TXT Options History — December 2014

In December 2014, TXT traded between $39.39 and $43.32. ATM implied volatility averaged 24.4%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.9% (HV 20d: 23.5%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2014-12-18: Highest Volume — 4,786 contracts
  • 2014-12-10: Largest IV spike — 13.8% change
  • 2014-12-12: Highest IV Rank — 20.3%
  • 2014-12-15: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.89$39.39$43.32$42.57$42.11
Max Pain$40.86$40.00$43.00$40.00$43.00
ATM IV24.4%21.2%29.8%21.9%23.5%
Expected Move8.2%7.5%9.3%7.5%8.5%
HV 20d23.5%15.2%28.7%15.2%27.6%
HV 60d33.1%32.2%34.2%32.2%33.3%
IV Rank11.2%5.7%20.3%6.9%9.7%
IV Percentile45.1%19.0%82.9%23.8%43.3%
Term Structure3.6%-1.6%7.2%0.2%6.3%
VWIV30.2%27.5%34.7%28.8%29.6%
Skew 25d2.9%1.6%4.4%2.9%1.9%
Skew 10d5.3%0.7%11.1%4.0%4.0%
Call IV 25d23.7%20.4%29.0%21.7%23.9%
Put IV 25d26.6%23.1%32.4%24.5%25.8%
Bid-Ask Spread %26.9318.0041.4218.2219.87
Gamma HHI0.260.230.310.240.31
Net GEX1.4M601.9K2.2M1.7M1.5M
Net DEX-38.2M-56.5M-14.9M-50.1M-35.6M
Net VEX-208.0K-223.7K-179.4K-223.7K-182.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.072.151.791.41
Total Volume2,410.8642184,7863,115224
Total OI43,772.63638,68846,77445,60839,461

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$42.57$40.0021.9%7.5%15.2%6.9%28.8%2.9%0.2%1.7M-50.1M-223.7K1.7918.221,1161,99924,31621,292
2014-12-02$42.17$40.0022.3%7.5%15.6%7.7%28.9%2.7%0.2%1.6M-45.8M-222.3K1.5120.161,0751,62424,30421,300
2014-12-03$43.24$40.0022.4%7.5%17.8%7.9%29.0%3.9%0.6%1.8M-56.5M-219.8K1.4721.701,2261,80324,28121,319
2014-12-04$42.47$40.0024.2%7.8%18.4%10.8%27.5%2.6%-1.6%1.7M-48.1M-223.1K1.1218.6622124724,20221,574
2014-12-05$42.28$40.0022.2%7.7%18.4%7.5%29.4%2.6%4.1%1.7M-46.6M-219.1K1.3619.651,2751,74024,21121,644
2014-12-08$41.61$40.0024.4%7.9%19.1%11.1%29.9%2.7%4.2%1.4M-38.9M-218.7K1.4818.001,1881,76024,25521,657
2014-12-09$41.85$40.0023.9%8.0%19.1%10.3%30.3%3.6%3.7%1.6M-40.8M-219.0K1.7520.201,1321,97624,24221,663
2014-12-10$40.55$40.0027.2%8.4%22.1%16.0%30.7%1.8%2.4%1.0M-26.1M-223.4K1.5536.901,1901,84123,81321,815
2014-12-11$40.54$40.0026.5%8.5%21.9%14.7%31.3%2.5%3.2%1.0M-26.5M-217.6K1.4136.461,2101,70323,95321,990
2014-12-12$39.39$40.0029.8%9.1%23.9%20.3%32.4%2.8%1.8%601.9K-14.9M-217.7K1.5935.621,3162,09323,95021,979
2014-12-15$39.76$40.0029.5%9.3%24.2%19.9%33.8%4.2%2.8%699.9K-17.4M-210.8K1.5036.441,1271,69524,00821,987
2014-12-16$39.57$40.0029.6%9.2%24.2%20.1%34.2%3.4%2.5%622.1K-16.1M-213.2K1.7533.801,0411,82324,03122,014
2014-12-17$40.66$40.0028.7%8.8%25.6%18.5%34.7%4.4%1.9%1.0M-25.8M-211.3K1.7933.761,0101,80724,02421,977
2014-12-18$41.91$40.0025.5%8.6%27.9%13.0%33.8%3.9%4.4%2.0M-40.2M-206.2K0.5333.563,1381,64823,97621,884
2014-12-19$42.71$40.0023.6%8.2%28.7%9.8%28.9%3.0%4.8%2.2M-52.1M-206.2K0.1341.426398024,75722,017
2014-12-22$42.82$0.0022.7%8.1%28.3%8.3%29.6%2.7%5.6%1.5M-40.6M-196.5K1.9820.597711,52920,21718,471
2014-12-23$43.32$43.0021.8%8.1%28.1%6.8%28.8%2.4%6.3%1.6M-45.0M-192.9K1.6422.758621,41420,30318,699
2014-12-24$43.00$43.0022.1%8.0%27.9%7.4%28.6%3.2%5.8%1.6M-42.3M-198.7K1.7424.847861,36720,48818,838
2014-12-26$43.08$43.0021.2%8.1%27.7%5.7%28.5%2.5%7.2%1.7M-43.7M-190.7K1.8627.067221,34620,47518,834
2014-12-29$43.19$43.0022.4%8.2%27.8%7.7%28.5%2.8%6.1%1.7M-44.5M-184.4K2.1526.506541,40320,50518,844
2014-12-30$42.69$43.0022.0%8.1%27.3%7.2%28.0%1.6%6.6%1.7M-41.8M-179.4K0.0726.272031520,57918,849
2014-12-31$42.11$43.0023.5%8.5%27.6%9.7%29.6%1.9%6.3%1.5M-35.6M-182.0K1.4119.879313120,60518,856