TXT Options History — August 2016

In August 2016, TXT traded between $38.21 and $41.25. ATM implied volatility averaged 21.0%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.0% (HV 20d: 16.0%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-08-15: Highest Volume — 22,640 contracts
  • 2016-08-15: Largest IV spike — 20.6% change
  • 2016-08-02: Highest IV Rank — 18.8%
  • 2016-08-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.96$38.21$41.25$38.65$40.82
Max Pain$37.70$37.00$39.00$37.00$39.00
ATM IV21.0%19.3%24.0%21.8%20.9%
Expected Move6.0%5.5%6.9%6.2%6.0%
HV 20d16.0%11.9%22.4%22.4%12.4%
HV 60d26.6%25.5%26.9%26.7%25.6%
IV Rank7.2%0.3%18.8%10.2%7.2%
IV Percentile8.8%0.4%34.5%9.1%8.7%
Term Structure2.2%-0.4%4.4%0.3%1.0%
VWIV21.3%19.0%25.0%22.9%21.0%
Skew 25d2.3%0.7%3.4%2.6%2.2%
Skew 10d5.6%0.8%13.1%7.1%5.9%
Call IV 25d20.6%18.3%23.7%21.6%20.7%
Put IV 25d23.0%21.0%25.7%24.3%22.8%
Bid-Ask Spread %46.4017.7895.7644.0736.83
Gamma HHI0.440.230.670.270.64
Net GEX4.9M1.3M8.6M1.6M7.7M
Net DEX-33.3M-53.8M-10.1M-13.7M-35.5M
Net VEX-162.7K-195.4K-126.6K-144.3K-169.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.081.680.950.98
Total Volume3,711.65266422,6402,1052,985
Total OI38,066.47831,43948,00731,73241,781

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$38.65$37.0021.8%6.2%22.4%10.2%22.9%2.6%0.3%1.6M-13.7M-144.3K0.9544.071,0791,02619,90211,830
2016-08-02$38.21$37.0024.0%6.9%21.5%18.8%25.0%2.9%-0.4%1.3M-10.1M-139.1K0.9620.061,0851,04620,15311,871
2016-08-03$38.71$37.0021.9%6.3%21.8%10.8%21.4%3.0%0.1%1.7M-14.2M-145.0K0.7130.531,4751,04620,22011,896
2016-08-04$38.57$38.0021.1%6.3%21.8%7.6%22.5%3.1%3.6%1.6M-13.0M-139.7K1.3541.581,4832,00020,54711,907
2016-08-05$39.01$37.0019.7%5.9%18.6%2.0%21.7%3.1%4.4%2.2M-17.7M-136.3K1.6824.201,1891,99920,54510,907
2016-08-08$39.12$37.0020.8%6.1%14.4%6.4%21.3%3.0%3.3%2.3M-19.0M-132.1K0.8828.051,1531,01120,52310,916
2016-08-09$39.13$37.0020.0%5.8%14.4%3.3%19.2%3.2%3.8%2.4M-18.7M-126.6K0.3425.503,4391,16620,57710,889
2016-08-10$39.08$37.0020.2%5.8%14.4%4.0%20.2%3.4%3.7%2.7M-19.4M-128.8K0.8327.161,4721,21522,53911,059
2016-08-11$39.42$37.0019.6%5.6%14.5%1.5%19.0%2.7%4.2%3.1M-22.7M-133.8K0.7417.781,5201,13222,58111,132
2016-08-12$39.20$37.0019.3%5.5%14.7%0.3%19.3%2.6%4.0%2.9M-20.6M-128.4K0.6048.951,9131,14322,55411,132
2016-08-15$40.29$37.0023.2%6.7%17.4%15.9%23.2%0.7%2.0%3.7M-35.3M-143.0K0.0847.1620,9781,66222,38311,144
2016-08-16$40.18$38.0023.8%6.8%17.0%18.3%23.8%1.3%0.5%6.3M-48.6M-195.3K0.4378.763,4521,48335,82911,594
2016-08-17$40.41$38.0022.7%6.5%16.3%13.8%22.1%2.3%2.2%6.9M-50.2M-194.7K0.1483.0978611036,20611,718
2016-08-18$40.54$38.0021.7%6.2%16.3%9.8%21.9%1.7%2.1%7.1M-52.7M-195.4K0.4272.1346719736,19211,812
2016-08-19$40.65$38.0021.3%6.1%15.7%8.3%21.7%1.8%2.3%6.3M-53.8M-193.4K0.6460.702,0131,29336,10711,900
2016-08-22$40.81$38.0020.6%5.9%14.5%5.7%21.3%2.5%3.1%6.9M-43.2M-184.2K0.7654.011,5891,20331,3908,313
2016-08-23$41.00$38.0020.5%5.9%14.2%5.1%21.0%1.6%1.6%6.3M-50.4M-192.7K0.7027.611,7531,22031,5108,465
2016-08-24$41.00$38.0020.0%5.7%13.8%3.2%20.1%2.2%2.1%7.5M-45.8M-180.8K1.1149.361,0621,18431,2778,479
2016-08-25$40.80$38.0020.5%5.9%14.0%5.5%20.3%2.0%1.4%7.3M-41.2M-183.1K0.8267.822,1041,72731,9839,215
2016-08-26$40.96$38.0019.7%5.7%13.7%2.3%20.3%2.6%1.8%7.6M-42.6M-188.2K0.8949.571,7751,57331,7299,723
2016-08-29$41.25$39.0019.7%5.6%13.0%2.2%20.3%1.1%2.9%8.6M-48.6M-184.5K0.9936.591,4981,48531,6979,807
2016-08-30$41.25$39.0020.0%5.7%11.9%3.2%19.9%2.3%1.5%8.4M-49.0M-183.2K0.8995.761,6831,49431,7729,823
2016-08-31$40.82$39.0020.9%6.0%12.4%7.2%21.0%2.2%1.0%7.7M-35.5M-169.0K0.9836.831,5111,47431,9639,818