TXT Options History — May 2012

In May 2012, TXT traded between $22.22 and $26.53. ATM implied volatility averaged 37.1%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 10.0% (HV 20d: 27.1%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 4.34.

Notable Days

  • 2012-05-17: Highest Volume — 6,673 contracts
  • 2012-05-30: Largest IV spike — 15.6% change
  • 2012-05-17: Highest IV Rank — 38.5%
  • 2012-05-17: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.14$22.22$26.53$26.48$23.63
Max Pain$24.41$24.00$27.00$27.00$24.00
ATM IV37.1%29.9%46.0%31.4%39.2%
Expected Move10.6%8.6%13.2%9.0%11.2%
HV 20d27.1%19.5%32.7%28.3%32.7%
HV 60d29.8%28.2%31.9%29.3%30.7%
IV Rank25.6%15.3%38.5%17.5%28.7%
IV Percentile43.3%10.7%73.4%19.8%50.4%
Term Structure2.7%-1.0%6.8%0.6%6.1%
VWIV37.1%30.0%48.7%30.2%42.5%
Skew 25d6.8%3.0%10.2%3.0%9.1%
Skew 10d13.5%7.4%19.2%9.2%19.2%
Call IV 25d34.4%29.4%41.2%29.9%37.4%
Put IV 25d41.2%32.8%51.0%32.9%46.5%
Bid-Ask Spread %18.329.5236.6920.6115.90
Gamma HHI0.120.090.150.110.12
Net GEX81.6K-278.1K756.9K625.9K-51.8K
Net DEX-21.5M-46.7M-316.7K-46.7M-17.5M
Net VEX-331.1K-355.1K-313.7K-346.5K-323.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.340.0939.100.382.97
Total Volume1,707.51866,6732,4253,724
Total OI79,19975,25684,35875,57380,383

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$26.48$27.0031.4%9.0%28.3%17.5%30.2%3.0%0.6%625.9K-46.7M-346.5K0.3820.611,75367243,05032,523
2012-05-02$26.53$27.0029.9%8.6%28.3%15.3%30.0%3.3%1.4%756.9K-46.6M-355.1K0.0936.691801744,69233,050
2012-05-03$26.09$27.0031.3%9.0%28.3%17.3%30.3%3.6%1.4%562.7K-42.1M-342.5K0.5536.0037220344,43132,863
2012-05-04$25.50$24.0033.7%10.0%28.0%20.8%33.8%4.8%2.0%386.6K-35.3M-349.0K0.3415.761,20241044,65833,007
2012-05-07$25.06$24.0035.3%10.2%27.5%23.1%37.0%5.3%1.3%230.8K-30.0M-334.3K0.5214.4274639044,70732,937
2012-05-08$24.68$24.0034.5%10.0%26.9%22.0%36.1%4.6%2.3%204.3K-26.6M-336.2K0.8110.262,1661,75445,13533,171
2012-05-09$24.19$24.0037.4%10.6%26.1%26.1%37.0%5.2%1.5%208.6K-21.7M-333.6K8.1824.793372,75746,17633,272
2012-05-10$24.23$24.0035.7%10.2%25.1%23.6%33.2%5.7%2.2%-145.5K-19.9M-337.8K0.6014.001,19971946,41435,643
2012-05-11$24.09$24.0035.3%10.1%24.6%23.1%34.0%5.7%2.7%-228.2K-18.3M-331.8K0.7715.101058145,41335,575
2012-05-14$23.63$24.0037.0%10.6%24.7%25.6%36.5%5.9%1.5%-249.8K-13.0M-323.8K1.849.5232760245,45435,602
2012-05-15$23.52$24.0038.2%10.9%22.0%27.2%37.7%6.8%1.2%-278.1K-11.6M-325.5K2.9921.7416248545,63135,740
2012-05-16$23.16$24.0040.2%11.5%19.5%30.2%39.2%7.0%1.8%-205.4K-8.1M-324.2K1.1413.7530234345,66836,102
2012-05-17$22.22$24.0046.0%13.2%23.0%38.5%48.7%9.8%-1.0%76.8K-316.7K-313.7K22.0118.352906,38345,80836,179
2012-05-18$22.35$24.0045.2%13.0%21.9%37.3%42.8%10.2%0.3%-33.5K-865.8K-322.5K5.9914.122651,58745,79738,561
2012-05-21$23.50$24.0039.2%11.2%29.9%28.8%37.3%8.3%3.7%46.7K-18.0M-323.5K0.4814.4998047139,63635,620
2012-05-22$23.45$24.0039.5%11.3%28.7%29.2%42.7%9.4%3.3%67.4K-17.7M-323.8K39.1022.20632,46340,19135,837
2012-05-23$23.73$24.0037.2%10.7%29.0%25.8%37.5%8.5%4.4%-37.1K-19.6M-333.6K0.9614.5329027840,20337,778
2012-05-24$23.78$24.0037.0%10.6%29.1%25.5%36.8%8.7%5.6%-23.6K-19.2M-332.2K1.6112.6721634840,35537,872
2012-05-25$23.52$24.0034.9%10.0%28.7%22.5%36.0%8.6%6.8%-79.0K-17.8M-323.7K0.9420.1937034840,46538,101
2012-05-29$24.19$24.0035.9%10.3%31.1%23.9%37.6%8.2%6.0%48.7K-24.7M-323.3K1.6817.6352087340,67238,091
2012-05-30$23.46$24.0041.5%11.9%32.5%32.0%39.4%8.3%4.2%-88.1K-17.1M-324.3K1.4720.3432948341,05938,856
2012-05-31$23.63$24.0039.2%11.2%32.7%28.7%42.5%9.1%6.1%-51.8K-17.5M-323.1K2.9715.909392,78541,25639,127