TXT Options History — March 2012

In March 2012, TXT traded between $25.34 and $27.97. ATM implied volatility averaged 31.3%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.5% (HV 20d: 29.8%). Max pain ranged from $21.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2012-03-16: Highest Volume — 7,328 contracts
  • 2012-03-15: Largest IV spike — 35.3% change
  • 2012-03-29: Highest IV Rank — 24.7%
  • 2012-03-06: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.14$25.34$27.97$27.76$27.83
Max Pain$26.55$21.00$28.00$21.00$27.00
ATM IV31.3%24.2%36.4%31.0%35.7%
Expected Move9.6%8.7%11.0%8.9%10.2%
HV 20d29.8%22.5%34.1%22.5%32.6%
HV 60d40.8%38.4%43.7%42.1%39.5%
IV Rank17.3%7.1%24.7%16.9%23.7%
IV Percentile24.6%0.4%47.6%20.6%45.2%
Term Structure0.0%-3.5%5.4%3.5%-3.5%
VWIV33.8%30.4%37.5%31.8%35.4%
Skew 25d4.1%1.3%6.2%1.3%3.2%
Skew 10d8.6%1.5%12.8%1.5%7.6%
Call IV 25d32.4%30.4%35.2%31.7%35.0%
Put IV 25d36.5%32.2%41.4%33.1%38.2%
Bid-Ask Spread %15.898.7527.0716.4316.48
Gamma HHI0.170.100.350.190.19
Net GEX1.3M591.3K2.2M2.2M1.5M
Net DEX-64.0M-98.8M-47.4M-98.8M-64.1M
Net VEX-373.0K-393.8K-350.8K-360.5K-372.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.137.493.210.43
Total Volume1,803.9092487,3286,221248
Total OI92,029.54572,572107,870102,74681,056

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$27.76$21.0031.0%8.9%22.5%16.9%31.8%1.3%3.5%2.2M-98.8M-360.5K3.2116.431,4774,74464,20938,537
2012-03-02$27.02$22.0030.3%8.7%24.8%15.9%30.4%1.7%5.4%1.5M-81.6M-393.8K0.2012.813186364,56143,137
2012-03-05$26.51$28.0031.3%10.2%25.0%17.3%36.0%6.2%-0.0%1.2M-73.3M-387.9K0.3310.312769164,60543,150
2012-03-06$25.34$27.0034.6%11.0%29.9%22.0%36.9%6.2%-0.4%614.9K-53.9M-383.8K7.4912.861781,33464,68343,187
2012-03-07$26.13$27.0030.5%10.4%31.4%16.1%35.2%5.9%-0.2%954.0K-51.2M-350.8K0.3210.7950916357,98643,017
2012-03-08$26.65$27.0028.4%9.8%30.7%13.2%35.0%6.0%0.2%1.2M-57.9M-376.4K0.9717.8829628758,24942,994
2012-03-09$27.01$27.0026.0%9.9%31.1%9.7%34.9%5.5%0.5%1.3M-63.0M-376.7K0.138.751,28716258,30443,254
2012-03-12$27.05$27.0027.2%9.9%31.1%11.5%37.5%5.4%0.2%1.2M-65.0M-373.1K0.4521.5330113559,26343,312
2012-03-13$27.68$27.0025.4%9.4%28.8%8.9%33.2%5.2%0.1%1.7M-74.6M-364.2K0.3321.7456518659,33943,352
2012-03-14$27.51$27.0024.2%9.4%28.9%7.1%34.2%5.2%0.5%1.4M-72.1M-360.0K0.3513.7151517859,31643,444
2012-03-15$27.71$27.0032.8%9.4%28.1%19.4%33.7%5.2%0.2%1.6M-75.3M-353.7K5.4018.321941,04759,61243,512
2012-03-16$27.48$27.0035.7%10.2%27.7%23.6%35.2%2.2%-0.7%591.3K-71.5M-353.5K0.1420.946,42590359,61843,781
2012-03-19$27.39$27.0032.1%9.2%27.7%18.5%31.6%2.3%1.1%819.4K-54.9M-368.5K0.1512.355,70085841,37431,198
2012-03-20$26.62$27.0032.6%9.3%29.2%19.2%32.9%3.6%0.1%928.6K-49.1M-383.3K0.519.0898650745,71031,765
2012-03-21$26.96$27.0031.8%9.1%29.7%18.0%32.2%3.5%0.1%1.1M-52.9M-387.2K0.4413.3834815245,94131,926
2012-03-22$26.43$27.0033.5%9.6%30.4%20.5%33.4%3.7%-0.3%896.9K-47.4M-380.4K0.2419.853819146,05431,999
2012-03-23$27.14$27.0031.3%9.0%32.1%17.3%31.1%3.8%0.8%1.2M-54.5M-370.2K0.7324.001,25591146,06032,061
2012-03-26$27.80$27.0031.0%8.9%33.2%16.9%30.6%3.4%-0.8%1.4M-61.4M-375.4K0.1613.202,21535946,01232,151
2012-03-27$27.78$27.0031.1%8.9%33.0%17.1%30.8%3.0%-0.6%1.5M-61.8M-376.6K1.0327.0717918546,26632,115
2012-03-28$27.34$27.0035.4%10.1%33.2%23.2%34.8%4.0%-2.2%1.2M-57.0M-376.8K0.2713.671,67945246,31632,191
2012-03-29$27.97$27.0036.4%10.4%34.1%24.7%36.6%3.5%-3.5%1.6M-66.0M-381.3K0.9414.4679874847,55932,474
2012-03-30$27.83$27.0035.7%10.2%32.6%23.7%35.4%3.2%-3.5%1.5M-64.1M-372.4K0.4316.481747447,96233,094