TXT Options History — August 2011

In August 2011, TXT traded between $14.88 and $22.27. ATM implied volatility averaged 57.8%, placing in the 65.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 14.2% (HV 20d: 72.0%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.56.

Notable Days

  • 2011-08-11: Highest Volume — 13,816 contracts
  • 2011-08-08: Largest IV spike — 59.7% change
  • 2011-08-04: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.12$14.88$22.27$22.27$16.87
Max Pain$22.48$20.00$25.00$23.00$20.00
ATM IV57.8%42.6%88.6%42.6%47.8%
Expected Move16.0%12.2%21.2%12.2%13.7%
HV 20d72.0%54.0%82.3%54.0%79.9%
HV 60d51.7%37.5%58.4%37.5%58.4%
IV Rank65.3%40.9%100.0%79.0%41.1%
IV Percentile97.1%92.9%100.0%95.6%92.9%
Term Structure-3.9%-19.9%2.1%-2.9%1.6%
VWIV54.5%41.5%68.4%41.5%49.1%
Skew 25d8.1%-3.0%13.1%3.6%8.1%
Skew 10d16.7%-18.2%28.5%7.4%19.0%
Call IV 25d52.1%41.2%65.1%41.2%46.1%
Put IV 25d60.2%44.8%72.9%44.8%54.2%
Bid-Ask Spread %20.7415.2829.1315.2825.33
Gamma HHI0.180.130.230.130.14
Net GEX-334.6K-627.1K4.3K4.3K-72.3K
Net DEX48.1M10.0M61.3M10.0M40.3M
Net VEX-327.4K-411.6K-267.5K-411.6K-371.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.058.201.650.55
Total Volume3,821.82687113,8161,704907
Total OI123,500.783104,687145,898104,687130,494

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$22.27$23.0042.6%12.2%54.0%79.0%41.5%3.6%-2.9%4.3K10.0M-411.6K1.6515.286431,06147,12457,563
2011-08-02$21.01$23.0045.3%13.0%54.8%88.1%46.2%3.5%-3.1%-421.1K26.1M-391.5K0.5120.311,44973747,26458,058
2011-08-03$20.66$23.0043.4%12.4%55.0%81.7%43.5%3.3%-2.3%-536.2K30.8M-379.7K0.2718.016,8691,87746,97358,199
2011-08-04$19.00$22.0058.8%16.8%59.5%100.0%56.4%-3.0%-4.6%-487.9K43.0M-351.5K1.6123.771,7342,78853,15159,467
2011-08-05$18.59$25.0055.5%14.8%59.6%91.7%55.3%6.6%-2.1%-581.4K47.1M-348.6K5.9823.536423,84153,69861,033
2011-08-08$16.38$25.0088.6%21.2%71.4%100.0%68.4%5.3%-12.4%-508.7K55.8M-288.3K0.9520.302,9302,77353,77362,179
2011-08-09$17.45$25.0074.2%17.2%76.6%79.3%56.1%10.5%-7.7%-627.1K57.0M-307.5K1.0921.3885993556,13664,123
2011-08-10$16.24$25.0086.6%20.8%79.2%97.1%65.0%11.9%-19.9%-455.4K59.0M-267.5K1.2218.911,1491,40458,52063,380
2011-08-11$16.95$25.0063.7%18.3%81.9%64.1%61.3%8.9%-9.5%-446.7K56.1M-281.8K0.1017.3512,5261,29059,44062,561
2011-08-12$17.05$23.0055.8%16.0%82.1%52.7%53.8%9.3%-5.4%-214.8K50.2M-347.0K1.0517.661,9322,03471,64063,201
2011-08-15$17.14$23.0051.9%14.9%82.3%47.1%49.8%8.7%-4.0%-197.4K50.6M-350.0K0.9718.603,0382,94372,83365,119
2011-08-16$16.96$23.0050.4%14.5%80.8%45.0%51.6%8.3%-2.8%-213.5K53.3M-352.3K0.2222.691,42631875,08967,593
2011-08-17$16.74$23.0048.1%13.8%69.0%41.6%47.6%8.1%-1.7%-351.6K55.0M-343.3K0.5517.7574341176,16767,258
2011-08-18$15.47$23.0063.1%18.1%71.2%63.2%59.0%12.1%-7.0%-436.5K60.1M-303.4K4.2323.367953,36576,38267,449
2011-08-19$15.21$22.0064.5%18.5%70.6%65.2%59.5%13.1%-7.3%-379.2K61.3M-302.9K8.2020.251371,12376,85669,042
2011-08-22$14.88$22.0062.3%17.9%70.0%62.1%61.8%11.3%-0.4%-341.4K53.3M-282.6K2.0022.6439078052,41762,234
2011-08-23$15.21$22.0059.9%17.2%71.6%58.6%58.4%9.0%-1.2%-376.2K55.0M-280.6K0.0522.044,75923052,73062,844
2011-08-24$15.77$20.0054.1%15.5%74.0%50.2%53.7%10.2%1.0%-236.8K49.8M-311.7K0.1620.1575211957,11862,946
2011-08-25$15.05$20.0062.0%17.8%74.6%61.6%60.4%10.7%-1.8%-217.0K52.1M-286.6K0.6917.391,7081,17257,13662,994
2011-08-26$15.64$20.0052.5%15.0%77.0%47.9%55.3%11.0%0.9%-254.2K52.4M-296.1K1.3921.937331,01957,12663,541
2011-08-29$16.45$20.0050.3%14.4%80.6%44.8%51.9%9.0%1.0%-263.9K47.1M-326.0K0.0519.354,52422857,40064,287
2011-08-30$16.71$20.0047.6%13.6%79.6%40.9%48.1%6.8%2.1%-81.8K40.9M-347.1K2.4329.131,9874,82261,55564,425
2011-08-31$16.87$20.0047.8%13.7%79.9%41.1%49.1%8.1%1.6%-72.3K40.3M-371.4K0.5525.3358532263,16567,329