TXT Options History — December 2015

In December 2015, TXT traded between $40.84 and $43.05. ATM implied volatility averaged 23.2%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.3% (HV 20d: 23.5%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-12-18: Highest Volume — 5,576 contracts
  • 2015-12-11: Largest IV spike — 14.7% change
  • 2015-12-14: Highest IV Rank — 38.5%
  • 2015-12-14: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.89$40.84$43.05$42.72$42.13
Max Pain$41.00$41.00$41.00$41.00$41.00
ATM IV23.2%20.0%27.6%22.2%21.9%
Expected Move6.6%5.7%7.9%6.4%6.3%
HV 20d23.5%20.2%25.7%20.2%24.3%
HV 60d23.9%23.2%24.4%24.1%23.7%
IV Rank22.9%11.5%38.5%19.4%18.1%
IV Percentile39.6%12.7%69.0%29.0%26.2%
Term Structure3.1%-0.8%5.2%-0.2%5.2%
VWIV24.3%20.9%30.3%23.7%21.3%
Skew 25d3.7%2.5%4.6%3.4%3.9%
Skew 10d7.8%3.0%11.9%6.8%8.4%
Call IV 25d21.9%19.2%26.2%21.2%20.3%
Put IV 25d25.7%22.4%30.2%24.7%24.3%
Bid-Ask Spread %77.1168.6485.4571.2777.77
Gamma HHI0.140.120.170.120.15
Net GEX142.2K-128.3K508.8K508.8K43.5K
Net DEX-2.8M-8.6M1.7M-8.6M-1.5M
Net VEX-48.7K-56.5K-36.3K-56.5K-53.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.341.700.350.89
Total Volume2,638.909705,5762461,924
Total OI16,017.72713,85117,08016,96315,779

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$42.72$41.0022.2%6.4%20.2%19.4%23.7%3.4%-0.2%508.8K-8.6M-56.5K0.3571.27182648,3748,589
2015-12-02$41.68$41.0023.3%6.7%21.5%23.3%25.7%3.8%-0.8%247.2K-4.0M-54.7K0.5979.932,2131,3128,3198,639
2015-12-03$41.15$41.0024.9%6.9%21.6%29.2%23.3%4.0%3.0%102.3K-1.4M-52.9K0.4372.942,0839018,2828,624
2015-12-04$42.12$41.0021.9%6.3%23.2%18.3%21.9%3.5%3.3%304.1K-5.1M-52.7K0.4170.842,1128628,2408,649
2015-12-07$41.90$41.0023.2%6.4%23.3%23.1%21.7%4.2%3.4%252.7K-4.2M-50.7K1.6970.0726448,1968,639
2015-12-08$41.17$41.0025.6%6.9%23.2%31.5%23.8%3.8%2.6%57.0K-1.3M-47.7K0.4268.642,1158968,2098,652
2015-12-09$41.45$41.0024.8%7.1%23.3%28.6%24.3%3.9%2.9%125.7K-2.3M-48.9K0.4879.482,1501,0308,0118,681
2015-12-10$41.57$41.0023.4%6.7%23.2%23.6%24.8%3.8%2.8%134.0K-2.8M-47.9K0.5074.201,9931,0068,0588,712
2015-12-11$40.84$41.0026.8%7.7%23.9%36.0%29.6%4.6%1.6%-28.1K117.4K-48.8K0.5773.091,9491,1048,1308,745
2015-12-14$41.24$41.0027.6%7.9%24.2%38.5%30.3%3.9%-0.4%18.8K-1.4M-47.3K0.5970.831,8851,1218,1398,941
2015-12-15$41.40$41.0025.8%7.4%20.5%32.2%29.0%3.8%2.6%4.2K-1.6M-40.8K0.6076.091,8971,1337,3778,937
2015-12-16$42.70$41.0023.5%6.7%22.9%23.8%26.0%3.2%2.9%470.1K-7.8M-38.3K0.5585.451,9981,0987,4178,961
2015-12-17$41.54$41.0023.8%6.8%24.0%24.9%24.3%3.8%2.8%108.6K-2.3M-37.3K0.4475.362,0258897,4888,940
2015-12-18$41.11$41.0024.3%7.0%23.3%27.0%25.9%4.0%3.4%86.4K-948.4K-36.3K1.7074.822,0643,5127,4508,983
2015-12-21$41.25$41.0023.2%6.7%23.2%22.9%24.3%3.4%4.4%-128.3K1.7M-52.2K0.3777.621,8887045,2358,616
2015-12-22$42.04$41.0020.9%6.0%24.4%14.7%23.2%3.0%4.6%-16.4K-629.3K-50.1K0.3783.471,9217085,2808,694
2015-12-23$42.82$41.0020.4%5.9%25.4%13.0%22.6%2.5%4.7%168.8K-4.0M-49.1K0.3884.491,9327355,5018,715
2015-12-24$42.69$41.0020.0%5.7%25.3%11.5%22.8%3.4%4.7%193.5K-3.9M-50.2K0.3481.422,1747385,7668,738
2015-12-28$42.56$41.0020.5%5.9%25.3%13.3%24.1%4.1%5.2%145.4K-3.0M-49.7K1.0784.699501,0156,0168,773
2015-12-29$43.05$41.0020.7%5.9%25.3%13.9%21.9%4.1%5.2%228.4K-4.7M-52.8K0.7482.571,0767946,2319,107
2015-12-30$42.46$41.0021.7%6.2%25.7%17.5%20.9%4.2%4.7%101.4K-2.4M-52.6K0.9781.329329016,3349,223
2015-12-31$42.13$41.0021.9%6.3%24.3%18.1%21.3%3.9%5.2%43.5K-1.5M-53.0K0.8977.771,0179076,4109,369