TXT Options History — September 2016

In September 2016, TXT traded between $38.93 and $41.09. ATM implied volatility averaged 26.5%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 11.1% (HV 20d: 15.4%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2016-09-16: Highest Volume — 3,859 contracts
  • 2016-09-13: Largest IV spike — 14.0% change
  • 2016-09-26: Highest IV Rank — 59.9%
  • 2016-09-26: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.82$38.93$41.09$40.78$39.88
Max Pain$40.33$39.00$41.00$39.00$40.00
ATM IV26.5%19.2%31.6%20.6%31.5%
Expected Move7.7%5.5%9.1%5.9%9.0%
HV 20d15.4%12.0%18.7%12.3%18.7%
HV 60d22.7%17.8%25.9%25.6%18.1%
IV Rank35.5%0.1%59.9%7.0%59.7%
IV Percentile52.8%0.4%81.0%7.1%81.0%
Term Structure-1.4%-5.8%3.4%2.4%-5.8%
VWIV27.2%19.1%32.1%20.6%32.1%
Skew 25d3.6%1.5%5.3%2.5%2.4%
Skew 10d9.5%4.1%32.9%4.1%6.7%
Call IV 25d25.8%19.6%31.2%20.8%31.0%
Put IV 25d29.4%21.1%33.8%23.4%33.4%
Bid-Ask Spread %38.9513.9693.1122.6316.52
Gamma HHI0.300.110.670.640.15
Net GEX2.8M58.2K9.1M7.7M413.7K
Net DEX-11.6M-41.0M986.2K-35.6M-6.3M
Net VEX-130.5K-167.3K-111.3K-166.5K-134.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.412.071.131.45
Total Volume3,182.0482,1153,8592,9292,332
Total OI30,216.52413,42743,17941,54019,349

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$40.78$39.0020.6%5.9%12.3%7.0%20.6%2.5%2.4%7.7M-35.6M-166.5K1.1322.631,3731,55631,7299,811
2016-09-02$41.09$39.0019.2%5.5%12.0%0.1%19.1%1.5%3.4%9.1M-41.0M-167.3K0.9215.121,6051,48331,6559,896
2016-09-06$40.63$41.0021.2%6.7%13.0%9.6%23.0%3.1%0.5%7.8M-31.2M-146.6K0.7626.171,8211,38831,8519,913
2016-09-07$40.72$41.0019.3%6.8%12.9%0.5%24.1%3.2%-0.1%8.5M-30.5M-141.7K0.9133.671,4591,32531,5889,924
2016-09-08$40.70$41.0020.4%6.6%12.9%6.0%23.6%4.5%-0.4%8.3M-28.4M-137.2K1.1940.521,6161,91931,5959,993
2016-09-09$39.89$41.0022.5%6.8%14.9%16.2%24.9%4.0%0.9%4.3M-13.0M-124.4K1.1230.391,6881,88331,69810,583
2016-09-12$40.46$41.0025.3%7.1%15.4%29.6%26.1%3.6%0.2%5.7M-16.1M-120.9K1.5337.021,3962,13931,84310,824
2016-09-13$39.69$41.0028.8%7.3%13.9%46.7%25.9%4.7%-0.6%2.7M-7.9M-118.3K1.1055.911,6771,84631,77910,988
2016-09-14$38.99$41.0028.1%8.1%15.1%43.3%28.0%4.3%-0.9%506.3K-590.9K-111.4K1.4349.491,4822,11831,84011,015
2016-09-15$39.37$41.0027.3%7.8%15.4%39.4%26.7%2.8%-0.8%593.6K-2.3M-114.9K1.3744.881,4652,00731,79511,384
2016-09-16$38.93$41.0027.4%7.8%15.7%39.6%26.5%4.5%-0.8%582.0K986.2K-111.3K1.1963.541,7592,10031,78611,376
2016-09-19$39.13$40.0026.7%7.6%15.8%36.2%26.7%4.2%1.4%58.2K79.8K-113.1K1.3647.931,2141,6546,4426,985
2016-09-20$38.93$40.0028.8%8.3%15.7%46.6%29.1%5.3%-1.2%79.0K-337.6K-113.0K0.9493.111,7611,6526,7387,006
2016-09-21$39.23$40.0028.8%8.2%15.9%46.3%30.7%4.3%-1.7%165.7K-137.0K-119.0K0.4155.652,6851,1147,6457,645
2016-09-22$39.78$40.0028.1%8.0%16.9%42.9%29.3%4.8%-2.4%428.6K-5.7M-139.2K1.0886.141,0191,0969,5247,747
2016-09-23$39.45$40.0029.9%8.6%17.1%51.7%30.2%3.8%-3.9%448.9K-4.6M-137.0K1.6737.311,0101,6879,8177,762
2016-09-26$39.23$40.0031.6%9.1%17.0%59.9%32.0%4.6%-4.7%424.9K-4.0M-126.1K2.0718.211,0732,2219,8267,360
2016-09-27$39.55$40.0030.1%8.6%17.1%52.9%30.8%3.1%-4.5%384.3K-4.4M-131.6K1.2513.961,4951,8729,9628,076
2016-09-28$40.19$40.0030.3%8.7%18.2%53.7%30.7%2.1%-5.1%483.7K-7.6M-132.7K1.3515.791,3181,77610,2648,422
2016-09-29$39.64$40.0031.3%9.0%18.5%58.6%32.0%2.5%-5.0%382.8K-4.9M-134.6K1.2714.061,2041,53510,4568,655
2016-09-30$39.88$40.0031.5%9.0%18.7%59.7%32.1%2.4%-5.8%413.7K-6.3M-134.4K1.4516.529511,38110,5518,798