TXT Options History — January 2014

In January 2014, TXT traded between $34.75 and $38.00. ATM implied volatility averaged 25.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 16.9% (HV 20d: 42.7%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2014-01-22: Highest Volume — 12,581 contracts
  • 2014-01-16: Largest IV spike — 45.7% change
  • 2014-01-21: Highest IV Rank — 56.2%
  • 2014-01-27: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.14$34.75$38.00$36.29$35.50
Max Pain$32.57$32.00$35.00$35.00$32.00
ATM IV25.7%20.3%33.8%27.3%27.9%
Expected Move8.6%7.3%9.3%8.6%9.1%
HV 20d42.7%24.2%52.5%52.2%29.4%
HV 60d34.4%33.2%36.4%34.0%36.4%
IV Rank29.8%12.2%56.2%34.8%36.8%
IV Percentile40.1%3.2%84.5%56.7%66.7%
Term Structure-0.0%-3.5%3.9%3.4%0.5%
VWIV33.1%26.7%48.9%32.3%30.4%
Skew 25d2.6%1.6%4.0%1.9%3.3%
Skew 10d5.8%3.9%14.1%5.5%6.8%
Call IV 25d27.5%21.4%32.9%27.4%26.2%
Put IV 25d30.0%23.7%35.3%29.3%29.5%
Bid-Ask Spread %33.9412.7063.8321.8141.19
Gamma HHI0.170.100.510.170.10
Net GEX1.6M-385.2K3.4M2.7M-385.2K
Net DEX-40.8M-71.9M5.8M-70.8M5.8M
Net VEX-173.3K-206.3K-152.5K-163.7K-194.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.083.610.530.76
Total Volume2,880.47615812,5819601,741
Total OI52,495.09529,88261,78457,13547,177

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$36.29$35.0027.3%8.6%52.2%34.8%32.3%1.9%3.4%2.7M-70.8M-163.7K0.5321.8162633433,28823,847
2014-01-03$36.31$35.0026.4%8.7%51.9%32.0%35.8%3.3%3.9%2.7M-67.7M-170.4K0.1812.931,73832133,62523,796
2014-01-06$36.16$35.0026.8%8.7%52.0%33.4%0.0%2.0%-1.3%2.8M-67.3M-164.5K0.9914.7494093333,62423,893
2014-01-07$35.76$35.0023.7%8.9%52.3%23.3%30.2%2.1%-1.1%2.6M-61.0M-164.9K0.3012.703,7951,15233,24524,620
2014-01-08$35.78$32.0023.9%8.8%52.1%24.0%32.7%2.1%-1.0%2.6M-61.4M-166.0K1.3615.0642858133,09725,122
2014-01-09$35.82$32.0024.1%8.8%52.0%24.5%0.0%2.0%-0.8%2.5M-61.4M-165.5K0.0813.152,62820933,11925,610
2014-01-10$35.67$32.0022.0%8.8%51.3%17.7%39.5%2.0%-1.0%2.7M-61.7M-167.5K0.7515.8575056634,87425,739
2014-01-13$34.75$32.0026.3%8.7%52.5%31.8%29.9%2.0%-1.2%2.6M-47.5M-163.1K0.9824.6076774835,45025,968
2014-01-14$35.20$32.0023.8%8.8%52.5%23.5%0.0%1.6%-1.2%2.7M-55.0M-159.9K0.8129.1534427735,63226,014
2014-01-15$35.61$32.0020.3%8.7%52.2%12.2%0.0%1.8%-1.3%2.6M-61.5M-154.4K0.4031.111,67067135,05825,959
2014-01-16$35.65$32.0029.6%8.3%52.2%42.5%0.0%2.2%-1.4%2.4M-64.6M-153.0K0.5438.381,07958235,52925,862
2014-01-17$36.10$32.0029.6%8.3%52.0%42.4%0.0%2.9%-1.5%3.4M-71.9M-152.5K0.4253.012,37098935,52226,262
2014-01-21$36.10$32.0033.8%9.0%51.8%56.2%31.9%2.3%-3.5%604.1K-17.7M-154.0K2.7321.452,8407,74715,55614,326
2014-01-22$38.00$32.0022.1%8.5%25.9%18.1%27.9%2.5%1.2%869.1K-30.8M-157.3K0.6258.697,7504,83116,83620,818
2014-01-23$37.79$32.0021.8%7.3%24.2%17.1%34.9%1.9%1.8%325.2K-23.8M-181.8K0.0852.653,93832418,98923,970
2014-01-24$36.41$32.0026.2%8.7%27.7%31.2%0.0%3.1%1.1%135.0K-8.7M-196.6K1.0948.271,6481,79521,20223,093
2014-01-27$36.77$32.0025.7%9.3%27.8%29.8%26.7%3.4%0.7%177.5K-11.8M-206.3K1.7259.1937063521,80424,345
2014-01-28$36.83$32.0025.1%8.2%27.5%27.7%0.0%3.7%0.8%157.7K-11.3M-203.5K0.6347.76976121,81324,762
2014-01-29$36.10$32.0027.3%8.0%28.4%34.8%48.9%4.0%0.4%-188.5K-1.9M-204.6K3.6163.8324688721,81024,787
2014-01-30$36.39$32.0026.4%8.7%28.4%31.9%29.4%3.7%0.7%-68.8K-5.5M-194.8K0.6537.2565742521,74824,606
2014-01-31$35.50$32.0027.9%9.1%29.4%36.8%30.4%3.3%0.5%-385.2K5.8M-194.2K0.7641.1999274922,31824,859