TXT Options History — July 2014

In July 2014, TXT traded between $36.37 and $39.00. ATM implied volatility averaged 26.8%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.5% (HV 20d: 20.3%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2014-07-15: Highest Volume — 5,887 contracts
  • 2014-07-10: Largest IV drop — 26.5% change
  • 2014-07-09: Highest IV Rank — 73.6%
  • 2014-07-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.91$36.37$39.00$38.48$36.37
Max Pain$37.42$37.00$39.00$37.00$39.00
ATM IV26.8%20.3%39.9%31.9%24.3%
Expected Move7.9%7.4%8.4%8.3%7.9%
HV 20d20.3%18.4%22.6%21.3%18.7%
HV 60d22.3%19.6%25.2%25.2%19.7%
IV Rank27.5%4.2%73.6%45.3%18.9%
IV Percentile45.2%2.4%98.0%83.3%38.9%
Term Structure-1.0%-6.6%1.8%-5.1%0.1%
VWIV27.8%25.5%33.3%30.1%28.3%
Skew 25d2.7%1.5%4.1%3.1%2.6%
Skew 10d4.4%0.1%10.6%5.1%1.9%
Call IV 25d24.7%19.9%31.5%30.9%23.5%
Put IV 25d27.4%21.9%34.4%33.9%26.1%
Bid-Ask Spread %38.4723.3682.9033.0423.36
Gamma HHI0.140.100.470.110.10
Net GEX587.8K216.2K2.0M556.1K255.8K
Net DEX-9.8M-23.5M-2.6M-10.5M-2.6M
Net VEX-121.6K-131.3K-115.2K-123.9K-122.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.042.740.510.83
Total Volume1,559.6822055,887496993
Total OI25,182.90921,22833,69122,53124,697

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$38.48$37.0031.9%8.3%21.3%45.3%0.0%3.1%-5.1%556.1K-10.5M-123.9K0.5133.0432916712,35410,177
2014-07-02$38.17$37.0032.8%8.4%21.4%48.4%0.0%2.9%-6.6%488.6K-8.9M-122.6K0.6534.381248112,52410,325
2014-07-03$38.33$37.0032.1%8.3%21.1%46.1%0.0%2.8%-5.4%531.3K-9.7M-121.2K0.0436.331,1044012,56110,379
2014-07-07$37.71$37.0036.3%8.4%20.7%61.0%30.1%2.7%-1.4%351.9K-6.4M-115.2K1.7737.0925645212,53810,414
2014-07-08$37.18$37.0038.8%8.3%19.4%70.0%0.0%2.4%-2.2%216.2K-3.7M-115.4K0.1534.7493313912,72810,777
2014-07-09$37.34$37.0039.9%8.3%19.7%73.6%26.4%2.3%-2.3%234.6K-3.8M-115.3K0.1754.633155212,63610,831
2014-07-10$37.34$37.0029.3%8.3%19.3%36.0%33.3%3.0%-2.9%272.0K-4.2M-116.6K0.7739.032,7002,07912,88310,883
2014-07-11$37.89$37.0028.7%8.3%19.3%35.2%0.0%4.1%-2.3%514.6K-9.0M-129.8K2.7434.484291,17615,03512,748
2014-07-14$38.56$37.0028.5%8.1%20.5%34.8%0.0%3.4%-1.5%709.1K-14.2M-131.3K0.6132.161,57795815,32613,691
2014-07-15$38.37$37.0029.7%7.8%20.6%39.1%0.0%3.2%-2.2%581.4K-13.5M-130.6K1.3245.572,5363,35115,83914,279
2014-07-16$39.00$37.0022.8%7.9%21.4%13.4%28.2%1.7%-0.7%1.9M-23.5M-124.0K1.1134.432,0552,28117,51016,181
2014-07-17$38.32$37.0023.3%8.0%22.1%15.5%0.0%2.5%0.3%1.2M-15.5M-127.1K0.8041.2589471217,33115,321
2014-07-18$38.76$37.0021.0%8.0%22.6%6.9%0.0%2.3%1.4%2.0M-19.3M-124.2K0.4231.411,14748517,44615,492
2014-07-21$38.81$0.0020.9%7.6%22.4%6.3%0.0%2.6%1.8%482.5K-13.8M-120.2K0.5682.9052729511,4279,801
2014-07-22$38.89$0.0020.3%7.5%22.0%4.2%0.0%2.0%1.1%564.3K-14.3M-116.2K0.6534.2544629111,7979,958
2014-07-23$38.20$0.0020.9%7.5%19.2%6.6%26.2%2.5%1.6%438.0K-11.1M-116.6K1.3056.8129538411,99510,147
2014-07-24$37.99$38.0021.1%7.4%19.2%7.1%0.0%2.6%0.7%401.7K-9.8M-118.3K0.7349.0135926212,13510,167
2014-07-25$37.63$38.0020.4%7.4%19.5%4.6%26.8%2.7%1.7%364.5K-8.1M-119.3K0.3525.2468023712,31410,114
2014-07-28$37.01$38.0022.3%7.5%18.7%11.4%25.5%1.5%0.8%293.3K-5.1M-119.1K0.2329.221,36131912,71310,186
2014-07-29$36.70$38.0021.9%7.5%18.4%10.0%27.0%2.8%1.2%289.5K-4.3M-120.7K0.5229.6028214813,69410,352
2014-07-30$36.88$39.0022.0%7.6%18.4%10.5%26.1%2.8%0.7%337.9K-5.2M-123.8K1.2127.3648058213,87810,440
2014-07-31$36.37$39.0024.3%7.9%18.7%18.9%28.3%2.6%0.1%255.8K-2.6M-122.8K0.8323.3654245114,08910,608