3021.482,67479781,91655,969
2010-07-23$20.77$19.0037.5%10.8%66.7%35.5%42.0%6.7%3.0%1.1M-62.6M-490.5K0.4120.251,93579079,77256,054
2010-07-26$21.17$19.0038.9%11.1%65.8%38.1%47.7%8.3%0.6%1.2M-70.9M-483.9K4.2220.891,2855,41980,68656,238
2010-07-27$20.71$19.0039.1%11.2%65.0%38.7%41.4%10.8%2.4%1.2M-61.3M-483.4K0.3723.3541415581,17757,180
2010-07-28$20.63$19.0042.1%12.1%50.5%44.8%45.6%9.4%1.2%1.1M-59.2M-485.3K4.7321.681,3226,25181,33656,773
2010-07-29$20.69$19.0042.7%12.3%50.6%46.0%43.1%10.4%-0.0%813.1K-57.8M-497.7K0.2318.581,07024681,88962,280
2010-07-30$20.76$19.0040.0%11.5%47.7%40.5%44.4%10.1%1.2%859.9K-60.1M-484.3K0.8420.6746539182,12262,385