TXT Options History — May 2016

In May 2016, TXT traded between $37.33 and $39.00. ATM implied volatility averaged 22.9%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.3% (HV 20d: 21.6%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2016-05-10: Highest Volume — 4,694 contracts
  • 2016-05-20: Largest IV drop — 7.4% change
  • 2016-05-04: Highest IV Rank — 32.3%
  • 2016-05-04: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.12$37.33$39.00$39.00$38.09
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV22.9%19.2%25.8%23.5%20.5%
Expected Move6.5%5.5%7.4%6.7%5.9%
HV 20d21.6%15.1%25.6%24.8%15.1%
HV 60d22.5%21.2%24.2%23.7%21.2%
IV Rank19.6%1.2%32.3%24.0%6.3%
IV Percentile28.0%1.2%54.4%37.3%4.8%
Term Structure1.6%-1.8%4.0%-0.9%0.6%
VWIV23.3%20.2%30.4%24.3%20.2%
Skew 25d3.6%2.7%4.8%3.9%3.3%
Skew 10d8.2%5.3%16.0%13.7%5.8%
Call IV 25d21.4%18.3%24.3%22.4%19.5%
Put IV 25d25.0%21.2%27.4%26.3%22.8%
Bid-Ask Spread %56.6920.2473.0759.0720.24
Gamma HHI0.170.110.260.260.12
Net GEX410.5K-135.1K1.0M1.0M121.9K
Net DEX-4.8M-13.2M1.3M-13.2M-2.7M
Net VEX-76.0K-93.0K-65.1K-93.0K-68.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.200.590.270.59
Total Volume3,707.0482,9344,6944,0603,007
Total OI19,224.61912,59022,10221,06813,879

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$39.00$38.0023.5%6.7%24.8%24.0%24.3%3.9%-0.9%1.0M-13.2M-93.0K0.2759.073,20585511,6789,390
2016-05-03$38.71$38.0024.2%6.9%24.8%26.4%22.6%3.8%-1.4%1.0M-11.1M-91.2K0.2458.303,22976111,7749,390
2016-05-04$38.01$38.0025.8%7.4%25.6%32.3%30.4%3.1%-1.8%639.9K-5.1M-88.4K0.2371.553,32977111,6999,424
2016-05-05$38.12$38.0024.9%6.9%25.6%29.2%23.7%4.5%2.2%683.6K-6.6M-86.5K0.2466.823,36879511,6409,480
2016-05-06$38.21$38.0024.6%6.8%25.5%27.9%23.3%3.8%2.6%668.0K-5.8M-83.6K0.2065.983,34868411,5489,523
2016-05-09$38.05$38.0024.6%6.5%25.5%28.0%24.2%3.5%3.0%505.1K-4.2M-78.8K0.2166.373,37070711,4609,579
2016-05-10$38.32$38.0023.4%6.6%25.5%23.8%23.2%3.4%2.5%729.6K-6.6M-78.2K0.3267.413,5471,14711,4499,607
2016-05-11$38.12$38.0023.7%6.8%24.0%24.7%23.8%3.7%2.3%674.7K-5.8M-78.8K0.2269.443,48575911,7089,964
2016-05-12$37.88$38.0023.3%6.7%24.1%23.3%24.5%3.8%2.9%435.5K-3.6M-76.9K0.2873.073,43296611,66310,058
2016-05-13$37.33$38.0024.3%7.0%24.6%26.8%24.5%4.8%2.8%-50.3K1.3M-74.6K0.2368.913,63081911,75010,252
2016-05-16$38.03$38.0023.7%6.8%25.4%24.7%23.6%3.6%2.3%487.3K-5.5M-72.8K0.2571.192,88473011,76210,267
2016-05-17$38.23$38.0023.3%6.7%25.5%23.3%23.7%3.5%2.7%406.4K-5.5M-73.2K0.2572.212,88472911,76010,225
2016-05-18$38.15$38.0023.0%6.6%18.2%18.9%23.5%3.7%2.9%450.5K-6.2M-70.1K0.2772.192,59269711,80210,283
2016-05-19$37.60$38.0023.2%6.7%18.5%19.7%24.4%4.0%3.0%-135.1K-1.1M-67.7K0.3567.262,61391611,74410,288
2016-05-20$37.86$38.0021.5%6.2%18.5%13.2%22.0%3.5%4.0%94.6K-1.8M-66.4K0.2972.422,56174711,60510,497
2016-05-23$37.68$38.0021.6%6.2%17.3%13.1%21.9%3.6%0.6%78.0K-2.0M-65.1K0.3628.632,3438446,3296,261
2016-05-24$38.30$38.0020.9%6.0%17.0%9.3%20.7%2.8%0.5%200.3K-4.1M-67.6K0.4828.422,1561,0336,5496,432
2016-05-25$38.48$38.0020.9%6.0%16.9%9.4%21.7%2.7%0.5%234.4K-4.6M-71.8K0.5624.251,8841,0506,7776,803
2016-05-26$38.22$38.0020.1%5.8%16.0%6.3%22.2%3.0%0.7%164.4K-3.3M-71.6K0.5435.151,9201,0396,7586,892
2016-05-27$38.23$38.0019.2%5.5%15.4%1.2%20.7%2.9%1.4%179.8K-3.5M-71.2K0.5531.551,9411,0716,7856,983
2016-05-31$38.09$38.0020.5%5.9%15.1%6.3%20.2%3.3%0.6%121.9K-2.7M-68.6K0.5920.241,8951,1126,8207,059