TXT Options History — November 2010

In November 2010, TXT traded between $20.78 and $22.73. ATM implied volatility averaged 32.3%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 9.4% (HV 20d: 22.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2010-11-03: Highest Volume — 24,371 contracts
  • 2010-11-19: Largest IV drop — 8.9% change
  • 2010-11-12: Highest IV Rank — 30.6%
  • 2010-11-12: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.80$20.78$22.73$20.78$22.36
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV32.3%30.0%34.7%30.4%34.2%
Expected Move9.3%8.6%10.0%8.7%9.8%
HV 20d22.9%18.9%28.8%20.9%28.8%
HV 60d31.7%28.4%35.8%35.2%28.4%
IV Rank25.7%20.9%30.6%21.6%29.5%
IV Percentile11.8%2.8%21.8%3.6%21.8%
Term Structure2.6%0.2%5.5%2.6%1.5%
VWIV33.1%29.4%40.7%31.4%33.8%
Skew 25d3.9%-0.1%5.7%3.4%4.3%
Skew 10d9.4%0.9%13.4%10.1%10.8%
Call IV 25d31.0%28.1%33.2%29.9%32.3%
Put IV 25d34.9%31.5%37.9%33.3%36.5%
Bid-Ask Spread %14.039.9019.2912.5316.66
Gamma HHI0.190.150.270.160.15
Net GEX1.5M33.6K2.7M33.6K1.4M
Net DEX-52.7M-89.6M-18.7M-18.7M-54.9M
Net VEX-373.5K-423.0K-321.9K-415.5K-321.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.047.550.617.55
Total Volume2,977.52416024,3711,3023,796
Total OI146,693.476122,238160,624148,115122,973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$20.78$20.0030.4%8.7%20.9%21.6%31.4%3.4%2.6%33.6K-18.7M-415.5K0.6112.5381049274,41573,700
2010-11-02$21.43$20.0031.8%9.1%18.9%24.5%31.5%1.5%1.8%576.7K-37.5M-417.6K0.0510.385,06726774,54073,759
2010-11-03$21.62$20.0032.9%9.4%19.1%26.7%33.3%-0.1%0.2%1.2M-50.6M-412.8K0.199.9020,4093,96277,66973,873
2010-11-04$22.19$20.0030.7%8.8%20.1%22.3%30.3%0.9%1.6%2.1M-69.8M-423.0K1.2813.172,0632,63882,77875,471
2010-11-05$22.61$20.0030.6%9.1%20.0%22.0%32.1%3.8%3.1%2.5M-85.9M-409.0K0.8311.401,6391,36882,79975,561
2010-11-08$22.73$20.0032.2%9.2%19.8%25.4%32.9%3.8%3.1%2.7M-89.6M-396.3K0.4914.0681640082,86574,676
2010-11-09$22.44$20.0033.4%9.6%20.6%27.8%33.4%4.4%1.7%2.4M-78.9M-404.8K0.4612.2551723682,44174,669
2010-11-10$22.22$20.0032.2%9.3%20.9%25.4%33.0%3.6%2.5%2.5M-74.4M-386.2K0.8413.531,7671,48682,33774,772
2010-11-11$21.87$20.0032.0%9.2%21.0%25.0%34.2%4.2%2.6%2.3M-63.0M-391.8K1.6710.436010082,48774,917
2010-11-12$21.36$20.0034.7%10.0%22.6%30.6%40.7%4.6%2.8%1.4M-46.2M-393.8K1.6016.7726542382,45474,941
2010-11-15$21.15$20.0034.6%9.9%22.5%30.4%36.0%4.9%2.7%1.2M-41.0M-374.9K1.7218.2320835882,49575,085
2010-11-16$20.84$20.0034.0%9.7%22.4%29.0%35.0%5.4%2.9%170.8K-27.4M-367.7K0.9813.211,1851,15882,44175,336
2010-11-17$20.92$20.0033.4%9.6%22.3%27.8%34.2%4.7%3.3%243.1K-31.1M-357.9K3.2812.9817758082,03875,799
2010-11-18$21.48$20.0033.0%9.5%24.0%27.0%31.7%4.6%3.1%2.2M-46.8M-356.6K0.0413.653,43613682,01176,182
2010-11-19$21.60$20.0030.0%8.6%24.1%20.9%32.9%4.5%5.5%2.0M-52.7M-353.6K1.5114.8534151584,38076,244
2010-11-22$21.73$20.0031.5%9.0%23.9%23.9%31.8%5.7%3.1%1.3M-42.9M-334.9K0.4514.341,59371465,32756,911
2010-11-23$21.53$20.0031.4%9.0%24.0%23.6%32.5%4.7%4.6%1.2M-36.7M-339.9K0.3113.9059918665,70757,460
2010-11-24$22.44$20.0030.4%8.7%27.8%21.7%29.4%4.0%3.1%1.4M-57.4M-333.2K0.1514.971,76026865,83257,482
2010-11-26$22.06$20.0032.5%9.3%28.6%25.9%32.2%4.3%2.0%1.4M-48.1M-328.1K0.4518.1622710265,34957,487
2010-11-29$22.35$20.0033.5%9.6%28.8%28.0%33.9%4.0%1.7%1.4M-53.2M-324.0K0.1719.293446065,34957,551
2010-11-30$22.36$20.0034.2%9.8%28.8%29.5%33.8%4.3%1.5%1.4M-54.9M-321.9K7.5516.664443,35265,41157,562