TXT Options History — August 2010

In August 2010, TXT traded between $17.07 and $21.48. ATM implied volatility averaged 43.1%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 0.4% (HV 20d: 42.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-08-19: Highest Volume — 12,910 contracts
  • 2010-08-11: Largest IV spike — 13.0% change
  • 2010-08-13: Highest IV Rank — 60.0%
  • 2010-08-13: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.91$17.07$21.48$21.29$17.07
Max Pain$19.27$19.00$20.00$19.00$19.00
ATM IV43.1%36.3%48.8%39.1%42.4%
Expected Move12.4%10.8%14.0%11.2%12.1%
HV 20d42.8%35.6%52.6%46.5%37.6%
HV 60d55.1%48.8%64.4%64.4%48.9%
IV Rank47.8%33.0%60.0%38.7%46.6%
IV Percentile39.8%15.5%56.3%26.2%42.1%
Term Structure3.8%1.6%5.8%1.6%4.4%
VWIV44.3%39.7%48.8%39.7%42.6%
Skew 25d4.9%-1.6%9.8%8.7%2.4%
Skew 10d10.9%-1.6%22.2%21.5%3.0%
Call IV 25d41.8%33.5%49.8%35.3%41.7%
Put IV 25d46.7%41.8%53.2%44.1%44.1%
Bid-Ask Spread %8.556.6111.6410.5810.89
Gamma HHI0.200.150.300.160.21
Net GEX953.1K472.7K1.9M897.1K484.8K
Net DEX-17.3M-79.1M26.3M-71.4M9.3M
Net VEX-404.5K-482.4K-348.9K-477.8K-348.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.085.260.680.84
Total Volume4,890.90927612,9106,4246,484
Total OI145,228.182119,919168,909144,812137,933

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$21.29$19.0039.1%11.2%46.5%38.7%39.7%8.7%1.6%897.1K-71.4M-477.8K0.6810.583,8352,58982,38362,429
2010-08-03$21.09$19.0038.5%11.0%47.3%37.5%39.9%8.8%1.7%976.5K-67.0M-482.4K0.4911.4140119684,03562,989
2010-08-04$21.48$19.0037.8%10.8%44.9%36.1%43.7%7.6%2.1%1.0M-79.1M-469.2K0.808.2167053984,09162,979
2010-08-05$21.36$19.0037.7%10.8%44.8%35.7%45.9%8.5%1.8%1.1M-78.8M-468.4K0.808.0979863584,46962,843
2010-08-06$20.82$20.0036.3%11.4%44.9%33.0%39.9%8.7%4.7%1.0M-63.0M-467.2K0.326.6138612484,29962,974
2010-08-09$20.98$20.0037.8%11.1%44.6%36.1%40.1%8.0%5.0%1.1M-67.6M-456.4K1.638.4710517184,38763,006
2010-08-10$20.12$20.0041.6%11.8%46.4%43.7%41.2%8.7%5.0%978.1K-44.8M-441.6K0.458.1946821084,45063,014
2010-08-11$18.97$20.0047.0%13.0%51.5%56.3%44.8%9.8%3.5%833.3K-11.4M-418.7K5.268.055132,69884,31763,067
2010-08-12$18.43$20.0047.3%13.6%52.6%56.9%46.5%9.2%3.2%673.5K5.9M-400.6K0.088.163,22725984,87864,308
2010-08-13$18.16$20.0048.8%14.0%49.3%60.0%46.6%9.2%2.3%633.0K14.3M-385.5K0.327.723,9441,26986,49665,042
2010-08-16$17.86$19.0046.7%13.4%49.5%55.8%48.8%6.5%3.9%472.7K23.5M-366.1K1.458.382,6933,91688,51065,212
2010-08-17$18.37$19.0044.6%12.8%49.5%51.2%43.1%4.5%5.2%930.5K12.6M-386.1K0.137.499,0781,16290,40772,028
2010-08-18$18.67$19.0041.3%11.9%39.4%44.5%41.3%5.3%5.8%1.9M634.4K-399.6K0.257.421,42034995,14669,078
2010-08-19$18.15$19.0046.6%13.4%38.6%55.4%46.3%3.0%3.7%1.0M19.3M-373.0K0.109.5511,7671,14394,98769,189
2010-08-20$17.89$19.0047.1%13.5%36.7%56.5%48.3%0.3%3.9%1.4M26.3M-369.1K0.126.7010,4171,24399,02169,888
2010-08-23$17.42$19.0047.0%13.5%35.9%56.3%48.7%-1.4%4.2%824.8K-592.6K-352.0K0.548.744,5842,46677,00942,910
2010-08-24$17.42$19.0046.9%13.5%35.8%56.2%48.4%-1.6%4.0%870.3K207.0K-357.6K0.447.951,55367780,41445,259
2010-08-25$17.36$19.0046.6%13.4%35.8%55.5%48.0%-1.2%4.4%864.0K-111.6K-360.2K0.429.013,3411,38781,09545,781
2010-08-26$17.41$19.0045.3%13.0%35.8%52.7%46.4%0.1%5.4%885.9K166.6K-364.9K0.1411.644,01357382,31046,900
2010-08-27$17.86$19.0040.6%11.6%37.6%42.9%41.2%0.9%3.8%1.1M-3.7M-370.6K0.727.787,0625,10881,10647,370
2010-08-30$17.81$19.0041.6%11.9%35.6%44.9%43.2%1.1%4.1%1.0M-5.2M-383.7K0.457.032,8461,28185,12851,883
2010-08-31$17.07$19.0042.4%12.1%37.6%46.6%42.6%2.4%4.4%484.8K9.3M-348.9K0.8410.893,5182,96685,67652,257