TXT Options History — May 2011

In May 2011, TXT traded between $22.09 and $25.91. ATM implied volatility averaged 30.3%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 12.3% (HV 20d: 18.1%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2011-05-24: Highest Volume — 15,325 contracts
  • 2011-05-06: Largest IV spike — 29.0% change
  • 2011-05-06: Highest IV Rank — 30.8%
  • 2011-05-06: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.93$22.09$25.91$25.91$22.88
Max Pain$26.52$26.00$27.00$26.00$26.00
ATM IV30.3%27.5%37.7%27.5%28.9%
Expected Move8.7%7.9%10.3%7.9%8.3%
HV 20d18.1%14.2%25.1%16.1%25.1%
HV 60d27.6%26.0%28.5%28.2%26.3%
IV Rank14.1%7.5%30.8%7.5%11.0%
IV Percentile22.4%4.4%59.9%4.4%11.5%
Term Structure2.6%-0.4%4.6%1.1%1.7%
VWIV30.2%27.1%35.6%27.1%28.8%
Skew 25d3.3%2.0%5.2%3.2%2.8%
Skew 10d7.1%3.0%12.8%6.1%7.6%
Call IV 25d29.6%27.0%34.6%27.0%28.7%
Put IV 25d32.8%29.9%38.5%30.2%31.5%
Bid-Ask Spread %24.1313.5035.5220.3927.32
Gamma HHI0.160.110.220.130.22
Net GEX-47.7K-955.1K1.0M617.7K1.0M
Net DEX24.3M-8.6M51.2M-8.6M26.2M
Net VEX-436.5K-507.5K-360.7K-482.0K-391.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0128.253.270.15
Total Volume3,383.71435415,325722999
Total OI128,994.286114,294136,202119,962133,741

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$25.91$26.0027.5%7.9%16.1%7.5%27.1%3.2%1.1%617.7K-8.6M-482.0K3.2720.3916955351,30168,661
2011-05-03$25.40$26.0028.5%8.2%16.7%9.7%28.7%2.9%2.5%117.2K1.7M-474.8K0.2518.851,94848351,36068,983
2011-05-04$24.94$26.0028.1%8.0%15.2%8.7%29.3%4.4%2.3%-444.8K12.3M-458.1K0.1227.132,09726051,15169,208
2011-05-05$24.71$26.0029.2%8.4%15.2%11.4%29.7%5.2%0.9%-578.6K16.1M-450.8K2.3831.731,7904,25951,12069,134
2011-05-06$24.99$27.0037.7%10.3%16.4%30.8%35.6%3.9%-0.4%-228.1K10.7M-502.4K0.0328.3413,41535851,20372,731
2011-05-09$24.98$27.0034.3%9.8%14.9%22.9%33.7%3.3%0.8%790.1K5.4M-507.5K0.0730.212,32317461,04172,754
2011-05-10$24.97$27.0031.3%9.1%14.9%16.1%31.6%2.5%2.5%546.1K8.8M-494.4K0.6825.9894563860,41272,755
2011-05-11$24.84$27.0030.5%8.9%14.7%14.4%30.9%3.3%3.0%362.2K12.9M-496.4K0.0427.211,7967961,07973,146
2011-05-12$24.81$27.0029.1%8.4%14.5%11.1%28.7%2.7%4.5%433.7K13.3M-481.1K0.0634.153,00218361,56373,178
2011-05-13$24.61$27.0028.9%8.3%14.2%10.5%28.4%4.0%4.6%-191.2K21.2M-459.4K1.0415.7324125060,33773,280
2011-05-16$24.30$27.0029.8%8.6%14.6%12.8%29.1%3.8%4.3%-690.3K27.6M-442.8K0.5935.521,24873560,43673,449
2011-05-17$23.45$27.0031.3%9.0%17.8%16.1%30.8%3.6%3.8%-756.9K40.7M-416.8K0.4218.371,03643161,34674,126
2011-05-18$23.62$27.0029.8%8.5%18.2%12.6%30.2%4.0%3.5%-718.9K38.5M-419.5K2.0017.475021,00361,81874,196
2011-05-19$23.42$27.0029.8%8.5%18.1%12.7%28.7%3.8%3.8%-632.4K41.6M-413.2K28.2521.421143,22161,92474,278
2011-05-20$22.98$27.0030.2%8.7%18.6%14.1%29.3%4.3%3.4%-955.1K51.2M-360.7K0.0613.503,31020855,82777,241
2011-05-23$22.09$26.0032.5%9.3%22.1%19.4%32.6%2.3%1.9%-805.0K47.1M-361.3K1.0516.3486691341,05373,241
2011-05-24$22.38$26.0032.1%9.2%22.6%18.4%31.5%2.0%2.5%-708.0K45.5M-360.9K0.0131.3015,20911641,64673,795
2011-05-25$22.62$26.0029.3%8.4%23.2%11.7%30.5%2.0%2.2%650.2K29.8M-402.9K0.8717.412,5522,23256,27673,828
2011-05-26$22.24$26.0029.9%8.6%23.3%13.3%30.6%2.3%2.3%441.3K35.3M-393.5K0.3925.2375529157,61275,069
2011-05-27$22.47$26.0028.5%8.2%23.4%10.1%27.9%2.0%3.2%746.1K32.0M-396.3K0.3823.082579758,23075,351
2011-05-31$22.88$26.0028.9%8.3%25.1%11.0%28.8%2.8%1.7%1.0M26.2M-391.7K0.1527.3287212758,32375,418