TXT Options History — December 2012

In December 2012, TXT traded between $23.02 and $24.79. ATM implied volatility averaged 26.1%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.0% (HV 20d: 18.1%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2012-12-21: Highest Volume — 5,553 contracts
  • 2012-12-06: Largest IV drop — 11.2% change
  • 2012-12-03: Highest IV Rank — 14.2%
  • 2012-12-03: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.10$23.02$24.79$23.08$24.79
Max Pain$22.85$22.00$25.00$25.00$23.00
ATM IV26.1%24.3%28.8%28.8%25.7%
Expected Move7.6%7.0%8.2%8.2%7.4%
HV 20d18.1%15.4%23.2%23.2%17.7%
HV 60d25.6%24.6%27.0%27.0%24.8%
IV Rank5.9%0.1%14.2%14.2%4.6%
IV Percentile4.9%0.4%11.5%9.1%5.6%
Term Structure4.4%0.2%6.4%0.4%4.9%
VWIV26.4%24.3%29.3%28.1%25.7%
Skew 25d3.9%3.0%5.7%5.7%3.7%
Skew 10d9.0%7.3%11.7%9.4%8.7%
Call IV 25d25.1%23.5%26.8%26.8%25.1%
Put IV 25d29.1%27.2%32.5%32.5%28.8%
Bid-Ask Spread %20.745.8243.0628.297.10
Gamma HHI0.310.270.340.330.33
Net GEX184.5K-225.9K515.3K-199.6K515.3K
Net DEX-11.5M-24.7M5.2M3.3M-24.7M
Net VEX-118.4K-134.2K-103.6K-134.2K-103.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.086.701.550.48
Total Volume829.12065,553293338
Total OI75,904.666,34480,15777,62967,450

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$23.08$25.0028.8%8.2%23.2%14.2%28.1%5.7%0.4%-199.6K3.3M-134.2K1.5528.2911517837,87039,759
2012-12-04$23.02$25.0028.7%8.2%23.0%14.0%29.3%5.3%0.2%-225.9K5.2M-131.3K0.1131.244585037,92839,814
2012-12-05$23.17$25.0028.3%8.1%23.2%12.7%26.4%5.2%0.3%-194.2K3.0M-130.5K0.1943.065119637,90239,813
2012-12-06$23.65$25.0025.1%7.2%19.5%2.8%27.4%4.8%1.4%-9.2K-3.4M-130.3K6.7038.031611,07838,07939,808
2012-12-07$23.79$22.0024.3%7.6%19.4%0.1%26.3%3.8%5.0%-58.6K-5.3M-128.6K0.3520.561535338,18740,662
2012-12-10$24.19$22.0025.5%7.7%20.3%4.0%26.9%3.5%4.8%65.9K-11.2M-123.5K0.1020.143443538,20740,674
2012-12-11$24.22$22.0025.3%7.6%20.3%3.3%26.2%3.6%5.4%152.7K-11.9M-125.5K0.6016.7853031938,30840,665
2012-12-12$24.00$22.0024.6%7.5%20.4%1.2%26.6%4.0%5.3%94.7K-8.1M-123.8K2.8023.745916538,38140,903
2012-12-13$24.04$22.0026.4%7.6%16.0%7.0%26.3%3.8%5.1%259.0K-10.1M-121.5K5.9420.975230938,39640,560
2012-12-14$24.26$22.0026.5%7.6%16.2%7.2%25.0%3.4%5.2%203.5K-13.6M-117.8K0.2719.0939910638,42040,643
2012-12-17$24.35$22.0026.7%7.6%16.1%7.6%26.6%3.0%5.3%345.9K-14.5M-116.5K0.4418.9128112338,77340,648
2012-12-18$24.68$22.0025.3%7.2%15.4%3.2%26.4%3.5%5.2%350.8K-20.1M-118.5K0.2515.482847238,92440,668
2012-12-19$24.62$22.0024.4%7.0%15.5%0.6%25.6%3.2%6.0%377.1K-18.7M-113.2K0.0814.791,52212838,96440,672
2012-12-20$24.71$22.0025.0%7.2%15.5%2.5%26.6%3.2%5.5%324.1K-20.5M-112.7K2.5216.8030376339,37440,527
2012-12-21$24.48$22.0026.9%7.7%15.9%8.4%26.9%3.5%4.6%462.2K-16.1M-109.0K2.8617.411,4384,11539,51540,642
2012-12-24$24.41$23.0025.4%7.3%16.0%3.7%24.3%4.5%6.4%318.7K-17.6M-113.4K0.465.8230814133,22233,122
2012-12-26$24.17$23.0025.7%7.4%16.3%4.6%25.0%3.8%5.8%303.2K-14.2M-104.8K0.4116.962379833,43333,217
2012-12-27$24.30$23.0026.1%7.5%16.3%5.9%26.2%3.8%5.6%329.8K-16.8M-105.3K0.3620.7243615633,53533,196
2012-12-28$24.12$23.0027.3%7.8%16.5%9.5%26.7%3.5%5.4%274.3K-15.0M-104.6K0.1118.886026633,93533,296
2012-12-31$24.79$23.0025.7%7.4%17.7%4.6%25.7%3.7%4.9%515.3K-24.7M-103.6K0.487.1022811034,10333,347