TXT Options History — September 2015

In September 2015, TXT traded between $37.10 and $41.25. ATM implied volatility averaged 31.3%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 7.0% (HV 20d: 38.3%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.79.

Notable Days

  • 2015-09-03: Highest Volume — 15,404 contracts
  • 2015-09-02: Largest IV drop — 16.5% change
  • 2015-09-01: Highest IV Rank — 44.2%
  • 2015-09-01: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.14$37.10$41.25$37.10$37.66
Max Pain$40.38$40.00$44.00$44.00$40.00
ATM IV31.3%25.9%43.3%43.3%29.0%
Expected Move8.9%7.4%12.4%12.4%8.3%
HV 20d38.3%28.3%41.6%37.4%28.3%
HV 60d31.4%29.6%32.4%29.6%32.4%
IV Rank24.1%15.1%44.2%44.2%20.3%
IV Percentile81.0%63.5%97.2%97.2%76.2%
Term Structure2.2%-2.2%4.8%-2.2%4.8%
VWIV31.7%25.5%42.1%41.4%28.4%
Skew 25d5.8%4.1%8.4%8.4%4.8%
Skew 10d11.0%1.9%20.2%7.3%9.1%
Call IV 25d29.3%24.2%39.1%39.1%28.2%
Put IV 25d35.1%29.5%47.5%47.5%33.1%
Bid-Ask Spread %70.8956.8884.4770.8884.47
Gamma HHI0.290.140.460.340.22
Net GEX-1.7M-2.9M-590.8K-1.4M-985.4K
Net DEX24.7M9.3M44.9M42.9M15.3M
Net VEX-90.8K-110.0K-76.1K-79.4K-79.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.790.7212.230.851.27
Total Volume4,409.3331,64115,4042,3602,359
Total OI26,621.09516,34636,08826,96517,807

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$37.10$44.0043.3%12.4%37.4%44.2%41.4%8.4%-2.2%-1.4M42.9M-79.4K0.8570.881,2781,0827,41419,551
2015-09-02$38.54$44.0036.1%10.4%40.6%32.2%42.1%7.9%0.9%-1.8M37.1M-88.9K6.1079.991,3348,1427,45619,698
2015-09-03$38.85$40.0033.4%9.5%40.9%27.6%33.2%6.3%0.0%-2.3M39.2M-97.0K8.4856.881,62513,7797,53821,660
2015-09-04$38.79$40.0035.4%9.8%40.8%31.0%34.3%7.6%-0.4%-2.5M41.5M-103.7K5.9059.921,6089,4837,93122,979
2015-09-08$40.26$40.0034.6%9.1%41.6%29.7%29.2%6.4%1.7%-2.6M29.9M-102.6K0.7257.371,6421,1807,92723,436
2015-09-09$40.24$40.0031.6%9.1%41.2%24.7%32.1%6.3%2.2%-2.5M29.0M-110.0K3.0663.811,6695,1048,68624,292
2015-09-10$40.33$40.0031.5%9.0%41.1%24.5%31.7%6.6%1.7%-2.6M28.6M-110.0K1.0362.071,5241,5768,86924,450
2015-09-11$40.42$40.0031.2%8.9%40.9%24.0%31.3%5.7%2.1%-2.6M27.4M-106.3K0.9563.211,4161,3518,99624,496
2015-09-14$40.23$40.0031.5%9.0%40.5%24.5%36.9%6.2%2.6%-2.9M28.8M-98.0K3.0766.512,0546,3098,97324,608
2015-09-15$40.93$40.0028.8%8.3%41.1%20.1%33.0%4.6%2.4%-2.3M22.1M-100.0K12.2371.611241,5179,49826,590
2015-09-16$41.25$40.0028.1%8.1%41.3%18.9%31.2%5.6%1.9%-1.8M17.5M-94.2K2.9472.871,2033,5419,51926,199
2015-09-17$40.60$40.0026.6%7.6%41.5%16.3%28.9%4.3%3.2%-2.9M22.0M-93.3K2.0380.121,2792,6009,55026,094
2015-09-18$39.51$40.0027.3%7.8%40.5%17.6%29.6%4.1%3.4%-590.8K44.9M-86.7K1.7775.761,2862,2719,70526,044
2015-09-21$39.51$40.0025.9%7.4%36.9%15.1%25.5%5.3%4.2%-625.4K9.3M-82.9K1.0575.148809285,03211,314
2015-09-22$38.14$40.0029.1%8.3%38.0%20.5%27.5%4.7%3.5%-790.6K13.1M-81.0K1.0072.769639615,42411,422
2015-09-23$38.04$40.0028.8%8.3%35.8%20.1%28.1%5.1%3.5%-818.2K13.6M-79.8K1.0269.789389605,71511,434
2015-09-24$38.26$40.0029.7%8.5%35.6%21.6%31.5%4.7%2.0%-840.9K13.4M-79.8K1.2273.669541,1665,51311,477
2015-09-25$38.32$40.0029.4%8.4%33.1%21.0%29.5%5.8%3.1%-834.2K13.1M-80.8K1.2081.339271,1165,67511,531
2015-09-28$37.56$40.0032.1%9.2%33.5%25.5%28.9%5.6%2.9%-860.0K15.0M-76.3K1.2376.658791,0855,69711,533
2015-09-29$37.40$40.0033.4%9.6%32.9%27.6%30.5%5.4%2.6%-881.8K15.6M-76.1K1.3474.011,0691,4345,76911,541
2015-09-30$37.66$40.0029.0%8.3%28.3%20.3%28.4%4.8%4.8%-985.4K15.3M-79.6K1.2784.471,0391,3205,99111,816