TXT Options History — December 2011

In December 2011, TXT traded between $17.00 and $19.39. ATM implied volatility averaged 41.4%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 3.0% (HV 20d: 44.4%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2011-12-20: Highest Volume — 8,714 contracts
  • 2011-12-28: Largest IV spike — 16.3% change
  • 2011-12-13: Highest IV Rank — 41.7%
  • 2011-12-08: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.28$17.00$19.39$19.39$18.49
Max Pain$19.90$19.00$20.00$19.00$20.00
ATM IV41.4%35.8%48.2%43.5%38.8%
Expected Move11.7%10.3%13.5%12.5%11.1%
HV 20d44.4%41.3%51.4%42.7%42.2%
HV 60d49.4%45.3%52.6%52.4%45.3%
IV Rank31.9%23.9%41.7%35.0%28.1%
IV Percentile65.2%51.2%79.4%71.8%57.9%
Term Structure3.3%0.3%6.2%1.0%5.2%
VWIV40.7%34.9%46.9%42.2%38.7%
Skew 25d5.9%4.1%7.8%5.6%4.8%
Skew 10d11.7%7.3%15.3%10.7%9.8%
Call IV 25d39.2%34.5%43.8%41.0%38.6%
Put IV 25d45.2%40.0%50.9%46.6%43.4%
Bid-Ask Spread %14.657.9027.0027.007.90
Gamma HHI0.220.140.310.140.29
Net GEX-187.8K-867.8K298.6K260.6K-132.4K
Net DEX13.3M-9.4M41.6M-9.4M6.0M
Net VEX-368.1K-453.7K-319.0K-453.7K-337.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.036.591.580.03
Total Volume1,916.3331748,7141,322291
Total OI139,235.143124,396147,871146,239131,468

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$19.39$19.0043.5%12.5%42.7%35.0%42.2%5.6%1.0%260.6K-9.4M-453.7K1.5827.0051380977,95768,282
2011-12-02$19.05$19.0043.0%12.3%41.6%34.2%43.2%6.5%1.0%191.9K-2.0M-437.9K0.5015.5894247077,81868,191
2011-12-05$19.28$20.0042.5%12.1%41.3%33.5%43.5%7.1%2.9%298.6K-5.4M-429.5K0.8120.521,17395677,88668,099
2011-12-06$18.83$20.0043.7%12.5%42.2%35.2%42.6%7.8%1.7%146.9K4.2M-420.8K2.1311.802,1034,47677,79068,439
2011-12-07$18.76$20.0043.7%12.5%41.9%35.2%43.1%7.3%1.9%110.7K5.6M-409.8K0.0512.183491778,16768,131
2011-12-08$17.94$20.0047.6%13.5%42.3%40.9%46.9%7.1%0.3%-194.8K21.1M-390.3K3.1514.283391,06878,28568,128
2011-12-09$18.21$20.0040.4%12.7%41.9%30.5%44.8%6.4%1.3%-180.7K19.1M-387.4K0.1714.2667411678,32968,712
2011-12-12$18.04$20.0043.5%12.3%41.5%35.0%41.6%5.7%2.0%-350.0K21.9M-368.3K0.2913.8662818378,75468,762
2011-12-13$17.35$20.0048.2%11.8%43.5%41.7%40.5%6.2%4.1%-665.0K36.1M-337.0K0.8419.7378165578,82168,766
2011-12-14$17.00$20.0045.9%11.3%43.8%38.3%38.6%7.2%5.6%-793.2K41.6M-321.3K0.409.302,5981,05278,80968,665
2011-12-15$17.22$20.0039.6%11.3%44.0%29.3%34.9%7.5%5.8%-747.7K39.2M-323.0K1.4414.3436552679,31368,410
2011-12-16$17.82$20.0040.0%11.5%45.3%29.9%38.0%4.9%3.7%-867.8K29.9M-343.6K0.1813.323,81869779,45768,414
2011-12-19$17.19$20.0039.6%11.3%45.7%29.3%41.0%4.1%6.2%-364.9K26.3M-319.0K1.0212.0876377568,05156,345
2011-12-20$18.38$20.0037.7%10.8%51.4%26.5%39.1%4.8%5.9%-235.7K9.3M-350.3K0.5013.715,8042,91068,60056,193
2011-12-21$18.33$20.0037.9%10.9%51.4%26.9%40.0%4.8%5.3%-103.3K9.4M-355.3K6.5915.311841,21372,45057,042
2011-12-22$18.64$20.0037.0%10.6%50.0%25.6%36.4%4.2%3.3%-2.8K1.3M-362.2K0.0618.608245272,55056,510
2011-12-23$18.77$20.0035.8%10.3%49.9%23.9%36.5%5.5%4.2%-5.0K859.2K-363.7K0.2411.991403472,98657,556
2011-12-27$18.60$20.0037.5%10.8%43.9%26.3%38.7%5.6%2.8%-47.3K3.0M-350.7K0.1618.611652773,08857,570
2011-12-28$18.16$20.0043.6%12.5%44.7%35.1%43.0%6.1%0.6%-150.0K12.9M-335.0K4.8911.822211,08173,16757,589
2011-12-29$18.34$20.0039.7%11.4%42.0%29.5%40.4%5.6%4.1%-110.9K8.5M-334.0K0.2811.4535110073,19557,193
2011-12-30$18.49$20.0038.8%11.1%42.2%28.1%38.7%4.8%5.2%-132.4K6.0M-337.1K0.037.90282973,35258,116