TXT Options History — October 2010

In October 2010, TXT traded between $20.66 and $21.64. ATM implied volatility averaged 34.5%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.0% (HV 20d: 29.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2010-10-19: Highest Volume — 12,209 contracts
  • 2010-10-14: Largest IV spike — 41.1% change
  • 2010-10-19: Highest IV Rank — 46.4%
  • 2010-10-04: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.12$20.66$21.64$20.75$20.82
Max Pain$19.95$19.00$20.00$19.00$20.00
ATM IV34.5%28.4%42.3%35.3%30.4%
Expected Move10.5%8.1%12.4%10.1%8.7%
HV 20d29.6%20.9%35.5%35.5%20.9%
HV 60d38.7%35.6%43.1%43.1%35.6%
IV Rank30.3%17.3%46.4%31.9%21.5%
IV Percentile17.6%0.8%54.4%13.5%3.2%
Term Structure1.3%-0.1%6.1%6.1%2.5%
VWIV37.3%28.6%43.9%34.7%31.5%
Skew 25d5.5%2.8%7.5%4.0%4.1%
Skew 10d11.6%6.4%15.5%7.5%11.5%
Call IV 25d34.4%27.3%40.2%34.2%29.4%
Put IV 25d39.9%30.9%47.7%38.2%33.5%
Bid-Ask Spread %9.635.2831.387.808.66
Gamma HHI0.180.130.270.200.15
Net GEX915.5K1.4K2.1M897.9K125.2K
Net DEX-49.1M-79.5M-15.7M-50.1M-19.2M
Net VEX-422.4K-445.4K-395.6K-445.4K-430.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.093.040.673.04
Total Volume4,599.42956512,209864565
Total OI145,392.952125,482153,179144,920148,173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$20.75$19.0035.3%10.1%35.5%31.9%34.7%4.0%6.1%897.9K-50.1M-445.4K0.677.8051634879,19665,724
2010-10-04$20.69$20.0039.3%12.4%34.7%40.2%43.9%7.4%0.7%862.4K-49.0M-435.9K1.276.6273293279,26765,822
2010-10-05$21.52$20.0034.8%11.4%33.3%30.9%40.6%7.3%0.6%1.1M-69.8M-429.9K0.505.751,31866079,72366,276
2010-10-06$21.58$20.0035.3%11.5%32.9%31.8%42.1%7.2%0.5%1.2M-71.7M-429.0K0.286.161,09631279,89266,165
2010-10-07$21.21$20.0036.8%12.2%33.9%35.0%39.9%7.3%-0.1%1.2M-63.3M-426.9K0.096.448,67175380,33366,142
2010-10-08$21.62$20.0032.5%11.4%34.0%26.1%42.8%7.0%0.2%1.5M-75.7M-430.6K1.075.281,5441,65584,11366,662
2010-10-11$21.50$20.0038.9%12.1%34.2%39.3%42.2%7.5%-0.1%1.6M-73.7M-436.0K0.395.7588534585,18167,548
2010-10-12$21.47$20.0039.5%12.0%33.6%40.7%41.9%7.1%0.2%1.7M-73.2M-431.7K0.165.871,68627385,49167,668
2010-10-13$21.64$20.0029.4%11.1%33.5%19.4%41.6%6.1%0.3%1.9M-79.5M-419.5K0.587.342,1371,24984,98267,744
2010-10-14$21.33$20.0041.4%11.9%34.0%44.7%42.5%6.9%0.1%2.1M-70.4M-417.7K0.827.921,03484484,58067,862
2010-10-15$21.51$20.0038.5%11.0%34.0%38.6%41.3%5.9%0.1%1.3M-76.6M-410.4K0.679.2699366784,81868,361
2010-10-18$21.26$20.0038.5%11.0%30.3%38.6%40.0%6.2%0.6%923.5K-44.4M-397.9K2.887.421,9955,75371,25754,225
2010-10-19$20.94$20.0042.3%12.1%30.9%46.4%42.6%6.0%-0.1%652.6K-35.4M-411.5K2.1710.833,8498,36072,41659,015
2010-10-20$20.78$20.0034.0%9.7%30.9%29.1%35.5%4.6%2.6%339.4K-27.0M-411.0K2.2411.862,6025,84074,34463,915
2010-10-21$20.96$20.0031.3%9.0%29.0%23.5%31.8%4.3%3.3%430.9K-32.1M-400.9K0.1310.505,11267274,59863,736
2010-10-22$20.95$20.0028.4%8.1%21.1%17.3%28.6%3.6%2.8%677.3K-37.4M-397.7K0.9011.066,4015,73677,38462,541
2010-10-25$20.83$20.0029.3%8.4%21.2%19.2%29.7%2.8%1.7%488.4K-29.2M-435.9K0.3017.083,9311,16577,82271,659
2010-10-26$20.67$20.0029.8%8.6%21.2%20.4%29.7%3.5%1.6%65.7K-18.3M-395.6K0.8131.386,6635,42771,83568,513
2010-10-27$20.76$20.0029.5%8.5%21.0%19.7%29.7%3.3%2.1%157.7K-20.0M-441.9K0.2810.341,37139076,15073,645
2010-10-28$20.66$20.0030.2%8.7%21.0%21.2%30.0%2.9%2.4%1.4K-15.7M-435.6K0.738.941,21489274,61073,864
2010-10-29$20.82$20.0030.4%8.7%20.9%21.5%31.5%4.1%2.5%125.2K-19.2M-430.0K3.048.6614042574,48273,691