TXT Options History — August 2012

In August 2012, TXT traded between $25.20 and $27.27. ATM implied volatility averaged 30.2%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 7.4% (HV 20d: 37.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.03.

Notable Days

  • 2012-08-20: Highest Volume — 4,910 contracts
  • 2012-08-16: Largest IV spike — 16.2% change
  • 2012-08-01: Highest IV Rank — 20.0%
  • 2012-08-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.59$25.20$27.27$25.40$26.72
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV30.2%26.5%37.1%37.1%29.1%
Expected Move9.0%7.9%10.6%10.6%8.3%
HV 20d37.6%17.9%53.4%51.4%17.9%
HV 60d41.9%39.1%44.1%42.9%39.3%
IV Rank10.0%3.9%20.0%20.0%8.5%
IV Percentile8.5%1.2%33.7%33.7%5.2%
Term Structure3.7%0.6%5.6%0.6%5.6%
VWIV31.5%25.6%38.0%36.4%32.9%
Skew 25d6.7%6.2%7.5%7.2%6.9%
Skew 10d13.5%11.6%15.3%14.2%15.3%
Call IV 25d28.7%25.4%33.2%32.8%27.2%
Put IV 25d35.4%31.8%40.0%40.0%34.1%
Bid-Ask Spread %16.4610.1323.3614.3723.36
Gamma HHI0.120.090.210.090.13
Net GEX805.6K44.5K1.2M44.5K1.0M
Net DEX-48.5M-63.5M-29.8M-31.7M-46.7M
Net VEX-274.6K-314.3K-254.6K-314.3K-257.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.013.252.132.64
Total Volume988.871454,9102,047331
Total OI86,802.73978,37890,53890,03384,252

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$25.40$25.0037.1%10.6%51.4%20.0%36.4%7.2%0.6%44.5K-31.7M-314.3K2.1314.376551,39243,58546,448
2012-08-02$25.20$25.0036.2%10.4%51.4%18.6%38.0%6.5%1.3%93.3K-29.8M-307.8K3.2516.8011838343,62145,605
2012-08-03$26.46$25.0032.7%9.4%53.1%13.2%32.0%6.2%2.2%493.2K-47.7M-299.4K1.4517.3327840443,65245,770
2012-08-06$26.11$25.0033.6%10.1%53.4%14.5%34.4%7.5%1.3%386.9K-43.9M-292.2K0.6410.131499643,74345,953
2012-08-07$26.83$25.0029.7%9.4%51.2%8.5%32.6%6.9%2.5%703.4K-54.3M-284.7K2.2515.297561,70043,80645,969
2012-08-08$26.53$25.0029.4%9.4%49.7%8.4%32.2%7.0%2.4%671.7K-49.8M-292.8K0.9113.3023221044,12545,480
2012-08-09$26.81$25.0028.3%9.3%49.7%6.5%34.8%6.7%2.2%795.2K-54.0M-287.2K0.6512.0517111144,20245,488
2012-08-10$26.83$25.0026.9%9.0%49.6%4.6%31.5%6.6%3.3%830.2K-54.3M-284.6K0.9515.19827844,29445,508
2012-08-13$26.94$25.0029.2%9.0%49.3%8.6%30.6%6.7%3.3%938.9K-56.3M-276.9K0.6912.28865944,35645,544
2012-08-14$26.79$25.0027.9%9.1%49.5%6.4%31.0%7.0%3.1%938.6K-55.0M-271.4K0.3314.262157144,37545,544
2012-08-15$26.80$25.0026.5%8.9%48.6%3.9%32.3%6.8%3.4%979.8K-55.1M-268.6K0.0415.036172644,39545,579
2012-08-16$27.00$25.0030.7%8.8%29.6%11.4%33.8%6.4%4.0%1.1M-57.6M-264.5K0.0717.601,2678544,17345,420
2012-08-17$27.19$25.0029.2%8.4%29.6%8.7%27.2%6.6%4.7%1.2M-63.5M-264.3K0.1422.212,94240245,12045,418
2012-08-20$27.27$25.0028.3%8.1%28.8%7.2%25.6%6.5%4.8%759.1K-51.5M-257.8K0.0115.504,8476339,38438,994
2012-08-21$27.10$25.0028.3%8.1%26.9%7.1%29.5%6.2%5.0%1.2M-52.7M-270.9K0.9515.5341739843,81439,032
2012-08-22$26.93$25.0027.7%7.9%27.1%6.1%30.2%6.2%5.1%1.1M-49.7M-268.7K1.5816.6810917243,92539,180
2012-08-23$26.58$25.0029.2%8.4%27.6%8.6%30.4%6.5%4.9%948.1K-46.3M-264.3K0.7622.2531523943,46839,204
2012-08-24$26.53$25.0029.0%8.3%25.2%8.4%30.7%6.5%5.4%895.7K-44.9M-264.6K1.2516.4230237843,50939,234
2012-08-27$26.44$25.0031.7%9.1%25.2%13.1%28.3%6.9%4.5%885.2K-43.8M-256.1K0.1618.201,09317443,73839,482
2012-08-28$26.49$25.0031.8%9.1%24.8%13.2%31.0%6.9%4.5%917.7K-44.5M-256.4K1.9518.0313325944,24439,619
2012-08-29$26.45$25.0031.6%9.1%22.9%12.9%29.6%7.2%4.5%878.8K-43.8M-254.6K0.8517.8520517544,27839,748
2012-08-30$26.06$25.0031.4%9.0%23.4%12.6%29.2%6.7%5.3%723.4K-39.0M-256.0K0.0718.885113844,36139,824
2012-08-31$26.72$25.0029.1%8.3%17.9%8.5%32.9%6.9%5.6%1.0M-46.7M-257.0K2.6423.369124044,40439,848