TXT Options History — April 2012

In April 2012, TXT traded between $26.19 and $28.89. ATM implied volatility averaged 37.5%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 5.5% (HV 20d: 31.9%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2012-04-13: Highest Volume — 12,719 contracts
  • 2012-04-12: Largest IV drop — 22.2% change
  • 2012-04-10: Highest IV Rank — 45.4%
  • 2012-04-16: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.14$26.19$28.89$28.84$26.64
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV37.5%30.0%50.8%36.4%31.4%
Expected Move10.3%8.6%11.9%10.4%9.0%
HV 20d31.9%28.1%34.3%33.8%31.7%
HV 60d35.9%29.2%40.2%40.0%29.6%
IV Rank26.2%15.4%45.4%24.6%17.5%
IV Percentile45.4%11.9%81.7%47.2%20.2%
Term Structure-1.0%-4.7%1.9%-4.0%1.0%
VWIV35.5%29.0%40.7%35.8%31.4%
Skew 25d4.5%3.3%6.4%4.0%3.4%
Skew 10d9.1%5.6%12.4%9.2%5.6%
Call IV 25d34.3%28.6%39.5%35.1%30.6%
Put IV 25d38.8%33.0%44.5%39.2%34.0%
Bid-Ask Spread %19.659.7631.8416.3617.95
Gamma HHI0.160.100.270.220.12
Net GEX1.1M230.9K2.4M1.9M806.8K
Net DEX-54.5M-77.3M-40.0M-77.1M-49.7M
Net VEX-372.9K-395.1K-344.0K-371.8K-344.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.045.232.970.65
Total Volume3,105.4517812,7197,371178
Total OI84,857.7573,743100,12981,13176,485

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$28.84$27.0036.4%10.4%33.8%24.6%35.8%4.0%-4.0%1.9M-77.1M-371.8K2.9716.361,8575,51448,00633,125
2012-04-03$28.89$27.0036.5%10.5%28.4%24.9%36.3%4.6%-3.3%1.9M-77.3M-381.0K0.1814.711,68731248,70135,190
2012-04-04$28.38$27.0039.1%11.2%28.1%28.6%39.4%4.5%-4.1%1.8M-71.4M-395.1K0.7814.3118214249,48836,346
2012-04-05$27.67$27.0039.9%11.4%29.3%29.7%40.7%6.4%-4.7%1.5M-62.2M-383.5K2.2515.927231,62649,57931,925
2012-04-09$27.01$27.0045.7%10.8%30.4%38.1%34.4%5.6%-1.1%1.1M-51.8M-384.8K1.8420.775881,08449,78433,103
2012-04-10$26.40$27.0050.8%11.5%31.4%45.4%39.3%5.5%-1.5%757.2K-44.5M-381.9K0.7722.7747636750,19734,129
2012-04-11$26.93$27.0048.8%11.1%31.1%42.6%38.7%4.8%-1.1%1.0M-51.3M-376.5K0.6314.541,47593350,35534,293
2012-04-12$27.35$27.0038.0%10.9%31.6%26.9%37.4%4.6%-0.7%1.3M-56.1M-390.5K0.9924.50969551,41435,057
2012-04-13$26.85$27.0040.8%11.7%32.1%31.0%40.1%3.3%-1.7%1.0M-51.3M-381.8K0.1120.5111,4271,29251,46235,074
2012-04-16$27.01$27.0041.5%11.9%32.1%32.1%39.5%4.5%-2.4%1.8M-56.1M-388.8K0.3524.432,51187560,31636,110
2012-04-17$27.65$27.0039.6%11.3%33.3%29.3%38.5%5.0%-3.0%2.4M-67.4M-386.6K0.1831.848,1091,47060,08536,554
2012-04-18$26.65$27.0032.9%9.4%34.3%19.6%32.2%5.0%1.3%272.0K-42.9M-363.5K0.7619.694,4423,35663,15936,970
2012-04-19$26.35$27.0034.3%9.8%34.2%21.7%34.9%5.4%0.7%230.9K-40.0M-368.8K0.2526.711,57940061,52236,059
2012-04-20$26.75$27.0033.0%9.4%33.9%19.7%32.2%3.6%0.5%674.7K-44.9M-360.5K0.199.763,51665961,46036,184
2012-04-23$26.19$27.0035.8%10.3%33.3%23.8%36.2%3.8%-0.3%635.6K-43.9M-361.0K5.2322.232581,35042,40531,338
2012-04-24$26.64$27.0032.8%9.4%32.7%19.4%32.8%3.7%0.7%641.4K-47.9M-362.9K0.5223.4056129242,43432,292
2012-04-25$26.84$27.0031.5%9.0%32.9%17.6%30.2%4.4%1.1%700.3K-50.2M-364.1K0.0422.871,2835342,79332,466
2012-04-26$26.80$27.0030.7%8.8%32.4%16.4%30.4%3.4%1.6%692.2K-50.4M-356.7K0.1414.744646342,78632,465
2012-04-27$27.01$27.0030.0%8.6%31.4%15.4%29.0%4.3%1.9%890.3K-52.8M-355.1K0.2814.9063717743,70232,342
2012-04-30$26.64$27.0031.4%9.0%31.7%17.5%31.4%3.4%1.0%806.8K-49.7M-344.0K0.6517.951087043,98532,500