TXT Options History — September 2011

In September 2011, TXT traded between $15.11 and $18.69. ATM implied volatility averaged 60.5%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 0.6% (HV 20d: 61.1%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2011-09-16: Highest Volume — 36,744 contracts
  • 2011-09-16: Largest IV spike — 24.6% change
  • 2011-09-22: Highest IV Rank — 72.2%
  • 2011-09-22: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.85$15.11$18.69$16.41$17.64
Max Pain$16.86$16.00$20.00$20.00$17.00
ATM IV60.5%50.5%69.3%50.5%68.2%
Expected Move17.5%14.5%19.9%14.5%19.5%
HV 20d61.1%53.2%77.0%75.4%62.5%
HV 60d62.7%58.5%66.6%58.5%65.7%
IV Rank59.5%45.0%72.2%45.0%70.6%
IV Percentile96.0%93.3%98.8%94.0%98.0%
Term Structure-3.5%-12.1%1.6%1.0%-3.6%
VWIV59.9%50.7%67.2%50.7%62.3%
Skew 25d9.9%-8.8%16.8%7.8%16.8%
Skew 10d20.5%-10.8%30.8%13.4%27.9%
Call IV 25d56.6%46.6%71.2%46.6%61.5%
Put IV 25d66.6%54.4%78.3%54.4%78.3%
Bid-Ask Spread %17.7212.6237.0737.0716.16
Gamma HHI0.140.100.240.140.13
Net GEX86.7K-182.3K574.1K-90.4K399.0K
Net DEX26.4M-9.6M54.3M44.2M3.6M
Net VEX-383.6K-468.6K-294.2K-357.4K-449.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.062.601.500.06
Total Volume6,254.04849236,7444921,540
Total OI134,922.381128,876145,470130,407145,470

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$16.41$20.0050.5%14.5%75.4%45.0%50.7%7.8%1.0%-90.4K44.2M-357.4K1.5037.0719729562,86167,546
2011-09-02$15.56$20.0051.1%14.7%77.0%46.0%54.2%9.6%1.6%-153.5K51.4M-318.4K0.7318.7539829263,00267,632
2011-09-06$15.11$16.0060.0%16.9%63.9%58.8%57.6%13.3%-4.7%-182.3K54.3M-294.2K1.1915.218841,05463,01667,816
2011-09-07$15.66$16.0051.0%15.1%60.7%45.8%54.7%12.0%-2.9%-136.5K51.0M-308.8K2.6018.134641,20863,22567,030
2011-09-08$15.60$16.0052.8%15.5%55.4%48.3%51.8%11.7%-3.2%-138.0K51.0M-308.2K0.1830.633,21759463,24467,308
2011-09-09$15.26$16.0062.5%17.7%53.2%62.4%58.7%13.1%-4.8%-81.6K50.5M-307.0K0.2415.511,25530364,95367,279
2011-09-12$15.39$16.0061.8%17.8%53.3%61.3%59.5%13.4%-5.7%-53.9K51.5M-304.3K0.8612.631,13598164,86867,370
2011-09-13$15.75$16.0053.6%16.2%54.1%49.6%59.4%12.3%-2.8%62.4K48.2M-315.2K0.7213.9165247065,54067,308
2011-09-14$16.76$16.0053.0%16.2%58.9%48.6%57.3%12.5%-4.4%145.3K36.7M-356.8K0.4320.7115,5686,68165,79367,523
2011-09-15$17.45$16.0054.5%15.6%60.5%50.8%53.6%12.2%-3.4%249.2K22.4M-378.0K0.5012.621,77187871,14867,763
2011-09-16$18.63$16.0067.9%19.5%56.4%70.2%67.2%-8.8%-12.1%574.1K6.7M-416.2K0.3621.7126,9839,76166,72666,153
2011-09-19$17.57$17.0062.5%17.9%60.7%62.3%62.6%5.7%-2.8%-59.5K15.0M-429.2K0.4914.949,0994,46264,97863,898
2011-09-20$17.60$17.0060.1%17.2%59.8%58.9%59.8%5.4%-2.3%5.2K13.9M-439.4K0.1816.532,52045170,51965,898
2011-09-21$16.93$17.0062.0%17.8%61.8%61.6%61.3%6.9%-1.6%43.5K20.1M-415.3K0.2813.972,96282672,90064,696
2011-09-22$16.41$17.0069.3%19.9%62.0%72.2%66.4%8.0%-4.6%-61.2K26.8M-397.0K0.9821.443,8883,81271,57365,220
2011-09-23$16.93$17.0069.2%19.8%60.0%72.1%66.6%11.2%-5.1%26.2K19.5M-427.5K0.4313.642,8621,21973,34666,155
2011-09-26$17.99$17.0066.2%19.0%62.1%67.7%64.5%9.7%-4.2%201.8K3.1M-443.8K0.1113.971,95120972,48863,795
2011-09-27$18.69$17.0062.2%17.8%61.1%61.9%62.3%10.5%-2.0%394.9K-9.6M-468.6K0.5914.033,8022,24673,65063,894
2011-09-28$18.20$17.0067.3%19.3%62.1%69.2%65.1%10.8%-3.6%329.9K-2.9M-460.6K0.2113.992,99462574,98964,543
2011-09-29$18.23$17.0065.8%18.8%62.1%67.1%62.1%14.4%-2.6%345.9K-2.1M-459.8K0.1816.579,2001,62675,49364,761
2011-09-30$17.64$17.0068.2%19.5%62.5%70.6%62.3%16.8%-3.6%399.0K3.6M-449.1K0.0616.161,4588280,07465,396