TXT Options History — September 2012

In September 2012, TXT traded between $25.95 and $28.36. ATM implied volatility averaged 33.5%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 11.9% (HV 20d: 21.6%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.92.

Notable Days

2012-09-21: Highest Volume — 7,095 contracts
2012-09-13: Largest IV spike — 17.6% change
2012-09-28: Highest IV Rank — 26.2%
2012-09-28: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.15	$25.95	$28.36	$26.41	$26.17
Max Pain	$26.84	$25.00	$28.00	$25.00	$27.00
ATM IV	33.5%	25.8%	39.2%	34.2%	39.2%
Expected Move	9.9%	8.7%	11.2%	9.8%	11.2%
HV 20d	21.6%	14.8%	26.5%	17.8%	26.1%
HV 60d	37.0%	35.3%	39.3%	39.3%	35.3%
IV Rank	16.2%	2.8%	26.2%	17.4%	26.2%
IV Percentile	27.9%	0.8%	59.1%	26.2%	59.1%
Term Structure	-1.2%	-4.5%	4.6%	3.1%	-4.5%
VWIV	34.4%	30.5%	39.1%	31.2%	39.1%
Skew 25d	6.2%	5.1%	7.4%	6.6%	6.3%
Skew 10d	12.3%	9.2%	16.2%	15.2%	12.1%
Call IV 25d	31.9%	27.9%	36.0%	30.6%	35.8%
Put IV 25d	38.0%	34.2%	42.2%	37.2%	42.2%
Bid-Ask Spread %	14.05	7.73	27.16	27.16	14.88
Gamma HHI	0.19	0.11	0.35	0.12	0.16
Net GEX	1.2M	191.8K	2.3M	868.2K	447.7K
Net DEX	-47.0M	-64.3M	-25.4M	-43.5M	-28.1M
Net VEX	-218.6K	-249.7K	-200.3K	-245.5K	-220.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.08	2.96	0.21	0.39
Total Volume	1,405.211	178	7,095	1,238	818
Total OI	79,864.632	64,678	84,680	84,315	71,135

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$26.41	$25.00	34.2%	9.8%	17.8%	17.4%	31.2%	6.6%	3.1%	868.2K	-43.5M	-245.5K	0.21	27.16	1,027	211	44,416	39,899
2012-09-05	$26.32	$25.00	33.8%	9.7%	14.8%	16.7%	34.2%	6.5%	3.5%	808.4K	-42.0M	-249.7K	2.96	18.70	45	133	44,186	39,962
2012-09-06	$27.06	$25.00	30.2%	8.7%	17.4%	10.4%	33.8%	6.3%	4.6%	1.1M	-50.8M	-236.5K	0.80	23.27	220	176	44,237	40,021
2012-09-07	$27.59	$27.00	25.8%	9.3%	18.3%	2.8%	34.8%	6.8%	0.4%	1.5M	-58.5M	-228.9K	1.87	11.48	230	429	44,348	39,971
2012-09-10	$27.11	$27.00	30.1%	9.9%	19.5%	10.4%	31.3%	6.6%	-0.7%	1.2M	-52.6M	-226.0K	0.26	9.04	491	130	44,425	39,875
2012-09-11	$27.09	$27.00	29.4%	9.9%	19.5%	9.0%	34.2%	6.0%	-1.3%	1.1M	-51.6M	-224.6K	1.57	14.33	359	565	44,756	39,924
2012-09-12	$27.67	$27.00	27.4%	9.5%	20.7%	5.5%	33.4%	5.6%	-0.9%	1.5M	-53.1M	-222.7K	0.40	12.20	649	257	42,382	40,331
2012-09-13	$28.19	$27.00	32.2%	9.2%	21.5%	13.9%	30.5%	5.7%	-0.8%	2.0M	-58.7M	-209.1K	0.34	16.26	625	211	42,128	40,349
2012-09-14	$28.36	$27.00	33.0%	9.5%	21.5%	15.4%	31.7%	5.9%	-1.3%	2.3M	-64.3M	-206.5K	0.40	14.95	415	164	42,526	40,395
2012-09-17	$28.22	$27.00	33.9%	9.7%	21.6%	16.9%	34.0%	6.0%	-1.7%	2.2M	-62.2M	-203.5K	1.17	11.21	241	283	42,585	40,332
2012-09-18	$27.86	$27.00	33.7%	9.6%	22.2%	16.5%	33.6%	5.2%	-2.0%	1.7M	-56.5M	-203.6K	1.81	10.07	253	459	42,776	40,531
2012-09-19	$27.94	$28.00	33.5%	9.6%	22.0%	16.2%	35.3%	5.7%	-1.7%	1.5M	-56.7M	-202.8K	1.08	13.14	194	210	42,824	40,793
2012-09-20	$27.54	$28.00	33.4%	9.6%	22.6%	16.0%	34.6%	5.1%	-1.7%	1.1M	-51.5M	-200.3K	0.42	12.00	812	340	42,884	40,872
2012-09-21	$27.12	$27.00	36.3%	10.4%	22.8%	21.0%	38.2%	6.9%	-4.0%	1.3M	-47.9M	-202.0K	2.36	11.22	2,112	4,983	43,101	40,949
2012-09-24	$26.80	$28.00	35.7%	10.2%	23.2%	20.1%	32.6%	7.4%	-3.1%	191.8K	-32.0M	-211.9K	0.08	7.73	5,115	399	32,676	32,002
2012-09-25	$25.99	$27.00	37.5%	10.7%	25.7%	23.2%	36.7%	6.4%	-3.3%	307.3K	-25.9M	-214.9K	0.46	15.46	1,148	525	36,705	32,157
2012-09-26	$25.95	$27.00	38.2%	10.9%	25.7%	24.4%	36.7%	5.8%	-3.2%	360.1K	-25.4M	-219.3K	0.14	10.34	1,649	232	37,609	32,453
2012-09-27	$26.38	$27.00	38.5%	11.0%	26.5%	24.9%	38.5%	6.3%	-3.5%	496.9K	-31.0M	-224.9K	0.86	13.43	317	272	38,366	32,547
2012-09-28	$26.17	$27.00	39.2%	11.2%	26.1%	26.2%	39.1%	6.3%	-4.5%	447.7K	-28.1M	-220.7K	0.39	14.88	588	230	38,439	32,696