TXT Options History — January 2015

In January 2015, TXT traded between $41.18 and $43.50. ATM implied volatility averaged 28.9%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.1% (HV 20d: 25.8%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.10.

Notable Days

  • 2015-01-28: Highest Volume — 11,549 contracts
  • 2015-01-28: Largest IV drop — 31.3% change
  • 2015-01-27: Highest IV Rank — 35.0%
  • 2015-01-27: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.31$41.18$43.50$42.26$42.60
Max Pain$41.90$41.00$43.00$43.00$42.00
ATM IV28.9%22.4%38.4%23.5%27.3%
Expected Move8.9%7.6%11.0%8.4%7.8%
HV 20d25.8%21.7%30.1%26.0%26.3%
HV 60d27.0%22.6%32.7%32.4%23.4%
IV Rank18.8%7.8%35.0%9.7%16.0%
IV Percentile70.9%29.8%96.0%42.9%65.5%
Term Structure-1.7%-6.6%5.6%5.6%-0.2%
VWIV32.0%27.7%40.0%29.1%28.0%
Skew 25d3.9%2.2%5.1%2.2%3.0%
Skew 10d7.4%3.1%13.5%5.3%4.5%
Call IV 25d29.5%23.0%36.4%23.0%27.1%
Put IV 25d33.3%25.3%40.5%25.3%30.2%
Bid-Ask Spread %36.6128.6352.7529.8452.75
Gamma HHI0.310.240.380.300.24
Net GEX1.5M585.5K2.1M1.6M2.1M
Net DEX-28.3M-44.7M-7.3M-35.0M-29.3M
Net VEX-187.2K-212.2K-170.5K-185.4K-212.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.156.591.620.45
Total Volume3,739.8524911,5492,1685,479
Total OI39,476.3534,19145,30039,63145,300

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$42.26$43.0023.5%8.4%26.0%9.7%29.1%2.2%5.6%1.6M-35.0M-185.4K1.6229.848261,34220,66618,965
2015-01-05$41.36$43.0027.5%8.9%26.3%16.5%31.0%5.0%-1.6%1.4M-28.4M-179.8K5.0331.7911859420,70919,017
2015-01-06$41.18$42.0027.4%9.2%26.3%16.3%31.6%4.6%-2.0%1.2M-26.1M-180.2K0.7829.6818314220,73019,121
2015-01-07$41.45$42.0025.8%9.1%25.9%13.5%31.8%3.1%-1.6%1.4M-28.5M-177.2K0.1531.6278411520,75819,146
2015-01-08$43.29$41.0023.2%8.6%30.1%9.2%29.5%4.0%-1.2%1.8M-44.7M-177.8K0.8928.631,7661,56420,88419,180
2015-01-09$42.66$41.0022.4%8.4%28.2%7.8%30.6%3.7%-0.9%1.9M-41.4M-177.0K1.3231.631,3651,80721,33819,339
2015-01-12$42.22$41.0024.5%8.9%28.5%11.4%32.2%4.9%-1.1%1.9M-35.4M-176.9K1.6731.741,1651,95121,56019,619
2015-01-13$42.41$41.0027.2%8.9%26.1%16.0%32.6%3.6%-1.7%1.9M-38.0M-174.1K2.0336.321,0312,09421,61919,989
2015-01-14$42.16$42.0031.9%9.1%26.2%23.9%33.5%4.0%-1.8%1.9M-34.8M-178.1K2.1534.399822,11421,66120,264
2015-01-15$42.35$42.0032.6%9.3%26.1%25.0%33.7%3.1%-2.2%2.0M-37.8M-170.5K1.9131.941,0271,96421,59820,170
2015-01-16$42.87$42.0032.3%9.3%24.8%24.6%33.4%3.4%-2.1%2.0M-41.9M-171.6K2.1231.771,8353,89221,65920,204
2015-01-20$42.56$42.0032.4%9.3%22.7%24.8%32.3%3.7%-2.4%848.4K-17.0M-199.4K0.2036.824088015,28518,906
2015-01-21$42.46$42.0032.5%9.3%21.7%24.8%33.0%5.1%-3.0%900.0K-17.0M-198.1K1.0934.1511913015,43818,944
2015-01-22$43.50$42.0031.4%9.0%23.4%23.0%31.8%4.2%-2.6%1.1M-25.1M-189.5K6.5935.606854,51515,50619,025
2015-01-23$42.52$42.0030.4%8.7%24.4%21.4%32.1%3.2%-2.6%1.1M-18.6M-192.6K6.2943.997304,59415,65419,100
2015-01-26$42.45$42.0034.0%9.7%24.3%27.5%34.8%5.1%-5.0%885.5K-15.8M-192.1K2.4038.5324558915,67920,032
2015-01-27$41.37$42.0038.4%11.0%25.9%35.0%40.0%4.2%-6.6%585.5K-7.3M-195.3K1.2542.474,0445,05015,86419,810
2015-01-28$42.05$42.0026.4%7.6%26.6%14.6%31.5%3.5%-0.5%1.6M-19.3M-207.8K3.7851.772,4179,13219,09924,048
2015-01-29$42.58$42.0027.2%7.8%26.8%16.0%27.7%3.8%-0.7%1.7M-24.2M-207.7K0.2846.776,1781,74119,48824,153
2015-01-30$42.60$42.0027.3%7.8%26.3%16.0%28.0%3.0%-0.2%2.1M-29.3M-212.2K0.4552.753,7791,70021,17924,121