TXT Options History — June 2011

In June 2011, TXT traded between $21.02 and $23.61. ATM implied volatility averaged 29.7%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.3% (HV 20d: 26.4%). Max pain ranged from $21.00 to $26.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2011-06-09: Highest Volume — 15,837 contracts
  • 2011-06-08: Largest IV spike — 61.7% change
  • 2011-06-27: Highest IV Rank — 35.0%
  • 2011-06-27: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.10$21.02$23.61$22.32$23.61
Max Pain$21.68$21.00$26.00$26.00$21.00
ATM IV29.7%19.3%33.2%30.4%25.0%
Expected Move8.7%7.2%9.5%8.7%7.2%
HV 20d26.4%25.4%28.8%25.5%26.2%
HV 60d23.8%20.6%26.6%26.6%23.3%
IV Rank23.7%0.0%35.0%14.4%14.3%
IV Percentile27.3%0.0%56.7%26.2%1.6%
Term Structure3.3%1.7%4.9%1.8%4.9%
VWIV30.5%26.9%33.6%28.8%26.9%
Skew 25d4.2%3.0%5.6%3.4%3.7%
Skew 10d10.4%4.1%18.9%4.1%10.3%
Call IV 25d29.4%25.3%31.6%29.2%25.3%
Put IV 25d33.6%29.0%37.2%32.6%29.0%
Bid-Ask Spread %22.3911.1233.8122.3933.03
Gamma HHI0.220.180.270.210.27
Net GEX997.0K-625.1K2.4M688.5K2.3M
Net DEX21.1M-28.6M51.3M34.0M-28.6M
Net VEX-370.0K-384.6K-340.7K-380.7K-384.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.046.190.040.13
Total Volume2,503.36430315,8373,4942,924
Total OI121,752.09190,465150,825134,17997,932

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$22.32$26.0030.4%8.7%25.5%14.4%28.8%3.4%1.8%688.5K34.0M-380.7K0.0422.393,34614858,72975,450
2011-06-02$22.44$26.0030.2%8.7%25.4%14.0%30.5%3.5%1.7%615.1K33.4M-383.6K1.2033.8132138457,58475,477
2011-06-03$21.92$22.0028.9%9.2%26.2%10.9%31.1%3.9%2.1%284.8K39.1M-368.0K1.0823.0114615757,55075,667
2011-06-06$21.88$22.0029.7%9.2%25.5%12.9%32.8%4.2%2.1%162.4K42.1M-361.7K1.5215.7427041057,49475,772
2011-06-07$21.56$22.0019.3%8.8%25.5%0.0%29.8%3.8%2.9%-117.6K45.6M-340.8K5.9119.5811970357,63076,117
2011-06-08$21.21$22.0031.2%9.3%25.5%29.9%31.4%3.8%2.1%-625.1K51.3M-342.9K0.3427.3047816457,61576,674
2011-06-09$21.42$22.0032.3%9.3%26.3%32.7%31.9%3.6%2.7%-324.7K47.9M-340.7K0.1729.1613,5922,24557,91176,496
2011-06-10$21.02$21.0031.2%9.0%26.5%30.0%31.2%4.5%2.5%215.4K46.4M-362.9K0.2911.123,5451,01270,59878,225
2011-06-13$21.20$21.0031.6%9.0%27.2%30.8%33.6%4.4%2.5%431.8K45.4M-361.3K6.1916.992181,35069,88178,932
2011-06-14$21.64$21.0029.0%8.3%28.8%24.3%29.1%3.0%4.1%1.3M37.5M-364.9K1.5831.6145571770,00679,554
2011-06-15$21.38$21.0032.4%9.3%26.8%32.8%31.1%4.4%2.9%801.6K41.9M-361.7K1.8617.716501,20770,23579,912
2011-06-16$21.57$21.0032.7%9.4%26.9%33.6%33.4%5.6%3.3%1.5M38.4M-372.9K0.5924.1798457870,16380,257
2011-06-17$21.74$21.0031.9%9.2%27.2%31.8%31.1%5.0%3.5%2.4M36.0M-376.5K0.7116.3141329270,56380,262
2011-06-20$22.17$21.0030.0%8.6%27.7%26.8%29.9%5.0%4.8%1.1M5.2M-363.9K0.2423.551,37933141,89648,569
2011-06-21$22.88$21.0027.8%8.0%26.3%21.3%29.2%5.1%4.1%1.6M-8.4M-381.9K0.3612.331,15041842,85848,825
2011-06-22$22.68$21.0027.3%7.8%26.2%20.1%27.6%3.3%4.9%1.5M-6.8M-378.3K0.4319.0734314643,44849,146
2011-06-23$22.89$21.0028.2%8.1%26.2%22.4%30.4%5.4%4.8%1.7M-8.9M-381.3K0.6832.4376451743,56649,225
2011-06-24$22.36$21.0032.2%9.2%26.8%32.3%30.6%4.3%4.1%1.4M-1.5M-381.0K0.0618.346,80444144,16949,664
2011-06-27$22.44$21.0033.2%9.5%26.6%35.0%31.4%4.7%2.1%1.4M-2.5M-381.2K1.4418.4819928744,56749,971
2011-06-28$22.69$21.0030.4%8.7%26.1%27.9%30.8%4.0%4.0%1.5M-7.3M-383.8K0.1027.262,17421644,26750,140
2011-06-29$23.21$21.0028.7%8.2%25.6%23.6%28.0%3.4%4.0%2.1M-15.7M-384.6K0.2719.192,41466345,21550,334
2011-06-30$23.61$21.0025.0%7.2%26.2%14.3%26.9%3.7%4.9%2.3M-28.6M-384.6K0.1333.032,59832647,07350,859