TXT Options History — October 2012

In October 2012, TXT traded between $24.95 and $26.46. ATM implied volatility averaged 38.1%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 11.0% (HV 20d: 27.1%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2012-10-19: Highest Volume — 10,049 contracts
  • 2012-10-11: Largest IV drop — 25.4% change
  • 2012-10-10: Highest IV Rank — 67.7%
  • 2012-10-15: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.58$24.95$26.46$26.46$25.21
Max Pain$25.81$25.00$27.00$27.00$25.00
ATM IV38.1%29.1%52.5%40.7%33.2%
Expected Move10.4%8.3%12.4%11.7%9.5%
HV 20d27.1%19.7%33.3%24.7%32.1%
HV 60d29.7%24.2%35.4%34.9%25.2%
IV Rank36.1%15.2%67.7%28.8%28.1%
IV Percentile51.1%6.0%98.0%67.5%27.8%
Term Structure-2.7%-7.8%0.9%-5.8%-1.4%
VWIV35.8%30.1%43.2%39.6%32.9%
Skew 25d4.2%1.6%6.5%6.5%4.5%
Skew 10d7.8%2.8%12.1%12.1%7.4%
Call IV 25d34.1%28.0%40.1%36.9%30.6%
Put IV 25d38.3%31.0%45.3%43.4%35.1%
Bid-Ask Spread %18.035.6730.7116.3930.71
Gamma HHI0.150.120.200.160.16
Net GEX810.3K219.3K1.8M507.3K782.1K
Net DEX-27.7M-51.5M-13.9M-32.0M-25.3M
Net VEX-208.5K-224.4K-181.3K-214.5K-206.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.045.200.531.82
Total Volume3,70630410,0493045,730
Total OI80,451.14371,38693,53071,38683,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$26.46$27.0040.7%11.7%24.7%28.8%39.6%6.5%-5.8%507.3K-32.0M-214.5K0.5316.3919910538,51732,869
2012-10-02$25.78$27.0040.8%11.7%26.1%28.9%42.0%6.1%-5.7%340.5K-24.4M-210.4K1.5113.3246269838,59332,922
2012-10-03$25.46$27.0042.5%12.2%26.4%38.6%41.7%5.7%-6.5%219.3K-19.9M-206.6K0.5622.6565837038,81533,449
2012-10-04$25.47$27.0043.1%12.4%24.0%45.3%40.7%5.2%-6.4%238.1K-20.3M-206.3K0.0521.203,87021239,24233,764
2012-10-05$25.78$26.0040.6%9.9%23.2%39.3%34.2%5.3%-1.7%506.8K-25.4M-212.0K0.3413.9634111642,79933,879
2012-10-08$25.63$26.0044.8%10.1%22.7%49.3%36.1%4.7%-1.7%472.2K-23.6M-209.3K2.0121.0611422942,91133,981
2012-10-09$25.26$26.0047.1%10.4%23.0%54.9%34.7%4.9%-2.3%346.5K-19.1M-202.1K0.4217.1459925342,98834,130
2012-10-10$25.22$26.0052.5%11.5%21.1%67.7%39.6%3.4%-4.7%403.7K-18.9M-207.7K0.1420.244,10656043,44234,330
2012-10-11$25.42$26.0039.2%11.2%19.9%35.9%37.8%3.1%-4.0%742.6K-25.5M-214.5K0.6215.651,11468746,90834,654
2012-10-12$25.49$26.0040.0%11.5%19.7%49.5%39.0%3.3%-5.1%795.4K-26.6M-213.6K0.0424.172,54511247,06934,682
2012-10-15$26.32$26.0043.1%12.4%23.7%59.3%43.2%5.1%-7.8%1.3M-42.7M-211.1K0.3119.375,3821,68749,41434,700
2012-10-16$26.46$26.0038.1%10.9%23.6%43.5%36.9%4.4%-5.3%1.8M-51.5M-207.1K0.5028.685,1512,58452,99434,372
2012-10-17$24.95$26.0029.1%8.3%30.8%15.2%30.1%3.0%0.2%957.5K-13.9M-181.3K0.6917.315,7283,95752,20435,165
2012-10-18$25.75$25.0030.9%8.9%33.3%20.9%30.4%1.6%-0.4%1.4M-35.5M-195.9K0.2819.015,5001,54454,38536,398
2012-10-19$25.51$25.0034.0%9.8%33.1%30.8%34.7%2.1%-0.3%1.3M-27.5M-205.5K2.8915.572,5857,46456,30037,230
2012-10-22$25.67$25.0031.5%9.0%33.1%22.8%30.5%3.4%0.1%1.0M-33.8M-207.4K0.1514.123,98759043,12134,058
2012-10-23$25.31$25.0034.1%9.8%31.6%30.8%33.5%3.6%-0.6%972.3K-29.3M-208.0K5.2013.993151,63845,07134,363
2012-10-24$25.00$25.0032.9%9.4%31.9%27.3%31.9%4.3%0.4%799.6K-24.3M-211.3K0.7516.342,7772,09645,10335,509
2012-10-25$25.51$25.0031.1%8.9%32.2%21.7%31.0%4.2%0.7%975.7K-30.8M-224.4K1.365.6720427745,82237,153
2012-10-26$25.56$25.0030.2%8.7%32.1%18.7%31.1%3.7%0.9%1.0M-31.9M-222.6K0.5812.0181146945,91037,104
2012-10-31$25.21$25.0033.2%9.5%32.1%28.1%32.9%4.5%-1.4%782.1K-25.3M-206.6K1.8230.712,0343,69645,78937,365