TXT Options History — June 2012

In June 2012, TXT traded between $22.69 and $25.89. ATM implied volatility averaged 40.4%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 0.8% (HV 20d: 39.6%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2012-06-19: Highest Volume — 4,515 contracts
  • 2012-06-14: Largest IV spike — 23.1% change
  • 2012-06-04: Highest IV Rank — 38.2%
  • 2012-06-04: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.16$22.69$25.89$22.69$24.87
Max Pain$23.67$23.00$24.00$24.00$24.00
ATM IV40.4%33.7%46.7%45.1%39.0%
Expected Move12.4%10.3%13.9%12.9%11.2%
HV 20d39.6%34.4%43.4%34.8%41.0%
HV 60d33.2%30.6%35.4%31.0%35.4%
IV Rank26.1%14.8%38.2%37.2%23.0%
IV Percentile52.7%25.4%75.8%69.8%44.8%
Term Structure-2.0%-4.0%3.9%3.9%-2.0%
VWIV43.6%35.2%49.8%45.4%38.9%
Skew 25d8.4%7.4%9.9%9.8%8.2%
Skew 10d15.5%12.0%18.9%17.7%17.1%
Call IV 25d39.9%33.4%45.2%42.9%36.6%
Put IV 25d48.3%41.3%53.5%52.8%44.8%
Bid-Ask Spread %14.159.7923.7620.5111.16
Gamma HHI0.130.110.160.140.12
Net GEX237.6K-267.7K620.0K-224.2K503.2K
Net DEX-23.9M-39.9M-8.2M-8.6M-30.6M
Net VEX-322.3K-334.1K-309.7K-333.6K-309.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.073.553.550.34
Total Volume1,150.1431314,5151,958816
Total OI79,202.66768,94687,82483,73473,213

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$22.69$24.0045.1%12.9%34.8%37.2%45.4%9.8%3.9%-224.2K-8.6M-333.6K3.5520.514301,52842,05941,675
2012-06-04$22.70$23.0045.7%13.9%34.4%38.2%48.7%8.3%-3.0%-267.7K-8.2M-324.5K0.1623.762243642,13741,693
2012-06-05$23.21$23.0041.5%13.5%35.4%32.0%46.3%8.0%-2.5%-178.8K-14.2M-326.8K1.3713.1714720142,07441,705
2012-06-06$24.16$23.0036.4%12.8%38.4%24.7%43.1%7.6%-2.1%64.8K-24.5M-327.1K0.079.791,3459842,14341,882
2012-06-07$23.94$23.0035.5%12.8%37.9%17.5%43.7%8.0%-2.0%91.2K-23.8M-325.9K0.5910.3332119042,91341,933
2012-06-08$24.31$23.0033.7%12.6%38.3%14.8%45.7%7.4%-2.0%189.6K-26.7M-323.5K0.5214.6633717442,95042,003
2012-06-11$23.58$23.0038.9%13.2%39.8%22.8%48.2%8.1%-3.4%43.4K-19.9M-313.1K3.0012.127652,29543,07742,024
2012-06-12$24.52$23.0036.7%12.7%41.6%19.4%47.0%8.3%-3.3%181.2K-28.7M-322.4K0.9413.2536234143,68144,143
2012-06-13$23.94$24.0037.9%13.5%42.5%21.2%48.8%9.9%-4.0%322.5K-17.2M-323.2K1.0512.7774678641,61144,209
2012-06-14$24.29$24.0046.7%13.4%42.3%34.9%44.5%9.7%-3.6%541.3K-22.7M-327.0K0.5813.2562736242,28144,388
2012-06-15$24.84$24.0042.1%12.1%39.5%27.8%42.9%9.3%-2.3%92.3K-28.2M-324.3K0.0719.713,21622242,35944,695
2012-06-18$24.74$24.0038.7%11.1%39.7%22.6%39.8%8.3%-0.7%387.4K-29.7M-321.3K0.3617.9166824136,31732,629
2012-06-19$25.49$24.0038.4%11.0%37.2%22.0%35.5%7.9%-0.7%506.9K-36.7M-321.9K0.7110.542,6371,87836,85032,820
2012-06-20$25.89$24.0036.0%10.3%37.4%18.3%35.2%7.9%0.4%620.0K-39.9M-334.1K0.4119.4153321938,66134,352
2012-06-21$24.74$24.0039.5%11.3%41.3%23.7%40.3%8.0%-0.8%481.9K-30.9M-327.9K1.3416.6722930738,93333,971
2012-06-22$24.57$24.0039.5%11.3%41.4%23.8%40.1%8.5%-1.3%446.4K-28.5M-324.4K0.579.9647226938,95534,072
2012-06-25$23.68$24.0044.2%12.7%43.4%31.1%45.5%8.6%-2.6%292.1K-20.8M-316.4K0.2511.981052639,25334,311
2012-06-26$23.46$24.0046.6%13.4%42.3%34.8%43.1%8.3%-3.4%262.8K-19.0M-312.0K1.2512.5114818539,28834,322
2012-06-27$23.90$24.0042.9%12.3%41.4%29.0%44.0%8.2%-2.7%325.2K-21.8M-315.7K1.7811.468815739,33034,483
2012-06-28$23.82$24.0043.6%12.5%41.3%30.1%49.8%8.7%-3.0%309.2K-21.3M-314.0K3.4412.269532739,31234,549
2012-06-29$24.87$24.0039.0%11.2%41.0%23.0%38.9%8.2%-2.0%503.2K-30.6M-309.7K0.3411.1660920738,55134,662