TXT Options History — November 2012

In November 2012, TXT traded between $23.12 and $25.59. ATM implied volatility averaged 30.8%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.3% (HV 20d: 29.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.87.

Notable Days

  • 2012-11-01: Highest Volume — 6,521 contracts
  • 2012-11-19: Largest IV drop — 15.4% change
  • 2012-11-05: Highest IV Rank — 39.0%
  • 2012-11-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.97$23.12$25.59$25.59$23.49
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV30.8%25.1%36.7%33.5%27.8%
Expected Move8.8%7.2%10.2%9.6%8.0%
HV 20d29.5%23.4%35.1%31.4%23.4%
HV 60d26.5%24.8%27.4%25.3%26.8%
IV Rank20.6%2.8%39.0%29.0%11.3%
IV Percentile20.3%0.4%50.8%28.6%6.3%
Term Structure1.0%-1.9%2.2%-1.0%0.8%
VWIV30.6%25.5%35.8%33.1%25.5%
Skew 25d5.2%4.0%6.5%4.1%5.4%
Skew 10d9.9%6.8%12.3%7.7%9.1%
Call IV 25d28.7%24.0%33.9%32.5%24.9%
Put IV 25d34.0%28.9%37.9%36.7%30.3%
Bid-Ask Spread %21.1011.8533.7425.0622.61
Gamma HHI0.210.140.290.140.29
Net GEX-27.9K-247.2K611.5K611.5K-136.2K
Net DEX-3.7M-30.3M11.9M-30.3M-829.6K
Net VEX-178.3K-226.5K-143.3K-220.1K-143.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.0814.301.420.22
Total Volume1,608.0481176,5216,521677
Total OI84,264.52475,00890,70787,74477,195

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$25.59$25.0033.5%9.6%31.4%29.0%33.1%4.1%-1.0%611.5K-30.3M-220.1K1.4225.062,6953,82646,76440,980
2012-11-02$25.07$25.0035.5%10.2%31.9%35.2%34.7%4.0%-1.9%227.9K-18.3M-226.5K1.1221.7136540747,30043,077
2012-11-05$25.18$25.0036.7%9.7%32.0%39.0%33.5%5.2%0.2%295.0K-20.3M-220.5K0.9516.9626124747,48543,070
2012-11-06$25.19$25.0035.7%9.6%31.6%35.9%32.9%5.5%0.0%195.3K-19.7M-216.3K0.5211.8520010447,61643,091
2012-11-07$24.10$25.0035.0%9.8%35.1%33.6%33.7%5.2%0.4%-247.2K-142.7K-202.0K2.5814.571,2803,30547,61343,092
2012-11-08$23.89$25.0033.5%9.7%34.9%29.1%33.7%5.3%0.8%-120.7K1.6M-195.2K1.5514.6930547248,09741,754
2012-11-09$23.86$25.0032.1%9.5%34.9%24.6%33.1%5.0%1.0%-107.4K1.9M-193.4K6.0219.415030148,07341,910
2012-11-12$23.79$25.0033.0%9.3%34.7%27.4%32.1%4.6%1.2%-151.2K4.3M-179.7K0.7614.1438429048,08341,761
2012-11-13$23.99$25.0031.8%9.1%34.9%23.8%30.3%4.6%1.7%-145.3K1.4M-180.6K0.3019.891,04831748,26441,820
2012-11-14$23.20$25.0033.7%9.9%33.9%29.6%35.8%5.0%0.6%61.6K11.9M-168.5K5.8120.178815,11548,63141,949
2012-11-15$23.14$25.0034.0%9.7%33.6%30.5%32.4%4.5%0.8%-46.5K10.2M-174.3K0.4328.4646219948,29242,074
2012-11-16$23.12$25.0033.6%9.6%27.5%29.3%35.5%6.3%0.7%-32.4K10.7M-171.7K14.3019.032974,24648,21442,062
2012-11-19$23.57$25.0028.4%8.2%25.7%13.2%27.7%6.5%1.6%-242.6K-725.9K-166.9K0.2621.7682621135,48339,525
2012-11-20$23.56$25.0027.2%7.8%25.6%9.3%28.9%6.2%2.2%-212.9K-560.8K-164.5K0.2219.381,52233835,82439,591
2012-11-21$23.59$25.0026.4%7.6%25.4%6.8%25.5%5.6%2.1%-106.7K-2.2M-161.7K0.0827.091,53011937,07439,607
2012-11-23$23.78$25.0025.7%7.4%25.5%4.5%26.8%5.9%2.2%-107.7K-4.1M-160.3K0.4617.67803736,89939,717
2012-11-26$23.81$25.0026.2%7.5%25.3%6.2%27.9%5.5%1.7%-105.1K-5.6M-151.1K0.8222.5121717836,96139,728
2012-11-27$23.70$25.0026.1%7.5%23.9%5.7%26.4%5.6%1.7%-102.2K-4.1M-149.7K0.5223.8024913037,12239,673
2012-11-28$23.84$25.0025.7%7.4%24.0%4.5%25.7%5.1%2.1%-70.0K-5.3M-150.1K0.3928.6731212137,21039,730
2012-11-29$23.91$25.0025.1%7.2%23.8%2.8%27.7%4.9%1.8%-43.6K-6.7M-147.5K0.5733.741056037,39539,749
2012-11-30$23.49$25.0027.8%8.0%23.4%11.3%25.5%5.4%0.8%-136.2K-829.6K-143.3K0.2222.6155712037,49039,705