TXT Options History — September 2014

In September 2014, TXT traded between $35.54 and $38.43. ATM implied volatility averaged 26.1%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 7.7% (HV 20d: 18.4%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2014-09-15: Highest Volume — 4,440 contracts
  • 2014-09-11: Largest IV spike — 34.4% change
  • 2014-09-30: Highest IV Rank — 59.0%
  • 2014-09-29: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.98$35.54$38.43$38.43$35.99
Max Pain$37.43$36.00$38.00$38.00$38.00
ATM IV26.1%18.7%34.5%19.4%34.5%
Expected Move7.4%7.2%7.6%7.5%7.6%
HV 20d18.4%16.4%21.9%18.6%21.5%
HV 60d19.2%18.2%20.2%19.3%19.5%
IV Rank29.4%3.1%59.0%5.8%59.0%
IV Percentile54.2%3.6%93.3%5.2%93.3%
Term Structure-2.0%-6.9%6.5%6.5%-6.9%
VWIV26.4%25.1%30.7%25.1%26.1%
Skew 25d2.8%1.2%4.5%2.1%3.4%
Skew 10d6.4%1.3%10.4%9.4%6.1%
Call IV 25d26.7%18.8%33.4%18.9%33.4%
Put IV 25d29.5%21.0%36.8%21.0%36.8%
Bid-Ask Spread %34.3526.4443.5829.8133.26
Gamma HHI0.210.150.430.210.17
Net GEX244.2K-528.7K635.1K632.6K508.1K
Net DEX-4.7M-13.3M7.0M-13.3M-4.7M
Net VEX-114.2K-139.8K-94.6K-113.7K-100.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.0510.164.460.44
Total Volume1,163.1432394,4403,662861
Total OI27,321.33319,77333,25926,61521,932

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$38.43$38.0019.4%7.5%18.6%5.8%25.1%2.1%6.5%632.6K-13.3M-113.7K4.4629.816712,99115,19011,425
2014-09-03$38.02$38.0019.0%7.5%19.1%4.3%25.9%2.3%6.3%214.0K-7.4M-131.7K5.8135.312151,24915,33014,278
2014-09-04$37.72$38.0019.3%7.3%18.9%5.3%26.2%2.0%5.7%31.9K-4.4M-139.8K0.4730.2749123115,41515,420
2014-09-05$38.34$38.0018.7%7.3%19.5%3.1%0.0%3.0%-1.1%307.1K-9.9M-138.0K0.1129.016297115,65415,396
2014-09-08$38.05$38.0020.2%7.3%16.6%8.6%0.0%2.9%-1.5%227.6K-8.2M-134.7K0.2626.4443811216,00115,385
2014-09-09$37.42$38.0020.6%7.3%17.1%10.0%26.4%1.2%-2.3%58.8K-3.0M-133.6K0.5132.4931916316,21415,456
2014-09-10$37.80$36.0019.8%7.4%17.4%7.2%0.0%3.1%-1.7%173.0K-4.6M-135.4K0.2237.0347710416,36615,509
2014-09-11$37.49$36.0026.7%7.3%16.4%31.3%25.5%3.0%-2.2%55.3K-3.3M-131.0K1.0335.0627628416,52915,588
2014-09-12$36.46$36.0027.4%7.6%18.6%33.8%25.3%2.3%-2.4%-189.6K6.3M-127.7K0.2131.711,52832316,67315,589
2014-09-15$36.36$36.0028.3%7.5%18.5%37.2%28.7%3.2%-3.3%-103.2K7.0M-127.4K10.1631.583984,04217,56015,699
2014-09-16$36.92$36.0027.9%7.4%18.8%35.5%28.4%2.4%-3.0%337.5K-5.4M-99.9K0.3936.3430011817,57111,598
2014-09-17$36.78$36.0028.0%7.4%18.5%36.1%25.4%2.9%-3.6%185.5K-4.6M-97.2K0.0539.132,51713017,66111,608
2014-09-18$36.74$38.0027.5%7.4%17.1%34.1%26.0%2.4%-3.0%-131.7K-4.2M-99.3K1.0132.1817617718,33511,582
2014-09-19$36.81$38.0027.7%7.4%17.1%35.1%0.0%2.1%-3.5%-528.7K-4.1M-98.2K0.1334.0299512818,36911,651
2014-09-22$36.45$38.0029.3%7.5%17.2%40.6%26.1%2.8%-3.5%554.6K-6.6M-98.7K0.2237.8351211111,7058,068
2014-09-23$36.11$38.0029.6%7.4%17.2%41.6%25.2%3.2%-3.9%530.4K-5.3M-97.3K0.1843.5867912211,9088,139
2014-09-24$36.14$38.0029.7%7.2%17.3%42.1%25.5%2.9%-3.6%566.0K-5.7M-98.3K1.2535.0010613312,2008,236
2014-09-25$35.54$38.0031.5%7.5%17.9%48.3%25.9%4.5%-4.3%469.3K-3.4M-94.6K0.3134.2232110112,2488,316
2014-09-26$36.71$38.0030.1%7.3%21.8%43.4%25.7%4.0%-4.0%635.1K-7.5M-101.4K0.6442.8562940312,2438,381
2014-09-29$36.36$38.0033.5%7.6%21.9%55.5%30.7%3.4%-5.9%595.3K-6.6M-100.2K1.1934.2840848712,6598,661
2014-09-30$35.99$38.0034.5%7.6%21.5%59.0%26.1%3.4%-6.9%508.1K-4.7M-100.8K0.4433.2659626512,9039,029