TXT Options History — November 2015

In November 2015, TXT traded between $40.93 and $43.60. ATM implied volatility averaged 24.1%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.7% (HV 20d: 24.8%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2015-11-03: Highest Volume — 7,870 contracts
  • 2015-11-09: Largest IV spike — 12.4% change
  • 2015-11-09: Highest IV Rank — 33.1%
  • 2015-11-17: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.30$40.93$43.60$42.81$42.67
Max Pain$40.70$39.00$41.00$39.00$41.00
ATM IV24.1%22.0%26.0%25.6%22.6%
Expected Move6.9%6.3%7.4%7.3%6.5%
HV 20d24.8%20.4%26.9%25.2%20.7%
HV 60d29.0%23.9%31.8%31.8%24.1%
IV Rank26.2%18.6%33.1%31.4%20.7%
IV Percentile49.8%27.0%63.1%60.7%36.5%
Term Structure0.0%-1.5%1.2%-1.5%-0.0%
VWIV24.8%21.6%28.6%26.8%23.3%
Skew 25d3.7%2.7%4.8%3.1%3.4%
Skew 10d7.3%3.1%12.9%8.7%6.3%
Call IV 25d22.9%20.6%25.1%25.1%21.8%
Put IV 25d26.6%23.8%29.1%28.2%25.2%
Bid-Ask Spread %66.7153.9881.2358.4781.23
Gamma HHI0.240.120.440.360.13
Net GEX1.5M337.4K2.6M2.1M406.0K
Net DEX-23.0M-44.4M-7.6M-37.9M-7.6M
Net VEX-71.2K-97.9K-50.6K-97.3K-50.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.042.512.150.04
Total Volume2,845.91187,8702,5081,308
Total OI22,925.8515,51726,83526,75015,918

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$42.81$39.0025.6%7.3%25.2%31.4%26.8%3.1%-1.5%2.1M-37.9M-97.3K2.1558.477971,71116,55910,191
2015-11-03$42.24$39.0024.3%7.0%25.9%26.8%24.3%2.7%0.3%2.4M-33.4M-97.9K0.3063.176,0341,83616,66210,173
2015-11-04$41.77$39.0024.3%7.0%26.1%26.9%24.4%2.9%-1.0%1.7M-24.1M-92.9K0.2868.466,0241,71314,72410,375
2015-11-05$41.99$41.0023.8%6.8%25.0%24.9%24.7%3.8%0.4%1.8M-25.8M-87.8K0.2953.985,9731,71214,55810,361
2015-11-06$41.98$41.0023.2%6.9%25.0%22.8%25.8%4.4%-0.1%1.8M-24.5M-88.0K0.9962.80818014,57110,422
2015-11-09$41.21$41.0026.0%7.2%25.9%33.1%24.3%4.3%-0.2%1.8M-19.0M-83.0K2.5159.696516314,57510,375
2015-11-10$41.10$41.0025.4%7.0%25.5%30.8%24.0%4.8%0.1%1.9M-17.8M-79.3K1.9759.098691,70814,56410,344
2015-11-11$41.30$41.0025.1%7.2%24.7%29.7%24.7%3.7%-0.2%2.0M-18.5M-78.5K1.9766.218691,70814,54910,337
2015-11-12$40.93$41.0025.1%7.2%24.8%29.8%27.1%3.1%-0.1%2.0M-16.2M-75.0K2.4158.818101,95614,54910,321
2015-11-13$40.99$41.0025.6%7.3%23.7%31.4%27.3%4.8%0.0%2.0M-16.5M-72.2K2.1568.018141,74714,55110,258
2015-11-16$42.44$41.0025.5%7.3%25.5%31.3%25.0%4.0%-0.4%2.2M-31.4M-64.1K0.3765.7956020514,52810,268
2015-11-17$41.84$41.0025.8%7.4%26.4%32.2%28.6%4.2%-0.6%2.6M-27.1M-63.9K2.2768.908791,99114,77210,351
2015-11-18$42.64$41.0024.3%7.0%26.9%27.1%27.3%4.2%-0.2%2.2M-33.4M-64.3K1.9868.061,0122,00314,80110,747
2015-11-19$43.29$41.0023.8%6.8%26.9%25.1%24.4%4.0%0.3%1.1M-42.3M-57.4K1.3763.121,1081,52214,84010,792
2015-11-20$43.60$41.0022.5%6.4%26.7%20.3%24.1%3.6%1.2%337.4K-44.4M-55.3K0.5065.693,1461,57114,93010,829
2015-11-23$43.41$41.0023.0%6.6%26.8%22.2%23.5%3.6%0.5%474.4K-10.8M-54.3K0.4278.93227967,1808,337
2015-11-24$43.18$41.0022.6%6.5%23.7%20.8%21.6%3.5%0.7%454.6K-10.0M-54.8K0.8272.3965537,2648,378
2015-11-25$43.32$41.0022.0%6.3%20.4%18.6%22.6%3.6%0.7%467.7K-10.2M-53.4K1.1574.131,0901,2527,3078,383
2015-11-27$43.24$41.0022.2%6.4%20.4%19.2%22.9%3.1%0.4%478.5K-9.4M-53.9K1.5077.298631,2977,3598,514
2015-11-30$42.67$41.0022.6%6.5%20.7%20.7%23.3%3.4%-0.0%406.0K-7.6M-50.6K0.0481.231,263457,3698,549