TXT Options History — December 2010

In December 2010, TXT traded between $22.98 and $23.98. ATM implied volatility averaged 30.3%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.8% (HV 20d: 24.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2010-12-02: Highest Volume — 6,134 contracts
  • 2010-12-06: Largest IV spike — 10.7% change
  • 2010-12-06: Highest IV Rank — 27.2%
  • 2010-12-06: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.48$22.98$23.98$22.98$23.64
Max Pain$22.09$20.00$22.50$20.00$22.50
ATM IV30.3%27.3%33.1%30.9%31.8%
Expected Move8.9%7.8%10.2%8.9%9.1%
HV 20d24.5%17.3%28.8%28.4%17.3%
HV 60d25.4%22.1%27.8%27.6%22.1%
IV Rank21.3%15.1%27.2%22.7%24.5%
IV Percentile7.6%0.8%19.8%7.5%18.3%
Term Structure4.3%2.3%6.3%4.3%4.0%
VWIV31.3%27.7%34.6%32.2%33.4%
Skew 25d4.0%3.1%5.0%3.6%4.7%
Skew 10d8.4%6.5%12.6%7.9%9.4%
Call IV 25d29.8%26.8%32.6%29.9%31.1%
Put IV 25d33.8%30.4%37.6%33.6%35.8%
Bid-Ask Spread %14.936.9820.1520.156.98
Gamma HHI0.220.150.280.150.25
Net GEX1.2M633.1K1.7M1.4M890.5K
Net DEX-62.2M-89.1M-33.9M-67.8M-40.5M
Net VEX-303.5K-336.7K-274.4K-324.4K-297.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.164.290.233.88
Total Volume2,136.8183476,1341,7884,661
Total OI120,765.22798,408134,720126,559107,543

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$22.98$20.0030.9%8.9%28.4%22.7%32.2%3.6%4.3%1.4M-67.8M-324.4K0.2320.151,44834065,67560,884
2010-12-02$23.40$20.0031.5%9.0%28.8%23.9%30.9%3.7%2.5%1.3M-76.1M-324.6K0.1619.145,28485065,70960,906
2010-12-03$23.70$20.0029.9%8.6%27.8%20.5%30.7%3.1%3.7%1.6M-85.4M-331.1K0.7513.472,9262,18770,39661,497
2010-12-06$23.23$22.5033.1%10.2%28.3%27.2%34.6%5.0%2.3%1.5M-75.2M-336.7K0.7413.821,4101,04671,34163,331
2010-12-07$23.15$21.0031.6%9.9%28.4%24.2%32.5%4.2%3.0%1.7M-76.7M-328.4K0.2015.543,52269372,18562,535
2010-12-08$23.08$22.5030.7%9.8%27.9%22.3%33.0%4.2%3.2%1.7M-67.7M-326.8K0.7314.3023717469,57962,789
2010-12-09$23.09$22.5029.6%9.6%27.6%20.0%33.6%3.9%3.0%1.7M-68.5M-321.7K2.0313.3226754169,63362,864
2010-12-10$23.40$22.5029.5%9.0%27.1%19.7%33.2%4.2%4.2%1.7M-75.9M-312.7K1.2613.2343754969,66663,038
2010-12-13$23.66$22.5031.9%9.2%25.2%24.8%33.3%4.0%3.1%1.6M-83.4M-304.4K0.4116.0989436469,74963,201
2010-12-14$23.89$22.5031.6%8.8%24.6%24.1%31.6%3.3%3.8%1.7M-89.1M-295.9K0.3216.3754817469,67963,291
2010-12-15$23.47$22.5031.2%9.0%25.0%23.4%31.9%4.3%4.7%1.4M-79.2M-293.3K1.0814.9850354569,69962,924
2010-12-16$23.35$22.5030.9%8.8%25.3%22.5%31.3%4.3%5.1%1.3M-76.6M-289.6K0.2816.2543412369,73363,254
2010-12-17$23.29$22.5030.1%8.6%24.2%20.9%30.5%4.0%5.1%633.1K-77.2M-284.9K0.9315.361,2151,12469,62063,235
2010-12-20$23.59$22.5028.4%8.1%24.4%17.5%28.5%3.9%4.8%735.9K-39.0M-274.4K0.2413.682,54059846,67951,729
2010-12-21$23.49$22.5027.4%7.9%24.5%15.3%27.9%3.8%6.3%855.1K-39.0M-280.3K4.2914.548453,62948,62351,723
2010-12-22$23.31$22.5027.3%7.8%24.4%15.1%28.0%4.0%6.2%716.0K-33.9M-295.0K0.9814.6327126649,18355,132
2010-12-23$23.84$22.5027.8%8.0%21.3%16.1%27.7%3.6%5.1%919.5K-43.1M-291.8K0.8617.6075765149,16055,306
2010-12-27$23.98$22.5029.8%8.6%20.0%20.4%30.6%3.3%4.9%977.1K-46.6M-286.4K0.4515.611,04746949,60055,825
2010-12-28$23.89$22.5030.9%8.9%19.9%22.7%31.9%4.2%4.9%964.9K-45.7M-292.4K0.6715.2496164150,31455,908
2010-12-29$23.64$22.5030.0%8.6%20.4%20.7%31.8%3.9%5.0%901.9K-41.4M-291.3K3.6613.673201,17250,33755,901
2010-12-30$23.57$22.5030.1%8.6%18.3%21.1%30.0%3.8%4.7%872.2K-40.1M-293.4K0.3714.492539450,49556,964
2010-12-31$23.64$22.5031.8%9.1%17.3%24.5%33.4%4.7%4.0%890.5K-40.5M-297.7K3.886.989553,70650,55156,992