TXT Options History — November 2011

In November 2011, TXT traded between $17.33 and $19.43. ATM implied volatility averaged 44.9%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 6.0% (HV 20d: 51.0%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2011-11-14: Highest Volume — 11,267 contracts
  • 2011-11-09: Largest IV spike — 27.5% change
  • 2011-11-25: Highest IV Rank — 45.5%
  • 2011-11-25: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.41$17.33$19.43$18.62$19.43
Max Pain$19.38$18.00$20.00$18.00$19.00
ATM IV44.9%36.1%50.8%46.0%45.3%
Expected Move13.0%11.3%14.6%13.2%13.0%
HV 20d51.0%37.5%55.6%52.6%43.3%
HV 60d54.8%52.1%59.5%59.5%52.8%
IV Rank37.0%24.2%45.5%38.5%37.5%
IV Percentile76.5%64.7%82.1%78.6%73.4%
Term Structure0.4%-1.9%2.0%-0.5%0.9%
VWIV45.7%41.8%52.3%46.4%44.0%
Skew 25d7.5%4.6%9.8%6.7%5.2%
Skew 10d15.2%10.5%20.5%15.1%10.6%
Call IV 25d42.6%37.0%48.3%44.5%42.7%
Put IV 25d50.1%44.1%54.6%51.2%47.9%
Bid-Ask Spread %13.018.2423.339.5313.79
Gamma HHI0.130.110.160.110.13
Net GEX-139.1K-852.8K251.5K12.9K251.5K
Net DEX8.0M-10.4M26.4M2.7M-10.4M
Net VEX-448.8K-505.8K-403.8K-478.3K-460.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.0710.120.210.68
Total Volume3,800.14317111,2679,9242,713
Total OI160,215.333137,400174,776161,600145,227

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$18.62$18.0046.0%13.2%52.6%38.5%46.4%6.7%-0.5%12.9K2.7M-478.3K0.219.538,1681,75684,18977,411
2011-11-02$18.28$18.0047.9%13.7%52.3%41.3%48.4%5.9%0.8%-79.2K7.7M-505.8K1.4713.661,6252,38989,55778,521
2011-11-03$18.92$18.0040.8%11.7%53.0%31.0%42.5%4.6%2.0%56.6K-3.6M-475.9K0.689.472,3721,60284,29779,769
2011-11-04$18.61$20.0041.3%12.7%53.3%31.7%44.7%8.3%0.7%-96.4K5.0M-469.8K1.438.243,0804,41185,58380,853
2011-11-07$18.48$20.0043.3%13.0%53.1%34.6%51.2%8.5%-1.6%-122.0K6.5M-463.3K0.869.5729425388,21781,045
2011-11-08$18.75$20.0036.1%11.3%53.3%24.2%42.3%7.8%1.1%2.6K-334.0K-461.9K1.199.861,0181,20887,96879,759
2011-11-09$17.98$20.0046.0%13.5%55.3%38.6%46.2%9.0%0.5%-391.9K19.5M-445.3K0.3414.361,00034088,28480,122
2011-11-10$18.37$20.0045.4%13.0%55.6%37.6%46.0%8.7%-1.9%-244.9K10.0M-447.5K0.6912.0227619088,08379,815
2011-11-11$18.69$20.0041.7%12.0%55.2%32.4%41.8%7.7%0.8%-8.9K-1.3M-453.3K1.2615.571,7092,16188,04579,987
2011-11-14$18.74$20.0044.5%12.8%54.1%36.4%47.7%8.7%0.4%139.0K-3.4M-447.2K10.1214.091,01310,25489,14380,862
2011-11-15$18.73$20.0042.8%12.3%52.6%34.0%42.9%8.9%0.5%104.4K-1.3M-460.3K1.3213.261,0041,32489,71284,057
2011-11-16$18.41$20.0046.0%13.2%52.9%38.5%42.3%9.8%-1.4%-359.1K9.5M-446.9K2.2812.501,0702,43690,45884,318
2011-11-17$18.01$20.0047.7%13.7%53.3%41.0%44.0%9.6%0.7%-852.8K24.3M-431.5K0.9411.082,0871,95990,18984,573
2011-11-18$18.52$20.0043.9%12.6%52.3%35.5%43.3%8.0%0.2%-420.8K1.9M-435.5K0.3615.485,0751,83490,05184,290
2011-11-21$18.09$19.0046.3%13.3%51.6%38.9%46.3%7.6%1.6%-235.7K18.1M-419.4K0.5716.502,6631,52971,44565,955
2011-11-22$18.01$19.0046.2%13.2%49.4%38.8%45.3%6.7%1.8%-213.0K19.0M-425.0K0.0710.953,71727073,01866,842
2011-11-23$17.41$19.0049.3%14.1%50.4%43.3%52.3%6.1%-0.1%-253.3K25.2M-405.6K0.2212.902,72358674,74166,833
2011-11-25$17.33$19.0050.8%14.6%37.5%45.5%48.2%6.3%0.3%-232.9K26.4M-403.8K0.549.651116075,72567,308
2011-11-28$18.55$19.0046.6%13.4%45.8%39.4%47.4%6.7%1.0%-31.9K7.9M-441.7K0.5917.401,8841,10375,73267,356
2011-11-29$18.64$19.0046.2%13.3%43.4%38.9%46.4%6.1%0.9%55.6K5.0M-445.4K0.1823.334538377,09268,090
2011-11-30$19.43$19.0045.3%13.0%43.3%37.5%44.0%5.2%0.9%251.5K-10.4M-460.9K0.6813.791,6171,09677,16068,067