TXT Options History — October 2014

In October 2014, TXT traded between $32.28 and $41.54. ATM implied volatility averaged 37.2%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.6% (HV 20d: 36.6%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.55.

Notable Days

  • 2014-10-28: Highest Volume — 20,494 contracts
  • 2014-10-16: Largest IV drop — 51.4% change
  • 2014-10-09: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.45$32.28$41.54$35.48$41.54
Max Pain$37.30$37.00$38.00$38.00$38.00
ATM IV37.2%22.7%76.8%36.3%22.8%
Expected Move8.3%7.6%10.0%7.8%7.6%
HV 20d36.6%21.4%49.6%21.7%48.9%
HV 60d26.4%19.5%33.0%19.5%33.0%
IV Rank48.6%8.4%100.0%65.3%8.5%
IV Percentile76.4%28.6%100.0%96.4%29.8%
Term Structure-1.9%-7.0%0.5%-7.0%0.3%
VWIV29.2%26.1%33.9%27.0%28.0%
Skew 25d3.8%-0.0%6.6%4.1%2.9%
Skew 10d8.0%-1.3%18.0%4.9%5.8%
Call IV 25d29.4%22.4%38.5%34.8%22.4%
Put IV 25d33.2%25.3%43.2%38.9%25.3%
Bid-Ask Spread %37.3026.7750.0932.5730.66
Gamma HHI0.210.100.360.150.27
Net GEX235.1K-356.0K1.1M423.4K1.1M
Net DEX-7.9M-45.9M13.4M-2.7M-45.9M
Net VEX-126.9K-259.0K-92.6K-101.5K-257.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.486.980.481.06
Total Volume3,953.1340120,4948194,643
Total OI28,594.26122,22547,64722,22547,647

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$35.48$38.0036.3%7.8%21.7%65.3%27.0%4.1%-7.0%423.4K-2.7M-101.5K0.4832.5755526413,0419,184
2014-10-02$35.38$38.0036.2%7.8%21.6%64.9%26.9%4.5%-6.9%404.4K-1.9M-105.7K0.6630.5227118013,1739,352
2014-10-03$35.89$38.0035.1%7.8%21.4%61.1%26.1%4.2%-6.8%500.5K-4.0M-106.9K3.0031.0525476213,3039,448
2014-10-06$35.40$38.0039.0%7.9%21.7%75.0%0.0%3.3%-2.2%342.0K-1.2M-106.9K2.5526.7711328813,45010,162
2014-10-07$34.19$38.0044.1%8.0%24.0%93.1%27.4%3.5%-1.8%122.8K4.2M-97.3K6.9838.815133,58313,54110,401
2014-10-08$34.72$37.0041.6%7.8%24.4%84.0%28.6%4.1%-2.1%-117.5K5.5M-107.5K2.5236.411,6054,04213,93512,476
2014-10-09$33.51$37.0048.3%8.4%26.8%100.0%29.2%3.6%-2.0%-201.2K9.5M-102.1K1.2738.6939950714,06012,428
2014-10-10$33.19$37.0050.4%8.8%25.6%100.0%30.7%1.5%-3.2%-201.3K10.3M-101.0K0.9438.2942540114,16312,476
2014-10-13$32.28$37.0065.7%9.4%26.8%100.0%31.5%-0.0%-1.9%-188.8K13.4M-92.6K1.3349.1561982114,38612,531
2014-10-14$34.03$37.0065.0%9.1%33.3%98.4%30.7%5.1%-2.6%-109.5K6.8M-101.2K0.7545.461,9811,49314,62012,311
2014-10-15$33.79$37.0076.8%10.0%33.3%100.0%32.4%4.7%-1.0%-211.8K7.6M-107.9K2.4338.492,4896,04715,05812,890
2014-10-16$33.66$37.0037.3%9.4%33.3%33.1%33.9%6.6%-2.7%-356.0K9.1M-110.1K1.0636.271,4501,54115,07214,395
2014-10-17$36.65$37.0030.9%8.7%46.0%22.3%31.0%4.2%-2.0%572.6K-10.8M-115.1K1.2244.461,7472,13315,73815,292
2014-10-20$36.50$37.0028.8%8.6%45.9%18.6%30.7%5.5%-0.4%-12.4K-5.4M-114.7K0.9330.322,7532,55211,30412,816
2014-10-21$37.52$37.0025.6%8.3%46.8%13.2%29.2%3.8%0.0%181.4K-11.9M-111.7K1.1435.652,0452,33611,84812,924
2014-10-22$36.59$37.0026.9%8.3%47.8%15.3%29.8%3.9%-0.7%95.3K-7.6M-116.5K0.8947.481,9821,76012,09413,152
2014-10-23$38.12$37.0025.4%8.0%49.3%12.9%27.9%3.4%0.1%267.6K-15.2M-112.8K1.1850.091,8622,19012,15013,213
2014-10-24$38.75$37.0024.3%7.9%48.4%11.1%27.9%3.4%0.1%262.8K-17.5M-113.4K1.1735.751,9342,26212,45613,664
2014-10-27$38.89$37.0025.4%8.0%48.2%13.0%28.8%3.8%-0.6%340.1K-19.1M-109.0K0.8034.2936629312,70113,927
2014-10-28$40.49$37.0024.2%7.8%49.6%10.8%28.0%5.4%0.2%402.7K-25.6M-111.1K1.0037.2810,25810,23612,94914,135
2014-10-29$40.67$37.0023.3%7.6%49.1%9.3%27.8%2.8%-0.1%817.1K-37.5M-255.9K0.9337.022,4902,31222,66123,752
2014-10-30$41.05$38.0022.7%7.7%48.9%8.4%28.0%3.0%0.5%984.0K-41.9M-259.0K1.4532.511,6982,46723,24724,142
2014-10-31$41.54$38.0022.8%7.6%48.9%8.5%28.0%2.9%0.3%1.1M-45.9M-257.9K1.0630.662,2502,39323,36724,280