TXT Options History — March 2016

In March 2016, TXT traded between $32.53 and $36.60. ATM implied volatility averaged 26.0%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.2% (HV 20d: 24.8%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 6.07.

Notable Days

  • 2016-03-18: Highest Volume — 23,322 contracts
  • 2016-03-09: Largest IV drop — 19.7% change
  • 2016-03-08: Highest IV Rank — 69.0%
  • 2016-03-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.71$32.53$36.60$34.52$36.48
Max Pain$34.18$34.00$36.00$36.00$34.00
ATM IV26.0%21.2%36.0%28.3%23.1%
Expected Move7.3%6.1%8.4%8.1%6.6%
HV 20d24.8%22.6%28.0%28.0%24.8%
HV 60d39.2%38.7%39.9%39.0%39.4%
IV Rank33.0%15.8%69.0%41.1%22.4%
IV Percentile48.5%16.3%94.4%63.9%31.0%
Term Structure3.1%-1.2%5.7%-1.2%5.1%
VWIV27.9%23.2%50.5%50.5%23.5%
Skew 25d4.4%3.1%5.7%3.7%4.3%
Skew 10d10.1%6.1%15.3%11.2%11.2%
Call IV 25d24.2%20.7%29.0%27.8%21.1%
Put IV 25d28.6%24.6%32.6%31.5%25.5%
Bid-Ask Spread %60.3526.8395.0891.1547.28
Gamma HHI0.260.150.510.510.16
Net GEX107.2K-953.7K1.5M1.4M5.2K
Net DEX1.5M-48.0M16.5M-1.4M-2.9M
Net VEX-68.6K-86.2K-54.2K-86.2K-58.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.070.8713.1211.040.87
Total Volume9,538.6821,36223,32212,6901,787
Total OI31,669.40913,09346,31635,73814,915

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$34.52$36.0028.3%8.1%28.0%41.1%50.5%3.7%-1.2%1.4M-1.4M-86.2K11.0491.151,05411,63617,04118,697
2016-03-02$34.16$36.0029.1%8.4%22.8%44.2%32.8%3.1%-1.0%1.0M2.2M-83.4K10.5389.881,13011,89717,04818,684
2016-03-03$33.70$34.0027.4%7.5%23.2%37.9%28.9%4.2%2.9%469.9K7.1M-76.2K13.1256.331,04613,72117,13419,037
2016-03-04$32.99$34.0027.7%7.7%24.6%39.0%29.2%4.1%3.1%-516.8K13.5M-79.0K12.0456.8896811,65517,22621,202
2016-03-07$32.87$34.0031.1%7.9%24.7%51.3%31.1%3.4%1.6%-953.7K16.5M-73.8K11.2862.021,02411,54617,35721,197
2016-03-08$32.53$34.0036.0%7.9%24.9%69.0%29.1%5.2%2.1%-612.7K13.5M-73.2K10.3264.281,03710,70717,45021,239
2016-03-09$33.10$34.0028.9%8.3%25.2%43.6%31.6%4.9%1.5%-343.9K12.2M-71.0K3.7863.264,04115,28817,58021,240
2016-03-10$32.91$34.0028.4%8.1%25.3%41.6%28.2%5.2%1.3%-523.3K14.1M-84.7K2.9758.613,71811,03620,40625,173
2016-03-11$33.90$34.0026.1%7.5%25.0%33.2%26.8%5.7%3.4%540.0K6.5M-76.4K9.8760.661,13111,16520,35525,154
2016-03-14$33.93$34.0027.0%7.7%23.3%36.5%27.0%4.3%2.1%552.9K6.0M-73.5K10.7564.291,02811,05420,45625,230
2016-03-15$33.49$34.0027.7%7.9%22.6%38.9%26.1%4.6%2.1%-660.5K11.5M-69.6K8.4459.461,28110,81020,45625,286
2016-03-16$34.27$34.0024.5%7.0%23.5%27.6%29.3%5.5%3.6%1.1M2.1M-69.8K9.8095.081,14311,20220,62225,103
2016-03-17$34.75$34.0023.0%6.6%23.5%22.1%24.8%3.8%3.5%1.5M-2.1M-62.7K10.9571.131,02311,19720,62425,366
2016-03-18$36.18$34.0022.2%6.4%26.5%19.5%23.9%4.1%3.7%-228.1K-48.0M-59.7K0.9174.1112,23211,09020,93225,384
2016-03-21$36.16$34.0023.0%6.6%25.2%22.3%25.6%4.4%4.2%-209.9K-1.3M-59.5K0.9782.196906723,6129,481
2016-03-22$36.60$34.0021.4%6.1%25.2%16.5%24.4%3.9%5.7%864-3.4M-54.2K0.9035.481,0889753,7979,598
2016-03-23$36.57$34.0021.2%6.1%25.2%15.8%23.2%3.5%5.7%26.2K-3.6M-57.8K1.1527.908489784,2169,935
2016-03-24$36.11$34.0024.2%6.9%25.6%26.4%24.4%4.2%4.7%-62.3K-2.5M-60.7K1.0826.838288954,31910,143
2016-03-28$36.02$34.0024.4%7.0%25.6%27.1%25.4%5.0%5.0%-63.4K-2.2M-60.5K1.0550.188368754,32010,293
2016-03-29$36.13$34.0023.9%6.8%25.3%25.3%23.5%4.5%5.4%-11.2K-2.6M-58.5K0.9150.361,0039114,31710,307
2016-03-30$36.35$34.0023.7%6.8%25.3%24.7%25.0%5.1%5.0%-21.5K-2.5M-60.5K0.9340.268327734,44710,348
2016-03-31$36.48$34.0023.1%6.6%24.8%22.4%23.5%4.3%5.1%5.2K-2.9M-58.9K0.8747.289588294,45110,464