TXT Options History — April 2011

In April 2011, TXT traded between $25.51 and $28.11. ATM implied volatility averaged 30.0%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.8% (HV 20d: 25.2%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2011-04-19: Highest Volume — 10,075 contracts
  • 2011-04-20: Largest IV drop — 26.5% change
  • 2011-04-12: Highest IV Rank — 28.5%
  • 2011-04-14: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.55$25.51$28.11$27.40$26.10
Max Pain$26.60$26.00$27.00$27.00$26.00
ATM IV30.0%24.9%35.8%30.4%26.7%
Expected Move9.1%7.1%10.3%8.7%7.7%
HV 20d25.2%15.7%34.5%34.5%16.1%
HV 60d29.6%28.4%30.5%30.2%28.5%
IV Rank16.1%1.4%28.5%21.6%5.7%
IV Percentile17.5%0.8%48.0%17.1%2.4%
Term Structure0.5%-1.0%4.4%4.4%1.9%
VWIV31.7%26.4%36.7%28.1%26.4%
Skew 25d4.7%3.1%6.4%5.1%3.1%
Skew 10d10.6%7.2%15.1%11.9%8.0%
Call IV 25d30.2%25.0%33.7%27.6%25.9%
Put IV 25d34.9%29.0%39.5%32.6%29.0%
Bid-Ask Spread %23.2314.9640.6022.3925.70
Gamma HHI0.140.110.200.160.13
Net GEX610.0K-127.3K1.4M947.4K696.7K
Net DEX-18.5M-44.0M4.4M-33.5M-11.9M
Net VEX-544.7K-604.9K-487.2K-604.9K-508.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.041.570.280.09
Total Volume2,076.121010,0757351,820
Total OI114,730.2108,353119,895113,899119,895

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$27.40$27.0030.4%8.7%34.5%21.6%28.1%5.1%4.4%947.4K-33.5M-604.9K0.2822.3957316248,08665,813
2011-04-04$27.60$27.0029.6%9.9%34.2%19.9%34.3%6.1%-0.5%1.0M-34.9M-586.7K0.0417.851,3465047,24065,849
2011-04-05$28.11$27.0029.7%9.7%33.7%20.2%34.2%6.1%-0.1%1.3M-44.0M-586.2K0.6516.4853034547,42865,879
2011-04-06$28.02$27.0029.0%9.9%33.6%18.7%36.4%5.0%-0.7%1.4M-42.9M-581.2K0.4418.9141318147,39865,659
2011-04-07$27.83$27.0027.9%9.7%30.4%16.3%33.3%5.1%-0.3%1.4M-39.8M-576.8K0.3017.361,63449447,39665,797
2011-04-08$27.17$27.0029.2%10.1%31.8%19.1%35.3%5.5%-0.5%1.0M-30.4M-570.5K0.2323.451,90944848,09665,885
2011-04-11$27.18$27.0033.1%10.1%31.4%27.2%34.1%5.0%-0.8%1.1M-30.1M-578.9K0.1317.353725048,31065,953
2011-04-12$26.88$27.0033.7%10.1%30.0%28.5%34.7%5.4%-1.0%858.8K-25.0M-580.5K0.3924.321515948,55465,933
2011-04-13$26.60$27.0029.8%10.0%28.9%12.6%35.9%5.1%-0.3%471.2K-19.2M-567.8K1.5730.3020331848,31765,880
2011-04-14$26.27$27.0035.8%10.3%29.3%26.4%36.7%6.4%-0.9%89.9K-12.0M-558.1K0.6122.9018211148,41766,007
2011-04-15$26.26$27.0034.0%9.8%29.2%22.4%32.7%5.0%-0.5%9.7K-12.5M-523.0K0.4821.262,6991,29446,76766,039
2011-04-18$25.78$27.0034.4%9.9%23.0%23.2%35.0%4.1%0.2%42.9K-6.3M-524.1K0.6925.7336925443,29265,061
2011-04-19$25.79$26.0033.9%9.7%22.1%22.0%33.0%4.6%-1.0%53.2K-6.3M-509.9K0.3927.967,2332,84243,56065,217
2011-04-20$25.51$26.0024.9%7.1%15.8%1.4%26.6%4.4%2.6%-127.3K4.4M-513.9K1.0640.603,3613,54946,46867,873
2011-04-21$25.58$26.0026.5%7.6%16.0%5.0%26.8%3.2%2.3%254.8K-1.5M-524.1K0.0624.541,78511350,26067,961
2011-04-25$25.55$26.0027.7%7.9%15.7%7.8%27.6%4.1%1.9%195.8K-2.0M-502.2K0.6624.2941927850,06467,990
2011-04-26$25.77$26.0028.2%8.1%16.2%9.0%27.5%3.4%1.0%392.9K-7.5M-507.0K0.1024.512,85928450,34868,042
2011-04-27$25.84$26.0028.0%8.0%16.2%8.5%28.2%3.7%1.4%560.4K-7.3M-503.3K0.6314.9618311550,81868,098
2011-04-28$25.84$26.0026.8%7.7%15.9%5.7%27.1%3.5%1.4%540.2K-6.4M-487.2K0.2823.741,98155350,74868,206
2011-04-29$26.10$26.0026.7%7.7%16.1%5.7%26.4%3.1%1.9%696.7K-11.9M-508.5K0.0925.701,67414651,31468,581