TXT Options History — January 2011

In January 2011, TXT traded between $23.75 and $27.14. ATM implied volatility averaged 33.3%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 13.1% (HV 20d: 20.2%). Max pain ranged from $22.50 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.58.

Notable Days

  • 2011-01-18: Highest Volume — 29,767 contracts
  • 2011-01-13: Largest IV spike — 29.2% change
  • 2011-01-20: Highest IV Rank — 40.9%
  • 2011-01-20: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.47$23.75$27.14$24.01$26.29
Max Pain$24.30$22.50$26.00$22.50$25.00
ATM IV33.3%27.0%39.6%31.9%31.3%
Expected Move9.9%8.4%11.4%9.1%9.0%
HV 20d20.2%16.4%25.0%17.5%25.0%
HV 60d22.8%21.8%24.0%21.9%24.0%
IV Rank27.6%14.5%40.9%24.8%23.5%
IV Percentile25.6%0.8%56.3%18.7%16.7%
Term Structure0.1%-3.2%5.0%3.8%0.3%
VWIV34.5%29.2%39.7%32.8%30.8%
Skew 25d4.8%3.8%6.6%4.3%4.5%
Skew 10d10.5%7.5%14.2%12.1%8.9%
Call IV 25d32.4%27.1%37.1%31.0%29.1%
Put IV 25d37.2%32.5%42.3%35.2%33.6%
Bid-Ask Spread %11.478.4114.9610.9210.03
Gamma HHI0.240.160.300.270.20
Net GEX1.4M906.5K2.3M1.0M1.5M
Net DEX-57.1M-107.0M-32.4M-46.6M-32.4M
Net VEX-405.6K-481.4K-308.5K-308.5K-476.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.580.0747.211.600.31
Total Volume5,222.769829,7679651,257
Total OI125,300.3102,467158,926111,618114,412

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$24.01$22.5031.9%9.1%17.5%24.8%32.8%4.3%3.8%1.0M-46.6M-308.5K1.6010.9237159451,27160,347
2011-01-04$23.75$22.5031.8%9.1%16.4%24.4%35.0%4.3%4.4%906.5K-41.2M-308.5K6.599.439015,93950,71760,143
2011-01-05$24.29$22.5030.8%8.8%17.9%22.4%29.2%4.8%5.0%1.1M-49.4M-330.3K0.1610.381,34121050,95165,159
2011-01-06$24.46$22.5031.8%9.1%17.9%24.4%31.8%5.2%4.8%1.1M-53.8M-320.6K1.038.411,0061,03751,20865,217
2011-01-07$24.19$24.0030.4%10.3%18.5%21.5%37.2%5.0%-0.4%1.1M-48.7M-324.7K2.5213.6120150751,66365,558
2011-01-10$24.33$24.0031.7%10.5%18.1%24.4%36.1%5.2%-0.6%1.3M-51.5M-312.6K2.9312.163901,14351,74565,703
2011-01-11$24.34$24.0030.5%10.3%17.8%21.7%34.7%4.9%-0.5%1.3M-52.3M-314.4K47.2113.0436317,13651,98166,411
2011-01-12$24.92$24.0027.0%10.1%19.3%14.5%34.5%3.8%-0.6%1.5M-58.6M-403.6K0.4513.443,7751,69752,14880,964
2011-01-13$25.20$24.0034.9%10.0%18.0%31.0%35.0%3.9%-0.2%1.5M-60.7M-479.0K0.5812.7744325553,84091,076
2011-01-14$25.34$24.0034.8%10.0%17.8%30.8%34.3%3.9%-0.3%1.7M-65.7M-471.5K0.3812.2951919753,73691,090
2011-01-18$26.01$24.0036.2%10.4%19.2%33.8%35.6%4.2%-1.7%1.2M-84.8M-376.2K0.379.2021,7538,01453,79582,417
2011-01-19$25.46$25.0039.2%11.2%21.2%39.9%37.5%5.2%-3.1%2.3M-76.4M-455.7K0.079.504,69534964,94289,586
2011-01-20$26.05$25.0039.6%11.4%22.0%40.9%39.7%5.2%-3.0%2.0M-96.3M-451.6K0.5310.951,8911,00568,58489,672
2011-01-21$26.63$25.0038.1%10.9%22.2%37.6%38.7%4.0%-3.2%1.6M-107.0M-442.1K1.079.542,7502,94268,93989,987
2011-01-24$27.14$25.0037.9%10.9%21.9%37.3%38.5%5.3%-3.2%1.3M-50.0M-433.2K1.6613.793,0725,08541,23561,232
2011-01-25$27.07$25.0037.3%10.7%22.2%36.1%37.4%6.6%-3.0%1.2M-46.8M-464.6K0.8614.963,4532,97943,15865,988
2011-01-26$26.67$26.0029.2%8.4%23.1%19.1%29.7%6.3%1.2%1.5M-40.4M-479.8K0.2713.483,9061,04944,93968,121
2011-01-27$26.98$26.0029.3%8.4%22.4%19.3%31.2%5.3%0.8%1.5M-46.7M-477.1K2.6511.9427272045,57468,367
2011-01-28$26.32$26.0031.6%9.1%24.9%24.2%31.1%4.2%0.4%1.3M-32.7M-481.4K0.419.6488035745,55768,573
2011-01-31$26.29$25.0031.3%9.0%25.0%23.5%30.8%4.5%0.3%1.5M-32.4M-476.2K0.3110.0396229545,98568,427