TXT Options History — January 2012

In January 2012, TXT traded between $18.64 and $25.48. ATM implied volatility averaged 37.4%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 5.4% (HV 20d: 42.8%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.60.

Notable Days

  • 2012-01-11: Highest Volume — 28,195 contracts
  • 2012-01-25: Largest IV drop — 22.6% change
  • 2012-01-12: Highest IV Rank — 34.3%
  • 2012-01-11: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.72$18.64$25.48$18.64$25.48
Max Pain$20.40$18.00$21.00$20.00$21.00
ATM IV37.4%32.6%43.1%39.9%35.0%
Expected Move11.0%9.3%12.9%11.5%10.0%
HV 20d42.8%30.8%55.2%42.0%53.2%
HV 60d46.4%44.5%49.3%45.1%47.2%
IV Rank26.1%19.2%34.3%29.8%22.7%
IV Percentile52.1%36.5%67.5%61.1%45.6%
Term Structure-0.6%-5.0%5.3%2.0%-0.4%
VWIV38.4%32.0%43.7%39.7%32.0%
Skew 25d5.0%1.6%7.8%5.6%3.6%
Skew 10d10.2%3.6%17.5%12.9%7.8%
Call IV 25d36.3%31.8%41.2%39.2%33.2%
Put IV 25d41.3%34.0%45.7%44.8%36.9%
Bid-Ask Spread %17.457.1527.6716.7116.03
Gamma HHI0.230.160.300.290.16
Net GEX935.3K-82.9K2.1M-82.9K1.5M
Net DEX-57.6M-108.5M4.4M4.4M-105.1M
Net VEX-342.2K-378.4K-307.4K-329.9K-365.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.0611.250.230.13
Total Volume7,111.387028,1952,2492,380
Total OI129,213.6580,853160,781131,578108,912

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$18.64$20.0039.9%11.5%42.0%29.8%39.7%5.6%2.0%-82.9K4.4M-329.9K0.2316.711,82642373,45558,123
2012-01-04$19.01$20.0037.4%10.7%42.4%26.2%38.4%5.0%3.4%42.1K-3.3M-333.0K1.0517.161,0591,11273,93558,262
2012-01-05$19.11$20.0035.2%10.1%41.5%22.9%34.3%5.5%5.3%51.6K-6.2M-327.4K0.3226.581,70553973,73158,403
2012-01-06$19.12$18.0033.6%11.3%41.5%20.6%37.2%7.8%0.5%85.4K-4.1M-327.9K0.318.651,22737874,56658,140
2012-01-09$19.07$18.0034.0%11.3%37.9%21.3%39.8%7.8%0.3%240.5K-5.7M-310.7K9.6210.006286,04275,20457,948
2012-01-10$20.17$19.0032.7%10.8%42.2%19.3%37.2%5.5%-0.3%659.7K-37.1M-322.5K0.739.8312,8549,38075,73559,251
2012-01-11$21.32$20.0039.9%12.9%45.4%29.7%43.4%4.5%-2.5%1.1M-66.5M-350.4K0.4115.6019,9788,21780,16563,043
2012-01-12$21.32$21.0043.1%12.4%42.0%34.3%43.3%5.6%-2.5%1.1M-66.0M-378.4K0.3219.971,29342088,55268,882
2012-01-13$21.18$21.0043.0%12.3%40.9%34.3%43.7%6.1%-2.1%1.0M-60.6M-364.1K0.2524.161,09827788,27468,981
2012-01-17$21.67$21.0041.4%11.9%41.1%32.0%41.0%5.8%-2.5%1.2M-76.9M-352.9K0.0622.536,57540688,56668,977
2012-01-18$21.60$21.0039.8%11.4%40.5%29.6%41.5%5.7%-1.9%1.5M-78.0M-351.3K0.1617.152,48939891,60469,177
2012-01-19$21.64$21.0039.5%11.3%36.9%29.2%40.1%5.8%-1.9%1.3M-75.5M-334.3K0.2824.251,92053288,55069,200
2012-01-20$21.50$21.0039.1%11.2%31.0%28.7%38.5%4.7%-1.7%1.1M-74.6M-327.7K1.1220.201,1001,22888,63669,433
2012-01-23$21.75$21.0037.8%10.8%30.8%26.6%39.1%4.5%-2.2%1.0M-46.4M-323.8K11.2517.647538,47350,49030,363
2012-01-24$21.61$21.0042.1%12.1%31.1%32.9%41.8%3.4%-5.0%653.4K-40.2M-334.7K0.3627.679,4103,38050,79835,425
2012-01-25$24.76$21.0032.6%9.3%55.2%19.2%33.6%1.6%-0.8%1.2M-98.8M-307.4K0.227.1518,4283,96857,33037,483
2012-01-26$24.74$21.0033.9%9.7%54.9%21.0%34.2%3.6%-0.4%2.1M-108.5M-358.9K4.1914.831,9698,24168,91438,990
2012-01-27$25.21$21.0032.6%9.4%53.0%19.3%34.0%3.2%0.4%1.5M-100.6M-376.3K0.3018.6166920162,83145,582
2012-01-30$25.43$21.0035.0%10.0%53.0%22.6%34.3%4.5%-0.6%1.5M-102.8M-367.4K0.7914.2970055062,63445,728
2012-01-31$25.48$21.0035.0%10.0%53.2%22.7%32.0%3.6%-0.4%1.5M-105.1M-365.4K0.1316.032,10727362,79146,121