TXT Options History — February 2012

In February 2012, TXT traded between $25.50 and $28.04. ATM implied volatility averaged 35.3%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 8.8% (HV 20d: 44.2%). Max pain ranged from $19.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2012-02-13: Highest Volume — 23,165 contracts
  • 2012-02-23: Largest IV drop — 10.9% change
  • 2012-02-15: Highest IV Rank — 33.2%
  • 2012-02-15: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.17$25.50$28.04$25.66$27.51
Max Pain$20.70$19.00$23.00$21.00$21.00
ATM IV35.3%30.9%42.3%36.5%30.9%
Expected Move10.2%8.9%12.1%10.5%8.9%
HV 20d44.2%21.6%53.8%53.2%22.4%
HV 60d45.2%42.3%46.8%46.8%42.4%
IV Rank23.2%16.7%33.2%24.8%16.7%
IV Percentile42.0%19.4%65.1%49.6%19.4%
Term Structure0.4%-3.1%3.7%-0.7%3.3%
VWIV36.6%31.2%43.9%39.0%31.5%
Skew 25d4.2%0.4%6.6%5.2%1.9%
Skew 10d8.7%1.2%14.6%11.5%2.2%
Call IV 25d34.6%31.4%40.0%35.6%31.4%
Put IV 25d38.8%32.7%45.4%40.8%33.3%
Bid-Ask Spread %13.257.0218.0017.7412.63
Gamma HHI0.190.120.580.160.18
Net GEX2.0M1.2M6.5M1.5M2.0M
Net DEX-117.7M-150.7M-94.0M-107.5M-94.0M
Net VEX-374.2K-405.9K-338.0K-362.1K-366.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.0710.852.810.58
Total Volume3,842.5531423,1653,973314
Total OI114,548101,420136,830109,590102,637

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$25.66$21.0036.5%10.5%53.2%24.8%39.0%5.2%-0.7%1.5M-107.5M-362.1K2.8117.741,0442,92963,35346,237
2012-02-02$25.50$22.0035.9%10.3%53.7%24.0%36.0%5.5%0.6%1.4M-103.6M-378.7K1.2717.6058974664,02848,556
2012-02-03$26.03$19.0032.2%9.8%53.7%18.6%35.8%6.6%1.3%1.4M-113.6M-363.9K0.9116.5957152263,95448,601
2012-02-06$25.93$19.0033.6%9.9%53.8%20.6%35.6%6.3%0.9%1.4M-111.9M-362.6K0.3416.951,38947964,25748,914
2012-02-07$26.36$19.0032.5%9.7%53.4%19.0%35.3%5.4%1.2%1.3M-118.5M-348.1K0.5711.3543424863,55148,889
2012-02-08$27.07$19.0032.8%10.1%51.5%19.5%34.0%4.9%-0.4%1.2M-127.9M-338.6K0.0712.614,79234263,76149,022
2012-02-09$26.99$19.0035.2%10.1%49.5%23.0%34.2%4.7%0.3%1.5M-130.9M-338.0K0.1113.976,91777367,48748,996
2012-02-10$26.96$19.0036.6%10.5%49.5%24.9%38.9%5.0%0.9%1.9M-132.1M-374.3K0.2710.5683022472,57749,461
2012-02-13$28.04$19.0040.3%11.6%50.0%30.3%40.6%5.0%-3.0%1.6M-148.0M-364.7K0.317.0217,6185,54771,88249,588
2012-02-14$27.98$21.0041.0%11.8%50.2%31.4%41.9%5.5%-2.9%2.0M-150.7M-398.7K0.3110.774,9471,53278,89754,017
2012-02-15$27.43$22.0042.3%12.1%51.2%33.2%43.9%5.4%-3.1%1.9M-139.1M-398.3K3.4012.861,1623,95579,26555,014
2012-02-16$27.87$23.0040.1%11.5%51.1%30.1%41.4%5.2%-2.4%2.2M-145.7M-405.9K0.1010.372,89330380,01956,811
2012-02-17$27.95$22.0038.7%11.1%50.7%28.1%38.8%3.7%-2.0%6.5M-150.2M-403.2K0.2112.891,56833781,07155,674
2012-02-21$27.70$22.0036.6%10.5%51.3%25.0%37.6%4.4%0.3%1.7M-95.4M-392.6K0.2414.172,37458162,04239,378
2012-02-22$27.77$22.0035.1%10.1%51.0%22.8%36.3%2.5%2.2%1.8M-97.8M-394.1K0.2512.591,64840562,86939,537
2012-02-23$27.72$22.0031.3%9.0%21.9%17.3%33.8%1.8%3.7%1.8M-95.3M-385.1K10.8510.985195,63263,68839,832
2012-02-24$27.65$21.0031.0%8.9%21.9%16.8%31.2%1.7%3.6%2.1M-98.3M-358.5K0.7218.001,12081263,87538,243
2012-02-27$27.52$21.0032.8%9.4%21.6%19.4%33.4%2.0%1.8%2.0M-94.2M-376.8K0.4812.3127313264,04638,415
2012-02-28$27.82$21.0031.4%9.0%21.7%17.5%32.3%0.4%2.9%2.2M-100.1M-373.4K0.5013.0223311764,07238,444
2012-02-29$27.51$21.0030.9%8.9%22.4%16.7%31.5%1.9%3.3%2.0M-94.0M-366.9K0.5812.6319911564,12638,511