TXT Options History — March 2014

In March 2014, TXT traded between $37.75 and $40.18. ATM implied volatility averaged 25.3%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.2% (HV 20d: 24.1%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2014-03-04: Highest Volume — 6,406 contracts
  • 2014-03-13: Largest IV spike — 28.9% change
  • 2014-03-13: Highest IV Rank — 51.2%
  • 2014-03-12: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.83$37.75$40.18$39.11$39.29
Max Pain$34.14$32.00$35.00$32.00$35.00
ATM IV25.3%22.6%32.7%26.4%22.8%
Expected Move8.7%8.2%9.3%8.5%8.6%
HV 20d24.1%20.5%29.2%29.2%23.4%
HV 60d33.8%26.0%38.5%38.1%27.3%
IV Rank22.7%8.2%51.2%32.0%9.2%
IV Percentile28.3%6.0%81.7%46.0%7.5%
Term Structure3.1%-2.8%7.6%4.1%7.6%
VWIV32.1%27.4%35.0%27.4%35.0%
Skew 25d3.2%2.4%4.1%3.4%2.5%
Skew 10d6.9%3.9%10.1%7.9%6.2%
Call IV 25d25.6%22.0%31.4%25.4%22.0%
Put IV 25d28.7%24.4%35.5%28.8%24.4%
Bid-Ask Spread %24.9414.1131.5018.5231.22
Gamma HHI0.240.130.410.210.18
Net GEX1.6M317.7K2.9M1.4M632.9K
Net DEX-28.1M-49.5M-10.2M-38.6M-17.8M
Net VEX-140.6K-156.4K-127.4K-151.7K-127.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.053.640.350.43
Total Volume945.5242026,406374233
Total OI35,508.52419,44042,96639,36920,604

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$39.11$32.0026.4%8.5%29.2%32.0%27.4%3.4%4.1%1.4M-38.6M-151.7K0.3518.522779718,55320,816
2014-03-04$39.89$32.0023.4%8.6%25.5%22.4%32.9%2.6%5.9%1.6M-45.7M-142.3K0.0523.536,10630018,45420,851
2014-03-05$39.97$32.0023.9%8.5%24.9%23.7%32.3%3.0%5.6%2.4M-49.5M-151.9K0.7819.8065151120,63020,957
2014-03-06$40.11$32.0023.7%8.6%24.3%23.2%27.8%3.8%5.9%2.2M-49.5M-156.4K3.2826.279932520,93121,175
2014-03-07$40.18$32.0023.4%8.6%24.3%22.3%31.3%3.9%-1.7%2.4M-49.5M-155.0K0.4017.4031212420,94221,393
2014-03-10$39.63$32.0024.4%8.6%25.1%25.4%29.5%4.0%-2.1%2.5M-44.4M-149.5K1.2014.1128734420,91221,440
2014-03-11$39.22$35.0025.4%8.5%24.4%28.7%33.3%3.8%-2.6%2.4M-40.0M-152.4K0.5026.4333917121,02121,582
2014-03-12$38.79$35.0025.1%9.3%23.8%27.6%0.0%3.6%-2.4%2.4M-29.5M-150.3K1.0330.1926627319,43021,688
2014-03-13$37.82$35.0032.3%9.1%25.2%51.2%31.9%3.6%-2.3%1.4M-18.8M-146.8K1.0326.0248149619,35521,748
2014-03-14$37.75$35.0032.7%9.0%25.2%45.9%33.9%4.1%-2.7%1.3M-18.1M-146.6K0.6825.2452035419,48921,933
2014-03-17$38.40$35.0032.6%8.8%25.5%45.6%0.0%3.8%-2.8%2.1M-24.3M-138.9K0.3228.211534919,62322,058
2014-03-18$38.79$35.0024.3%8.7%25.3%14.9%0.0%3.0%5.1%2.9M-28.6M-136.8K0.2630.161,17930619,64222,073
2014-03-19$38.56$35.0024.5%8.6%24.7%15.3%33.5%2.6%4.6%2.6M-26.2M-134.8K0.0931.501,48313620,12322,165
2014-03-20$38.47$35.0024.9%9.1%21.8%16.9%0.0%2.5%4.5%2.4M-25.0M-134.3K0.5026.5545522820,89422,072
2014-03-21$38.41$35.0024.1%8.9%21.7%14.1%33.6%2.4%5.1%1.3M-23.7M-130.0K0.7818.1029523120,83922,120
2014-03-24$37.89$35.0023.8%8.9%20.5%12.8%32.9%2.7%6.5%317.7K-10.4M-128.1K0.7127.0922515910,0939,347
2014-03-25$38.90$35.0023.1%8.6%22.5%10.1%33.9%2.4%6.8%459.9K-14.9M-127.6K0.4920.4855127010,1349,371
2014-03-26$38.02$35.0024.2%9.0%23.9%14.2%35.0%2.9%5.9%343.4K-11.0M-129.4K0.1924.1475614010,4259,631
2014-03-27$37.78$35.0023.7%8.2%21.4%12.4%0.0%3.4%6.5%348.9K-10.2M-130.8K3.6431.404416010,8999,662
2014-03-28$38.53$35.0022.6%8.6%22.8%8.2%0.0%2.7%7.4%494.3K-14.0M-130.8K1.3627.4419927110,9169,688
2014-03-31$39.29$35.0022.8%8.6%23.4%9.2%0.0%2.5%7.6%632.9K-17.8M-127.4K0.4331.221637010,9169,688