TXT Options History — July 2011

In July 2011, TXT traded between $21.44 and $24.78. ATM implied volatility averaged 35.2%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 5.8% (HV 20d: 41.0%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2011-07-20: Highest Volume — 14,090 contracts
  • 2011-07-05: Largest IV spike — 38.0% change
  • 2011-07-29: Highest IV Rank — 77.2%
  • 2011-07-29: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.14$21.44$24.78$23.94$23.13
Max Pain$22.00$21.00$23.00$21.00$23.00
ATM IV35.2%25.2%42.1%25.2%42.1%
Expected Move10.1%7.2%12.1%7.2%12.1%
HV 20d41.0%24.6%53.2%24.6%52.8%
HV 60d30.6%23.5%36.9%23.5%36.8%
IV Rank49.6%15.6%77.2%15.6%77.2%
IV Percentile66.0%2.0%94.8%2.0%94.8%
Term Structure-0.6%-2.5%4.4%4.4%-2.5%
VWIV35.2%25.1%41.1%25.1%41.0%
Skew 25d3.7%0.0%4.9%4.7%4.2%
Skew 10d7.3%-1.2%15.9%15.9%8.9%
Call IV 25d33.8%23.8%41.5%23.8%40.3%
Put IV 25d37.4%28.5%44.5%28.5%44.5%
Bid-Ask Spread %20.1911.6031.4516.6514.15
Gamma HHI0.200.110.320.260.12
Net GEX1.0M-605.0K2.9M2.1M340.8K
Net DEX-10.3M-35.5M16.4M-35.5M-4.1M
Net VEX-396.6K-437.3K-351.1K-392.6K-437.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.122.250.890.77
Total Volume4,053.0578914,0908581,809
Total OI103,168.888,972112,48099,618104,691

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$23.94$21.0025.2%7.2%24.6%15.6%25.1%4.7%4.4%2.1M-35.5M-392.6K0.8916.6545440448,53951,079
2011-07-05$22.73$22.0034.8%9.6%31.7%40.9%31.9%4.5%-1.1%1.9M-11.6M-373.5K0.3117.727,4412,30448,57951,375
2011-07-06$22.63$22.0035.0%9.7%31.1%45.8%34.3%4.9%-1.5%2.3M-9.8M-384.0K0.3214.7159819154,69552,980
2011-07-07$23.46$22.0033.7%9.5%32.5%41.9%31.5%4.7%-0.8%2.7M-27.6M-385.2K0.7021.4449434452,00353,120
2011-07-08$23.30$22.0031.5%9.6%32.7%35.4%33.9%4.7%-1.1%2.9M-23.5M-378.7K0.1622.9595515052,10453,290
2011-07-11$22.20$22.0037.7%10.3%36.9%53.6%36.1%4.2%-1.6%1.5M4.0M-361.6K1.2129.8442250952,65553,332
2011-07-12$22.07$22.0035.1%10.3%36.9%46.1%35.6%4.2%-0.7%1.1M7.7M-355.6K0.5429.842,1241,14452,80653,470
2011-07-13$22.18$22.0034.2%10.1%36.3%43.4%36.0%4.4%-0.7%1.2M5.9M-351.1K1.4015.573,7345,21552,36053,094
2011-07-14$21.91$22.0036.2%10.4%36.3%49.1%37.3%4.6%-0.5%67.0K11.4M-373.6K0.1931.4585116555,65256,050
2011-07-15$21.81$22.0040.2%11.5%36.2%60.9%40.9%0.3%-2.3%-605.0K14.1M-382.4K0.1222.034,88757656,32056,160
2011-07-18$21.44$22.0040.3%11.6%36.6%66.4%41.1%0.0%-2.2%-314.7K16.4M-383.3K2.1126.355271,11437,07851,894
2011-07-19$22.12$22.0039.0%11.2%37.7%62.1%39.1%1.0%-2.5%-216.4K10.7M-393.2K0.3130.859,1872,88837,33452,744
2011-07-20$24.43$22.0034.6%9.9%50.7%51.8%34.0%4.7%-0.8%547.2K-25.9M-413.4K0.1723.0311,9962,09442,56554,810
2011-07-21$24.68$22.0031.8%9.1%50.6%42.4%33.7%3.8%0.8%864.9K-30.2M-416.8K0.9216.655,5655,12445,69455,305
2011-07-22$24.76$22.0031.8%9.1%50.5%42.5%32.2%3.5%1.2%906.6K-31.8M-431.0K1.0613.0656860047,16156,680
2011-07-25$24.78$22.0033.5%9.6%49.5%48.3%33.9%3.9%0.6%908.7K-31.9M-425.9K0.7219.1877755947,22556,355
2011-07-26$24.69$22.0033.2%9.5%49.6%47.0%33.5%3.6%0.6%933.8K-30.6M-425.6K0.8111.6049640347,62356,726
2011-07-27$23.49$22.0037.2%10.7%53.2%60.7%36.6%4.0%-0.4%593.2K-10.9M-433.6K2.2512.515371,20848,07056,777
2011-07-28$23.01$22.0037.0%10.6%53.1%60.0%36.2%3.4%-0.7%399.9K-2.8M-432.9K0.4714.301,80384448,06956,912
2011-07-29$23.13$23.0042.1%12.1%52.8%77.2%41.0%4.2%-2.5%340.8K-4.1M-437.3K0.7714.151,02278747,41157,280