TXT Options History — June 2016

In June 2016, TXT traded between $34.31 and $40.15. ATM implied volatility averaged 25.1%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.3% (HV 20d: 22.7%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-06-03: Highest Volume — 18,232 contracts
  • 2016-06-24: Largest IV spike — 28.1% change
  • 2016-06-27: Highest IV Rank — 54.2%
  • 2016-06-27: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.97$34.31$40.15$38.19$36.48
Max Pain$38.82$38.00$39.00$38.00$39.00
ATM IV25.1%19.9%32.9%19.9%24.6%
Expected Move7.1%5.7%9.4%5.7%7.0%
HV 20d22.7%13.8%38.4%15.0%38.4%
HV 60d22.0%20.1%27.5%21.2%27.5%
IV Rank24.0%3.9%54.2%3.9%21.2%
IV Percentile40.5%2.8%82.1%2.8%40.1%
Term Structure3.0%0.6%6.3%0.6%6.3%
VWIV24.9%21.0%34.2%21.0%25.6%
Skew 25d3.2%1.1%6.7%2.7%5.9%
Skew 10d6.7%1.7%10.9%7.0%10.5%
Call IV 25d23.6%19.0%30.7%19.0%21.2%
Put IV 25d26.8%21.8%37.4%21.8%27.1%
Bid-Ask Spread %69.3226.2788.5441.0587.77
Gamma HHI0.180.100.290.130.13
Net GEX666.2K-607.3K3.4M131.3K-114.2K
Net DEX-2.2M-30.2M13.9M-2.8M7.6M
Net VEX-91.0K-104.5K-68.9K-68.9K-82.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.082.420.560.75
Total Volume4,369.0912,24718,2322,9303,572
Total OI21,259.18213,95929,13013,95918,261

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$38.19$38.0019.9%5.7%15.0%3.9%21.0%2.7%0.6%131.3K-2.8M-68.9K0.5641.051,8791,0516,8447,115
2016-06-02$38.49$38.0022.5%6.2%13.8%13.9%21.0%3.6%2.3%208.0K-4.2M-70.1K0.2126.274,9141,0556,8327,182
2016-06-03$39.98$38.0028.2%6.9%19.1%36.3%24.4%1.1%0.7%1.1M-17.0M-76.5K0.0879.4516,9241,3089,4177,198
2016-06-06$40.15$38.0027.0%6.5%19.1%31.6%22.9%1.5%1.6%3.2M-30.2M-100.7K0.4963.042,3131,13116,6777,323
2016-06-07$39.97$39.0022.5%6.0%19.1%14.1%22.0%1.4%2.7%3.4M-28.7M-97.5K1.2665.552,5223,17816,6177,385
2016-06-08$39.80$39.0021.1%6.0%19.2%8.7%21.2%2.1%2.5%3.0M-22.0M-104.5K0.5465.312,1091,13516,1879,447
2016-06-09$39.39$39.0021.5%6.2%19.5%10.3%21.7%1.6%2.9%2.7M-15.5M-102.0K0.8166.371,4171,14715,8709,669
2016-06-10$38.77$39.0022.9%6.6%20.3%15.5%23.1%2.7%2.3%1.8M-6.7M-97.4K0.9663.321,7431,66516,0269,680
2016-06-13$38.00$39.0025.3%7.3%21.0%25.0%25.5%3.4%1.9%955.2K-46.4K-99.6K0.9162.011,8551,69416,39910,282
2016-06-14$37.58$39.0026.2%7.5%20.3%28.4%27.5%3.8%1.6%98.1K5.0M-93.9K2.4262.761,5923,85816,24610,363
2016-06-15$38.02$39.0026.0%7.4%20.7%27.5%25.1%3.5%1.2%521.3K2.6M-100.2K1.6685.241,7062,83816,30111,417
2016-06-16$38.16$39.0025.8%7.4%20.7%26.9%25.5%3.6%0.9%457.8K1.8M-100.4K1.9969.331,9263,83416,43411,434
2016-06-17$38.24$39.0025.0%7.2%20.0%23.8%24.5%3.9%1.7%-325.9K1.5M-104.4K1.6868.851,7462,92816,61012,520
2016-06-20$38.83$39.0022.6%6.5%20.5%14.6%23.2%2.6%5.2%-223.8K548.6K-100.7K0.7275.541,3269578,2039,541
2016-06-21$38.54$39.0022.7%6.5%20.7%14.7%24.4%3.9%5.7%-282.3K2.0M-102.4K0.7278.591,3039448,6129,567
2016-06-22$38.35$39.0024.1%6.9%20.0%20.3%24.4%3.0%4.4%-342.4K2.8M-100.9K0.8678.731,3621,1658,6589,574
2016-06-23$38.41$39.0023.8%6.8%19.9%18.9%24.2%4.9%4.5%-437.5K3.7M-98.6K0.7188.541,4431,0278,6679,828
2016-06-24$36.10$39.0030.4%8.7%29.6%44.8%29.7%5.3%2.3%-607.3K13.9M-87.9K2.2983.101,3183,0228,6759,938
2016-06-27$34.31$39.0032.9%9.4%34.1%54.2%34.2%6.7%4.3%-183.8K12.9M-71.9K0.6675.201,6371,0738,6787,996
2016-06-28$34.45$39.0028.6%8.2%34.3%37.1%28.5%1.3%6.3%-159.7K13.1M-69.0K0.6467.251,6921,0878,7838,047
2016-06-29$35.02$39.0028.2%8.1%35.0%35.4%29.1%2.6%3.5%-149.1K12.0M-72.2K0.5571.742,4071,3179,1138,086
2016-06-30$36.48$39.0024.6%7.0%38.4%21.2%25.6%5.9%6.3%-114.2K7.6M-82.4K0.7587.772,0461,5269,9238,338