TXT Options History — February 2011

In February 2011, TXT traded between $26.50 and $28.50. ATM implied volatility averaged 29.0%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 3.8% (HV 20d: 25.1%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.66.

Notable Days

2011-02-01: Highest Volume — 16,905 contracts
2011-02-10: Largest IV spike — 22.9% change
2011-02-24: Highest IV Rank — 29.6%
2011-02-24: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.37	$26.50	$28.50	$26.75	$27.09
Max Pain	$25.84	$25.00	$26.00	$25.00	$26.00
ATM IV	29.0%	24.3%	34.3%	29.3%	30.6%
Expected Move	8.6%	7.9%	9.8%	8.4%	8.8%
HV 20d	25.1%	21.3%	28.6%	25.1%	27.1%
HV 60d	23.2%	22.4%	24.0%	23.7%	23.5%
IV Rank	18.6%	8.8%	29.6%	19.3%	22.1%
IV Percentile	11.5%	0.8%	41.3%	4.0%	18.3%
Term Structure	2.3%	1.1%	3.0%	1.6%	1.9%
VWIV	30.4%	28.2%	34.3%	28.5%	30.4%
Skew 25d	3.2%	1.8%	5.0%	5.0%	3.0%
Skew 10d	7.4%	4.1%	13.6%	11.7%	6.2%
Call IV 25d	28.9%	25.8%	33.8%	28.2%	29.6%
Put IV 25d	32.1%	29.6%	36.3%	33.2%	32.6%
Bid-Ask Spread %	16.53	11.71	26.75	14.97	21.50
Gamma HHI	0.21	0.11	0.30	0.22	0.12
Net GEX	2.3M	629.0K	3.5M	1.8M	947.6K
Net DEX	-71.7M	-119.6M	-38.1M	-43.6M	-50.1M
Net VEX	-629.5K	-690.8K	-468.5K	-468.5K	-609.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.00	3.35	0.01	0.99
Total Volume	3,007.947	349	16,905	16,905	1,665
Total OI	130,413.316	115,197	143,169	115,197	124,870

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$26.75	$25.00	29.3%	8.4%	25.1%	19.3%	28.5%	5.0%	1.6%	1.8M	-43.6M	-468.5K	0.01	14.97	16,707	198	46,672	68,525
2011-02-02	$26.77	$25.00	28.4%	8.2%	24.4%	17.5%	28.7%	4.9%	2.2%	2.3M	-59.5M	-690.6K	0.09	12.80	1,375	126	62,708	68,633
2011-02-03	$27.29	$25.00	27.6%	7.9%	24.1%	15.7%	28.6%	3.9%	3.0%	2.8M	-73.1M	-690.8K	3.35	12.23	853	2,861	63,455	68,587
2011-02-04	$27.20	$26.00	25.4%	8.5%	24.3%	11.2%	30.3%	3.0%	2.8%	2.5M	-70.2M	-676.3K	0.06	11.71	3,382	204	62,760	71,162
2011-02-07	$27.74	$26.00	25.6%	8.3%	24.0%	11.6%	32.1%	3.4%	2.4%	2.7M	-84.3M	-641.7K	0.57	12.23	348	197	61,970	70,612
2011-02-08	$27.91	$26.00	24.6%	8.4%	24.0%	9.5%	29.5%	3.2%	2.1%	2.5M	-87.5M	-637.2K	0.70	11.84	508	354	61,844	70,698
2011-02-09	$27.37	$26.00	24.3%	8.3%	25.7%	8.8%	29.9%	3.5%	3.0%	2.9M	-75.7M	-656.5K	0.21	14.36	799	168	62,079	70,633
2011-02-10	$27.14	$26.00	29.8%	8.5%	25.3%	20.4%	29.1%	3.3%	1.7%	3.2M	-66.8M	-640.8K	0.61	15.43	481	295	61,968	70,771
2011-02-11	$27.60	$26.00	28.8%	8.3%	25.6%	18.2%	29.9%	3.6%	2.6%	3.5M	-83.3M	-626.0K	0.70	14.02	435	305	61,925	71,014
2011-02-14	$27.39	$26.00	30.1%	8.6%	26.0%	20.9%	28.8%	3.0%	2.1%	3.4M	-77.9M	-635.3K	0.63	16.91	579	365	62,017	71,158
2011-02-15	$27.61	$26.00	28.0%	8.0%	24.7%	16.5%	30.7%	3.2%	2.6%	3.4M	-86.3M	-623.6K	0.59	17.05	382	224	62,323	71,352
2011-02-16	$27.96	$26.00	28.1%	8.1%	23.1%	16.8%	28.2%	2.4%	2.8%	3.1M	-97.5M	-602.8K	0.00	20.00	15,332	14	62,507	71,541
2011-02-17	$28.32	$26.00	28.2%	8.1%	22.3%	17.1%	31.4%	1.8%	3.0%	3.1M	-106.6M	-622.6K	2.20	18.33	620	1,363	66,557	71,540
2011-02-18	$28.50	$26.00	29.9%	8.6%	21.3%	20.6%	30.2%	2.5%	2.2%	2.2M	-119.6M	-625.7K	0.06	15.29	1,089	65	70,893	72,276
2011-02-22	$27.26	$26.00	32.7%	9.4%	26.5%	26.3%	32.2%	2.9%	1.7%	945.1K	-53.4M	-616.0K	0.41	19.74	2,127	864	55,002	67,485
2011-02-23	$26.57	$26.00	34.1%	9.8%	28.0%	29.3%	34.3%	2.5%	1.1%	665.1K	-38.4M	-627.4K	0.64	21.21	945	604	55,824	67,719
2011-02-24	$26.50	$26.00	34.3%	9.8%	27.5%	29.6%	34.0%	3.2%	1.9%	629.0K	-38.1M	-633.3K	0.47	26.75	238	111	56,318	68,050
2011-02-25	$27.15	$26.00	30.8%	8.8%	28.6%	22.5%	31.5%	3.2%	2.6%	985.0K	-50.5M	-635.4K	0.19	17.80	812	156	56,327	68,078
2011-02-28	$27.09	$26.00	30.6%	8.8%	27.1%	22.1%	30.4%	3.0%	1.9%	947.6K	-50.1M	-609.4K	0.99	21.50	837	828	56,685	68,185