TXT Options History — October 2011

In October 2011, TXT traded between $16.72 and $20.30. ATM implied volatility averaged 52.5%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 2.4% (HV 20d: 54.9%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2011-10-13: Highest Volume — 28,306 contracts
  • 2011-10-13: Largest IV drop — 19.7% change
  • 2011-10-03: Highest IV Rank — 89.8%
  • 2011-10-03: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.59$16.72$20.30$16.72$19.42
Max Pain$18.00$17.00$19.00$17.00$18.00
ATM IV52.5%36.5%81.5%81.5%41.0%
Expected Move14.9%10.5%23.4%23.4%11.8%
HV 20d54.9%45.1%63.1%62.5%52.0%
HV 60d65.4%63.5%67.4%66.5%64.5%
IV Rank47.9%24.8%89.8%89.8%31.3%
IV Percentile83.8%68.3%99.2%99.2%75.4%
Term Structure-1.3%-9.0%1.5%-9.0%0.4%
VWIV52.3%35.7%85.6%85.6%42.0%
Skew 25d10.0%4.0%20.9%20.9%5.2%
Skew 10d19.8%7.9%37.0%37.0%11.1%
Call IV 25d47.6%34.4%73.0%73.0%38.2%
Put IV 25d57.6%38.4%93.9%93.9%43.4%
Bid-Ask Spread %12.057.9918.6616.5611.71
Gamma HHI0.180.100.730.130.12
Net GEX873.0K-49.6K7.0M194.6K333.2K
Net DEX-9.0M-39.4M17.2M17.2M-17.4M
Net VEX-468.0K-518.8K-408.4K-408.4K-491.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.034.222.184.22
Total Volume7,700.28681128,3067,0403,260
Total OI161,040.952142,738193,153145,096161,138

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$16.72$17.0081.5%23.4%62.5%89.8%85.6%20.9%-9.0%194.6K17.2M-408.4K2.1816.562,2174,82379,87165,225
2011-10-04$17.53$17.0071.6%20.5%63.1%75.4%82.8%18.6%-4.6%400.3K6.5M-429.4K2.4218.667151,73079,36264,568
2011-10-05$18.03$17.0065.9%18.9%62.7%67.3%59.5%17.5%-2.9%539.7K-46.8K-437.6K0.0315.367,02622479,32765,382
2011-10-06$18.47$17.0061.7%17.7%62.8%61.2%63.0%17.0%-1.5%642.6K-5.6M-440.2K0.159.027,0061,03278,45165,503
2011-10-07$18.34$18.0060.6%17.0%62.1%59.6%57.0%13.2%-1.5%612.8K-3.2M-427.9K1.4111.221,2421,74877,63865,100
2011-10-10$18.62$19.0056.2%16.4%62.1%53.3%52.2%13.1%-2.4%710.9K-6.2M-431.5K0.0312.538,41722578,09366,688
2011-10-11$18.48$19.0062.6%17.0%62.2%62.6%60.2%13.4%-2.5%737.5K-5.1M-425.0K0.2110.952,43650679,95766,714
2011-10-12$18.30$19.0066.0%16.9%59.0%67.3%55.1%10.2%-3.6%676.3K-1.6M-417.7K0.097.9923,6752,06381,18566,964
2011-10-13$18.07$19.0052.9%15.2%57.7%48.5%53.0%8.2%-1.7%767.6K385.6K-448.1K1.0211.5414,00714,29990,47067,575
2011-10-14$18.54$18.0049.7%14.3%53.5%43.9%50.8%7.8%-1.6%934.7K-15.2M-516.5K0.3012.491,453436100,99377,852
2011-10-17$18.00$18.0051.6%14.8%50.2%46.6%52.1%8.2%-1.8%595.6K-1.2M-478.7K1.2812.454,7766,11299,25477,023
2011-10-18$18.66$18.0050.0%14.3%51.7%44.4%48.9%6.7%-2.1%997.7K-17.1M-505.8K0.2617.1710,4842,710102,01480,598
2011-10-19$18.59$18.0045.0%12.9%49.3%37.1%48.4%7.0%-0.2%1.4M-16.3M-487.9K1.0210.565,3765,484104,91181,235
2011-10-20$18.34$18.0046.6%13.4%48.0%39.4%46.8%7.6%0.2%327.6K-4.6M-484.3K1.2412.141,1861,472105,35985,690
2011-10-21$19.07$18.0040.9%11.7%48.7%31.2%41.0%6.6%1.4%7.0M-32.4M-504.4K0.858.245,4914,641105,08488,069
2011-10-24$19.62$18.0038.8%11.1%45.1%28.2%39.6%5.4%1.0%263.6K-20.1M-518.8K0.6010.652,6601,60781,12876,427
2011-10-25$18.77$18.0041.2%11.8%46.3%31.6%41.7%6.5%1.4%70.4K-2.0M-491.1K0.379.501,30948182,42675,440
2011-10-26$18.43$18.0043.1%12.4%45.8%34.4%42.5%7.2%1.4%-49.6K6.9M-480.2K0.9413.1541839383,42575,645
2011-10-27$20.11$18.0038.3%11.0%55.2%27.4%39.6%5.3%0.3%541.4K-33.0M-506.4K0.6211.554,3492,70283,60675,714
2011-10-28$20.30$18.0036.5%10.5%53.3%24.8%35.7%4.0%1.5%663.4K-39.4M-496.7K2.099.664911,02484,39576,361
2011-10-31$19.42$18.0041.0%11.8%52.0%31.3%42.0%5.2%0.4%333.2K-17.4M-491.8K4.2211.716252,63584,56876,570