TXT Options History — July 2012

In July 2012, TXT traded between $22.49 and $26.50. ATM implied volatility averaged 40.5%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 5.0% (HV 20d: 45.5%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.97.

Notable Days

  • 2012-07-19: Highest Volume — 21,914 contracts
  • 2012-07-12: Largest IV drop — 27.3% change
  • 2012-07-11: Highest IV Rank — 49.6%
  • 2012-07-11: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.66$22.49$26.50$24.52$26.05
Max Pain$24.43$24.00$25.00$24.00$25.00
ATM IV40.5%33.9%56.1%41.6%35.4%
Expected Move11.1%9.7%12.4%11.9%10.2%
HV 20d45.5%38.7%55.8%41.5%51.0%
HV 60d38.4%34.9%43.0%35.1%42.7%
IV Rank25.3%15.1%49.6%27.0%17.4%
IV Percentile46.1%17.1%87.3%58.3%24.6%
Term Structure-1.2%-4.9%1.7%-4.3%0.8%
VWIV39.6%33.7%48.9%45.1%34.6%
Skew 25d7.6%5.4%10.3%9.6%7.5%
Skew 10d14.8%11.3%19.8%16.6%13.8%
Call IV 25d35.3%29.7%39.4%39.0%32.4%
Put IV 25d43.0%37.5%49.5%48.6%39.9%
Bid-Ask Spread %15.989.8828.0515.5514.76
Gamma HHI0.130.090.280.120.09
Net GEX273.7K-351.6K1.0M460.8K258.7K
Net DEX-30.3M-78.0M-5.0M-27.6M-41.3M
Net VEX-297.8K-323.6K-270.1K-302.2K-312.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.970.0030.992.121.28
Total Volume3,763.04811821,914928599
Total OI83,013.09573,336102,87973,33689,459

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$24.52$24.0041.6%11.9%41.5%27.0%45.1%9.6%-4.3%460.8K-27.6M-302.2K2.1215.5529763138,69334,643
2012-07-03$25.10$24.0041.3%11.8%41.6%26.5%37.0%9.0%-4.3%584.1K-32.1M-299.8K0.0016.14118038,75534,963
2012-07-05$24.86$24.0042.5%12.2%39.5%28.4%46.9%10.3%-4.9%544.2K-31.0M-293.9K1.4417.5910214738,81834,963
2012-07-06$24.23$24.0045.3%11.0%40.6%32.7%34.6%7.6%-1.3%391.7K-24.0M-292.6K0.1712.031,09218838,83935,050
2012-07-09$24.18$24.0047.2%11.0%40.2%35.7%41.5%7.2%-1.1%464.0K-24.3M-287.6K1.4310.309513639,55935,178
2012-07-10$23.20$24.0052.7%11.6%41.4%44.3%41.5%7.1%-2.0%172.3K-14.4M-281.3K3.3015.7825283139,54835,226
2012-07-11$22.49$24.0056.1%12.4%39.9%49.6%39.4%6.8%-2.8%-20.2K-7.7M-270.1K2.0518.901,2582,57839,65935,585
2012-07-12$22.76$24.0040.8%11.7%39.6%25.8%43.4%6.8%-2.0%-117.7K-8.4M-283.5K1.1014.5353658840,40138,096
2012-07-13$23.15$24.0039.4%11.3%39.8%23.6%48.9%6.5%-1.7%-24.5K-12.5M-282.7K2.2515.239721840,73438,518
2012-07-16$22.97$24.0041.3%11.9%38.7%26.6%39.5%6.8%-2.8%-111.5K-10.6M-277.9K30.9926.481414,36940,79638,677
2012-07-17$22.97$25.0041.6%11.9%38.7%27.0%41.6%5.4%-2.7%-351.6K-5.0M-283.6K0.4920.058,0853,96640,88742,653
2012-07-18$23.76$24.0040.5%11.6%39.2%25.3%40.6%6.5%-2.6%408.7K-22.0M-304.3K1.0128.054,7894,83247,61744,560
2012-07-19$26.50$24.0035.1%10.1%55.8%16.9%36.9%6.0%0.2%962.7K-74.0M-288.5K0.2120.7818,1423,77250,47247,262
2012-07-20$26.31$25.0034.3%9.8%53.2%15.7%33.7%7.1%0.8%1.0M-78.0M-296.1K0.3711.556,3082,35453,92448,955
2012-07-23$25.89$25.0035.0%10.0%53.5%16.8%36.6%8.5%1.5%204.8K-39.2M-312.3K1.709.881,1311,91741,03442,433
2012-07-24$25.21$25.0038.3%11.0%52.6%21.9%41.6%8.6%0.4%96.4K-30.3M-313.0K2.3511.265481,28841,68943,526
2012-07-25$25.31$25.0038.0%10.9%52.4%21.4%38.8%9.1%0.6%49.2K-30.0M-323.6K2.0415.3442586641,92144,451
2012-07-26$25.57$25.0034.6%9.9%52.2%16.1%36.3%8.8%1.7%98.0K-33.1M-318.2K0.9411.741,3001,22742,18445,010
2012-07-27$26.40$25.0033.9%9.7%53.1%15.1%34.6%7.8%1.7%337.0K-45.3M-312.4K0.6814.441,30289142,96345,932
2012-07-30$26.36$25.0035.3%10.1%51.1%17.2%39.2%7.4%0.7%318.3K-44.9M-317.7K6.3815.172181,39043,28346,359
2012-07-31$26.05$25.0035.4%10.2%51.0%17.4%34.6%7.5%0.8%258.7K-41.3M-312.6K1.2814.7626333643,27046,189