TXT Options History — March 2011

In March 2011, TXT traded between $25.05 and $27.53. ATM implied volatility averaged 33.0%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 2.2% (HV 20d: 35.2%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.79.

Notable Days

  • 2011-03-24: Highest Volume — 16,535 contracts
  • 2011-03-10: Largest IV spike — 23.0% change
  • 2011-03-16: Highest IV Rank — 44.1%
  • 2011-03-16: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.64$25.05$27.53$26.25$27.39
Max Pain$26.87$26.00$27.00$26.00$27.00
ATM IV33.0%29.3%41.1%32.9%30.9%
Expected Move9.6%8.6%11.8%9.4%8.9%
HV 20d35.2%28.8%40.5%29.5%34.8%
HV 60d27.8%24.2%30.7%24.3%30.5%
IV Rank27.0%19.2%44.1%26.9%22.7%
IV Percentile32.4%7.9%70.6%37.3%22.6%
Term Structure2.7%0.7%4.9%1.2%4.5%
VWIV33.4%29.1%41.1%33.0%31.1%
Skew 25d5.1%2.6%7.4%3.2%4.8%
Skew 10d11.3%5.4%14.8%5.4%13.1%
Call IV 25d31.3%28.0%37.9%31.3%28.9%
Put IV 25d36.4%31.3%45.3%34.6%33.6%
Bid-Ask Spread %19.259.9931.7718.0717.93
Gamma HHI0.130.100.240.100.15
Net GEX361.9K-1.3M1.5M429.3K850.1K
Net DEX-27.1M-57.7M9.1M-32.1M-34.1M
Net VEX-588.6K-635.4K-536.3K-617.0K-635.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.053.271.250.05
Total Volume2,369.43536416,5351,6331,401
Total OI118,108.30490,138129,456126,208114,815

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$26.25$26.0032.9%9.4%29.5%26.9%33.0%3.2%1.2%429.3K-32.1M-617.0K1.2518.0772790657,37468,834
2011-03-02$26.27$26.0031.4%9.0%28.8%23.7%31.8%2.8%2.9%347.7K-31.3M-617.7K0.6818.132,8891,97257,36569,129
2011-03-03$27.31$26.0029.9%8.6%32.0%20.6%29.1%2.6%2.8%1.2M-57.7M-621.0K0.2019.211,37827458,67370,524
2011-03-04$26.99$27.0029.9%9.5%31.6%20.5%34.1%4.3%1.1%919.8K-49.3M-615.2K0.1512.1277311858,77470,523
2011-03-07$26.64$27.0031.7%9.7%31.9%24.4%33.6%4.9%1.1%607.6K-41.5M-593.9K0.5613.0525214158,87670,580
2011-03-08$27.32$27.0031.4%9.5%32.4%23.6%31.6%4.7%1.4%1.2M-54.9M-599.7K0.1712.1590715358,41570,601
2011-03-09$27.53$27.0029.3%9.2%32.5%19.2%32.5%4.8%2.4%1.5M-51.5M-596.5K0.209.991,39427656,11370,680
2011-03-10$26.49$27.0036.0%10.3%34.6%33.3%34.0%5.0%0.9%441.9K-29.9M-596.2K0.5112.1735518156,15970,909
2011-03-11$26.66$27.0033.9%9.7%34.6%28.9%33.0%5.6%2.1%572.6K-32.5M-593.3K0.2224.172996556,33771,029
2011-03-14$26.33$27.0036.0%10.3%34.1%33.3%35.5%5.3%1.5%236.8K-26.3M-582.6K1.7713.7417530956,47371,021
2011-03-15$25.63$27.0037.7%10.8%35.2%36.9%41.1%6.3%0.7%-489.7K-5.9M-575.2K2.9612.826241,84656,50471,132
2011-03-16$25.05$27.0041.1%11.8%35.6%44.1%41.1%7.4%1.5%-949.0K9.1M-566.2K1.6521.0140967456,53571,073
2011-03-17$25.30$27.0039.3%11.3%35.4%40.2%36.8%7.3%1.0%-1.3M5.3M-558.8K3.2725.8728392656,61271,553
2011-03-18$25.50$27.0037.3%10.7%35.2%36.0%35.7%6.7%1.3%-696.7K3.9M-554.4K0.9225.8256652156,73671,199
2011-03-21$26.87$27.0030.7%8.8%40.5%22.3%32.2%6.1%4.3%41.2K-19.1M-555.3K0.3131.771,74053834,29055,848
2011-03-22$26.37$27.0032.4%9.3%38.0%25.8%31.9%5.9%4.3%-19.6K-15.7M-536.3K1.1627.8458467834,54356,164
2011-03-23$27.47$27.0031.2%9.0%39.7%23.3%29.8%4.9%4.4%177.9K-25.2M-543.5K0.0523.464,99723234,78956,602
2011-03-24$27.31$27.0030.2%8.7%39.8%21.2%29.5%5.3%4.6%664.3K-29.6M-556.4K0.9921.478,3018,23439,32556,778
2011-03-25$27.01$27.0030.6%8.8%39.1%22.0%31.8%5.5%4.9%598.5K-26.9M-602.6K0.3916.3767026445,61164,750
2011-03-28$26.91$27.0031.7%9.1%39.1%24.4%32.1%4.9%4.0%611.9K-24.7M-605.1K0.2317.224159446,10164,389
2011-03-29$26.99$27.0031.4%9.0%37.3%23.8%30.9%5.1%4.4%632.5K-24.7M-608.7K0.2727.123629846,42564,885
2011-03-30$27.15$27.0031.4%9.0%37.4%23.6%35.8%5.0%4.0%724.2K-28.5M-607.0K0.2521.245,2051,29146,55964,884
2011-03-31$27.39$27.0030.9%8.9%34.8%22.7%31.1%4.8%4.5%850.1K-34.1M-635.4K0.0517.931,3336849,04765,768