TXT Options History — October 2013

In October 2013, TXT traded between $26.46 and $29.12. ATM implied volatility averaged 31.1%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 10.2% (HV 20d: 20.9%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.18.

Notable Days

  • 2013-10-18: Highest Volume — 5,352 contracts
  • 2013-10-10: Largest IV drop — 24.8% change
  • 2013-10-09: Highest IV Rank — 82.2%
  • 2013-10-03: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.83$26.46$29.12$27.87$28.79
Max Pain$27.09$26.00$28.00$28.00$27.00
ATM IV31.1%21.7%46.1%34.7%21.7%
Expected Move8.5%6.2%10.9%10.0%6.2%
HV 20d20.9%17.9%22.8%22.8%20.4%
HV 60d24.4%23.1%25.1%24.6%23.1%
IV Rank42.8%16.5%82.2%50.6%16.5%
IV Percentile54.8%7.9%98.8%82.9%7.9%
Term Structure-1.6%-4.6%1.1%-4.3%0.8%
VWIV30.4%22.0%38.5%35.2%22.0%
Skew 25d2.3%0.7%3.7%2.2%1.1%
Skew 10d5.5%1.5%10.4%4.4%2.3%
Call IV 25d29.2%22.2%38.0%34.5%22.2%
Put IV 25d31.5%23.3%40.4%36.7%23.3%
Bid-Ask Spread %14.777.4533.147.6110.63
Gamma HHI0.180.140.230.210.21
Net GEX407.3K56.6K897.0K247.9K837.4K
Net DEX-8.2M-19.8M3.3M-6.3M-17.4M
Net VEX-143.3K-155.7K-129.0K-155.7K-129.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.044.670.344.67
Total Volume1,180.6523115,352533590
Total OI36,893.65234,18841,14235,00435,733

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$27.87$28.0034.7%10.0%22.8%50.6%35.2%2.2%-4.3%247.9K-6.3M-155.7K0.347.6139913419,53915,465
2013-10-02$27.63$28.0036.8%10.6%22.8%56.4%37.2%2.1%-4.6%214.9K-4.6M-154.0K1.0810.6469174719,73715,523
2013-10-03$27.10$28.0038.2%10.9%22.7%60.1%38.5%2.3%-4.6%145.3K-1.1M-153.0K1.3312.047701,02320,10415,803
2013-10-04$27.12$27.0038.6%9.6%22.7%61.4%33.1%3.3%-2.7%105.2K-537.3K-155.0K0.3715.0862623420,41116,495
2013-10-07$26.88$27.0042.9%10.0%19.9%73.2%34.5%3.1%-3.3%86.9K892.7K-150.8K0.0416.475442420,66316,550
2013-10-08$26.60$27.0045.1%10.3%18.2%79.5%37.6%3.0%-3.1%81.8K2.2M-149.2K0.4818.1723211121,08716,565
2013-10-09$26.46$27.0046.1%10.5%18.2%82.2%37.2%2.6%-3.6%62.3K3.3M-146.0K0.4910.6982040221,22816,540
2013-10-10$27.26$27.0034.7%9.9%19.1%50.4%34.9%3.4%-3.2%185.1K-3.0M-151.8K0.4519.8558026021,46616,777
2013-10-11$27.31$27.0033.1%9.5%18.8%46.1%33.3%3.7%-2.5%188.0K-3.7M-152.1K1.0318.3434735621,73716,931
2013-10-14$27.29$27.0034.2%9.8%17.9%49.1%35.7%3.3%-3.1%175.2K-3.3M-148.4K3.6922.1411141021,72917,043
2013-10-15$26.67$27.0034.9%10.0%18.5%59.8%35.8%3.2%-3.5%56.6K2.0M-141.4K0.7923.4343134221,81217,127
2013-10-16$27.06$27.0033.5%9.6%19.7%55.0%33.6%3.3%-3.1%99.3K-1.1M-142.1K0.8227.4154444621,94717,366
2013-10-17$27.52$27.0031.1%8.9%20.8%47.5%32.8%2.7%-2.3%183.6K-5.3M-142.0K0.5333.142,8361,50221,74517,428
2013-10-18$28.25$26.0024.6%7.0%22.3%26.0%26.7%2.6%1.1%836.3K-17.6M-137.7K0.9510.492,7452,60723,35817,784
2013-10-21$28.18$27.0024.1%6.9%22.1%24.5%24.7%1.4%0.7%464.8K-11.7M-135.8K1.0211.2651152219,78314,405
2013-10-22$28.41$27.0023.5%6.7%22.3%22.6%23.8%1.6%0.9%559.2K-12.6M-142.3K0.2911.3350014620,15014,738
2013-10-23$28.51$27.0023.2%6.6%21.6%21.5%23.7%1.7%0.9%597.2K-14.0M-139.1K0.407.572228920,41214,769
2013-10-24$29.04$27.0023.4%6.7%22.5%22.1%24.0%1.0%0.8%775.9K-19.0M-137.9K0.157.456129020,51014,832
2013-10-25$29.07$27.0022.6%6.5%22.5%19.6%24.2%0.7%0.8%836.4K-19.2M-137.5K3.889.5924996520,84714,859
2013-10-28$29.04$27.0023.1%6.6%22.0%21.1%23.9%1.3%0.2%846.8K-19.2M-132.7K0.1711.563575920,86215,029
2013-10-29$29.12$27.0022.8%6.5%21.9%20.4%24.2%1.7%0.5%884.5K-19.8M-131.6K3.7211.052941,09320,95815,048
2013-10-30$28.99$27.0022.0%6.3%21.6%17.7%22.4%1.2%0.9%897.0K-18.7M-131.6K0.3913.8741916321,05114,608
2013-10-31$28.79$27.0021.7%6.2%20.4%16.5%22.0%1.1%0.8%837.4K-17.4M-129.0K4.6710.6310448621,10914,624