TXT Options History — September 2010

In September 2010, TXT traded between $18.10 and $20.88. ATM implied volatility averaged 37.6%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 3.7% (HV 20d: 41.3%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2010-09-23: Highest Volume — 16,161 contracts
  • 2010-09-07: Largest IV spike — 21.4% change
  • 2010-09-13: Highest IV Rank — 42.3%
  • 2010-09-07: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.48$18.10$20.88$18.10$20.56
Max Pain$17.62$17.00$19.00$19.00$19.00
ATM IV37.6%32.9%40.3%37.7%36.7%
Expected Move11.0%9.8%12.6%10.8%10.5%
HV 20d41.3%35.7%46.9%43.9%35.7%
HV 60d48.0%43.1%50.3%49.7%43.1%
IV Rank36.7%26.7%42.3%36.9%34.7%
IV Percentile22.6%8.7%34.1%21.4%19.4%
Term Structure5.6%4.3%6.8%5.4%5.2%
VWIV39.2%35.7%45.3%38.4%38.2%
Skew 25d4.9%1.0%6.1%1.3%4.5%
Skew 10d10.1%1.1%13.1%1.1%8.9%
Call IV 25d36.7%32.7%41.5%38.9%35.3%
Put IV 25d41.6%37.8%47.7%40.2%39.8%
Bid-Ask Spread %6.704.579.268.589.26
Gamma HHI0.260.170.370.250.19
Net GEX1.7M681.0K3.0M1.3M848.0K
Net DEX-32.2M-54.3M-9.6M-9.6M-45.3M
Net VEX-400.8K-451.1K-361.6K-389.5K-448.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.074.760.071.99
Total Volume4,484.5711,08416,1613,8261,084
Total OI138,157.524107,282144,319140,411144,319

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$18.10$19.0037.7%10.8%43.9%36.9%38.4%1.3%5.4%1.3M-9.6M-389.5K0.078.583,56925787,17453,237
2010-09-02$18.41$18.0036.8%10.5%44.8%34.9%38.8%1.0%5.5%1.6M-14.6M-393.5K0.206.411,14722988,17253,349
2010-09-03$18.91$17.0032.9%11.4%45.8%26.7%41.8%5.3%5.8%2.2M-27.1M-403.8K3.166.971,8345,79088,34853,350
2010-09-07$18.24$17.0039.9%12.6%46.9%41.4%45.3%6.1%4.7%1.6M-11.6M-378.3K0.917.601,6551,50689,46652,283
2010-09-08$18.66$17.0036.6%12.0%46.1%34.7%41.8%5.8%6.0%2.0M-21.7M-391.8K0.336.395,4151,79989,25953,053
2010-09-09$18.60$17.0040.2%11.5%41.3%42.1%42.0%5.8%6.7%2.1M-20.1M-383.8K0.406.521,79371490,44253,069
2010-09-10$18.90$17.0039.9%11.4%40.3%41.4%40.2%5.6%6.6%2.4M-27.1M-388.1K0.207.091,40728289,99752,840
2010-09-13$19.18$17.0040.3%11.5%40.1%42.3%39.7%5.9%5.9%3.0M-34.1M-382.8K0.254.572,71068790,47352,721
2010-09-14$18.94$17.0039.3%11.3%39.9%40.3%38.9%5.9%6.5%2.6M-25.8M-367.4K0.265.031,00126190,11952,805
2010-09-15$18.91$17.0039.2%11.2%38.7%40.0%40.9%5.7%6.1%2.7M-25.3M-361.6K0.194.592,02238190,19352,809
2010-09-16$19.24$17.0038.6%11.1%38.8%38.8%38.6%5.4%6.8%2.7M-34.0M-368.3K0.226.281,36430390,76452,988
2010-09-17$19.22$17.0040.2%11.5%37.2%42.0%38.7%5.7%5.2%3.0M-34.7M-368.7K0.247.004,5341,10291,29352,962
2010-09-20$20.19$17.0037.8%10.8%40.0%37.1%36.9%5.8%5.1%977.5K-39.3M-374.7K0.397.249,4733,69364,43742,845
2010-09-21$20.29$17.0037.1%10.7%38.1%35.7%36.8%5.9%4.3%1.3M-44.3M-394.5K4.766.751,8818,95071,92046,113
2010-09-22$20.16$17.0036.4%10.4%38.4%34.2%37.3%5.1%5.4%920.5K-36.5M-422.2K3.335.048092,69372,51054,525
2010-09-23$19.60$17.0037.2%10.7%40.3%35.9%38.8%4.6%5.2%905.5K-25.8M-408.4K1.978.855,44310,71873,02052,888
2010-09-24$20.74$19.0034.4%9.8%44.0%29.9%35.7%5.1%5.5%681.0K-46.4M-451.1K0.515.911,54378376,25564,737
2010-09-27$20.76$19.0035.6%10.2%43.6%32.5%38.2%4.5%5.3%902.6K-50.0M-446.4K0.796.7195575777,74063,217
2010-09-28$20.88$19.0036.7%10.5%43.5%34.7%36.6%4.1%5.3%938.7K-54.3M-444.8K0.797.651,3151,03578,45763,693
2010-09-29$20.68$19.0036.4%10.4%39.8%34.2%38.7%4.0%5.0%913.7K-48.2M-449.1K1.816.3645682679,00864,458
2010-09-30$20.56$19.0036.7%10.5%35.7%34.7%38.2%4.5%5.2%848.0K-45.3M-448.3K1.999.2636372179,15065,169