TXT Options History — July 2013

In July 2013, TXT traded between $25.62 and $28.96. ATM implied volatility averaged 31.2%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.5% (HV 20d: 24.7%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2013-07-16: Highest Volume — 9,921 contracts
  • 2013-07-11: Largest IV drop — 35.3% change
  • 2013-07-10: Highest IV Rank — 77.5%
  • 2013-07-03: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.43$25.62$28.96$26.18$27.38
Max Pain$26.95$26.00$28.00$26.00$28.00
ATM IV31.2%21.5%47.3%38.5%25.0%
Expected Move8.3%6.2%11.5%11.0%7.2%
HV 20d24.7%19.0%28.8%28.2%21.2%
HV 60d31.4%24.1%41.4%41.2%24.1%
IV Rank38.1%13.7%77.5%55.3%23.4%
IV Percentile49.1%7.1%98.8%87.7%20.6%
Term Structure-1.1%-7.2%2.1%-5.7%1.8%
VWIV29.5%22.6%40.5%38.1%27.8%
Skew 25d2.9%0.6%4.9%4.7%1.3%
Skew 10d5.7%-0.0%11.1%8.1%1.3%
Call IV 25d28.1%20.9%38.7%35.9%25.2%
Put IV 25d31.0%23.8%42.2%40.6%26.5%
Bid-Ask Spread %10.816.4818.5411.329.80
Gamma HHI0.200.140.340.160.18
Net GEX547.3K71.9K1.3M137.8K400.6K
Net DEX-8.6M-23.8M3.8M440.9K-3.6M
Net VEX-154.4K-163.1K-145.3K-148.8K-154.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.092.001.010.09
Total Volume2,174.7273339,9211,395568
Total OI35,603.54530,40640,90330,40637,994

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$26.18$26.0038.5%11.0%28.2%55.3%38.1%4.7%-5.7%137.8K440.9K-148.8K1.0111.3269570015,93514,471
2013-07-02$25.62$26.0039.6%11.3%28.8%58.0%39.5%3.8%-6.7%71.9K3.8M-145.3K0.336.5163220716,48414,920
2013-07-03$25.64$26.0040.2%11.5%27.1%59.8%40.5%3.5%-7.2%148.3K2.8M-147.4K0.8710.9717815517,33615,015
2013-07-05$26.24$26.0040.3%9.2%26.5%60.0%31.9%4.6%-0.9%211.3K-643.9K-149.6K0.4912.5542220617,13515,134
2013-07-08$26.31$26.0045.2%9.5%25.7%72.3%33.5%4.9%-1.9%235.4K-1.5M-147.0K0.799.9136528717,27615,131
2013-07-09$26.89$26.0045.2%9.0%27.0%72.2%32.7%4.6%-1.5%316.1K-5.2M-148.9K1.267.7075194317,39915,222
2013-07-10$27.28$26.0047.3%9.1%27.2%77.5%31.4%4.6%-2.1%402.2K-8.5M-154.6K0.8210.1187871618,10615,821
2013-07-11$27.74$26.0030.6%8.8%26.5%35.4%31.7%4.5%-2.0%485.2K-12.2M-158.0K1.469.3664193518,59016,378
2013-07-12$27.64$27.0031.3%9.0%26.0%37.2%30.6%4.4%-2.4%453.8K-11.2M-160.1K0.8410.281,6261,36018,90416,782
2013-07-15$27.72$27.0032.6%9.4%25.9%40.5%32.4%4.5%-3.6%544.6K-12.6M-158.9K0.596.4870541920,14017,395
2013-07-16$27.73$27.0033.1%9.5%24.8%46.1%33.4%3.9%-4.1%604.5K-13.4M-159.1K0.929.365,1604,76120,53917,606
2013-07-17$27.74$27.0023.1%6.6%24.8%18.2%23.6%2.6%1.5%1.2M-14.2M-153.0K0.4718.544,0431,89221,81019,093
2013-07-18$28.27$27.0022.6%6.5%25.2%16.6%22.6%1.9%2.0%1.3M-19.7M-151.5K0.8411.561,1971,00221,44318,750
2013-07-19$28.54$27.0021.5%6.2%22.1%13.7%22.8%3.0%2.1%728.8K-23.8M-153.3K0.4012.381,22349121,88318,960
2013-07-22$28.96$27.0024.5%7.0%21.9%22.1%24.9%0.6%0.7%582.5K-16.0M-153.9K0.1113.854,76253516,71414,907
2013-07-23$28.91$28.0024.3%7.0%19.0%21.6%25.0%0.9%0.6%1.1M-18.6M-163.1K1.9612.141,4282,80120,30915,226
2013-07-24$27.92$28.0024.6%7.1%24.1%22.3%25.2%1.3%1.0%770.8K-9.4M-161.5K0.8511.8953445320,63715,733
2013-07-25$27.83$28.0024.2%6.9%23.9%21.2%25.3%1.9%1.5%722.8K-8.0M-158.8K2.0010.226281,25620,70215,428
2013-07-26$27.59$28.0024.1%6.9%23.2%20.9%24.7%1.3%1.6%489.9K-4.9M-159.0K1.7411.7116328320,79416,428
2013-07-29$27.65$28.0024.6%7.0%22.5%22.2%25.4%0.9%1.1%542.6K-6.1M-155.9K0.759.6436927620,85416,387
2013-07-30$27.67$28.0024.7%7.1%22.5%22.6%25.5%1.0%0.9%594.1K-6.6M-154.7K1.9311.5740978921,07116,436
2013-07-31$27.38$28.0025.0%7.2%21.2%23.4%27.8%1.3%1.8%400.6K-3.6M-154.2K0.099.805194921,11416,880