TXT Options History — September 2013

In September 2013, TXT traded between $27.28 and $29.50. ATM implied volatility averaged 30.1%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.9% (HV 20d: 26.1%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-09-18: Highest Volume — 2,142 contracts
  • 2013-09-12: Largest IV spike — 24.0% change
  • 2013-09-30: Highest IV Rank — 50.8%
  • 2013-09-30: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.45$27.28$29.50$27.28$27.61
Max Pain$28.00$27.00$29.00$27.00$28.00
ATM IV30.1%25.5%34.8%28.4%34.8%
Expected Move9.0%7.5%10.0%8.2%10.0%
HV 20d26.1%23.0%28.0%25.7%23.0%
HV 60d25.5%24.5%26.6%25.5%24.5%
IV Rank37.6%24.7%50.8%33.0%50.8%
IV Percentile60.9%27.4%82.9%56.3%82.9%
Term Structure-1.1%-4.2%5.9%4.7%-4.2%
VWIV32.1%28.2%35.3%30.9%35.3%
Skew 25d2.6%1.7%3.4%3.4%2.6%
Skew 10d5.1%2.5%7.1%7.1%4.6%
Call IV 25d30.7%25.8%34.3%27.3%34.3%
Put IV 25d33.3%29.1%36.9%30.7%36.9%
Bid-Ask Spread %10.966.8321.5014.577.49
Gamma HHI0.250.160.500.160.19
Net GEX918.8K177.2K2.2M281.2K177.2K
Net DEX-16.5M-30.1M-4.3M-5.2M-4.3M
Net VEX-168.0K-178.8K-152.5K-176.3K-152.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.062.500.460.84
Total Volume928.751012,142559824
Total OI43,163.3532,83950,22944,61434,441

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$27.28$27.0028.4%8.2%25.7%33.0%30.9%3.4%4.7%281.2K-5.2M-176.3K0.4614.5738217724,92519,689
2013-09-04$27.55$27.0026.3%7.5%25.5%27.1%29.4%3.4%5.4%398.8K-7.9M-176.0K0.3117.40772424,91619,808
2013-09-05$28.06$27.0026.1%7.5%26.2%26.5%28.2%3.3%5.9%668.2K-13.2M-177.1K0.5516.6050528024,92919,814
2013-09-06$28.17$28.0025.6%9.2%26.2%25.1%32.0%2.7%-1.0%785.5K-15.6M-178.1K0.068.681,0206325,32719,785
2013-09-09$28.96$28.0025.5%9.1%27.8%24.7%33.1%2.5%-1.4%1.2M-23.7M-177.7K1.069.3953756725,61619,818
2013-09-10$29.50$28.0027.1%9.3%28.0%29.3%32.0%2.3%-1.9%1.3M-30.1M-178.8K0.1510.561,73725925,88720,262
2013-09-11$29.38$28.0026.4%9.2%25.1%27.2%32.6%2.6%-1.8%1.5M-29.3M-176.2K0.479.1446021626,54220,425
2013-09-12$28.43$28.0032.7%9.4%27.2%44.8%32.7%2.9%-2.2%1.1M-18.5M-174.3K0.848.5155846726,75320,451
2013-09-13$28.67$28.0031.1%8.9%26.7%40.3%33.7%2.8%-1.4%1.4M-21.7M-170.1K1.578.8544068927,02920,558
2013-09-16$29.05$28.0031.5%9.0%26.7%41.5%33.4%2.2%-1.9%1.7M-26.7M-169.6K2.5020.4535989727,32121,182
2013-09-17$29.35$28.0031.6%9.0%26.2%41.7%31.6%1.7%-1.9%1.8M-30.1M-169.4K0.3510.7540213927,37521,919
2013-09-18$29.31$28.0031.7%9.1%26.1%42.2%32.2%1.8%-2.3%2.1M-29.6M-166.6K1.3521.509121,23027,36421,922
2013-09-19$29.00$29.0031.2%8.9%26.6%40.7%31.2%2.2%-2.2%2.2M-23.4M-165.1K0.898.8846941927,14122,861
2013-09-20$28.47$29.0031.7%9.1%27.5%42.0%31.5%1.9%-2.2%499.2K-15.3M-160.7K0.5910.2671042027,24422,985
2013-09-23$28.21$29.0031.6%9.1%27.7%41.8%31.7%2.3%-1.8%257.3K-8.0M-158.1K0.827.0151742518,15314,686
2013-09-24$28.28$28.0031.6%9.1%27.6%41.9%31.7%2.4%-2.2%261.0K-8.5M-158.8K0.607.6756733918,48915,040
2013-09-25$27.89$28.0031.9%9.2%24.8%42.8%32.0%2.7%-2.7%221.5K-6.2M-158.3K0.707.7634824518,84515,095
2013-09-26$27.94$28.0032.1%9.2%24.7%43.2%32.8%3.0%-2.9%242.7K-6.5M-158.2K1.866.9215428619,04315,192
2013-09-27$27.90$28.0032.8%9.4%23.6%45.2%33.0%2.5%-3.2%229.7K-6.4M-158.2K0.486.8330714819,14115,294
2013-09-30$27.61$28.0034.8%10.0%23.0%50.8%35.3%2.6%-4.2%177.2K-4.3M-152.5K0.847.4944837619,14115,300