TXT Options History — October 2016

In October 2016, TXT traded between $37.84 and $40.16. ATM implied volatility averaged 30.3%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 8.1% (HV 20d: 22.2%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2016-10-19: Highest Volume — 15,272 contracts
  • 2016-10-20: Largest IV drop — 34.4% change
  • 2016-10-07: Highest IV Rank — 100.0%
  • 2016-10-05: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.94$37.84$40.16$39.90$40.16
Max Pain$39.24$39.00$40.00$40.00$39.00
ATM IV30.3%21.0%46.7%33.6%24.7%
Expected Move8.0%6.0%10.0%9.6%7.1%
HV 20d22.2%18.4%25.2%18.4%25.0%
HV 60d17.8%15.6%19.2%16.6%19.1%
IV Rank45.6%6.5%100.0%69.5%20.1%
IV Percentile63.9%11.5%100.0%88.5%50.4%
Term Structure-3.0%-8.0%0.0%-7.3%-1.4%
VWIV28.3%21.3%35.6%33.9%25.5%
Skew 25d3.9%2.0%4.8%2.0%4.3%
Skew 10d8.0%3.6%11.5%6.5%6.2%
Call IV 25d26.7%19.9%34.4%32.8%22.7%
Put IV 25d30.5%24.0%36.7%34.8%27.0%
Bid-Ask Spread %33.7116.3871.8617.0771.86
Gamma HHI0.170.140.490.150.18
Net GEX399.0K-277.9K2.6M425.6K1.1M
Net DEX-2.1M-12.3M5.8M-6.2M-12.3M
Net VEX-124.6K-133.8K-115.6K-133.8K-123.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.417.261.401.29
Total Volume3,507.2381,97215,2722,4411,972
Total OI23,130.61918,48638,19519,46420,801

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$39.90$40.0033.6%9.6%18.4%69.5%33.9%2.0%-7.3%425.6K-6.2M-133.8K1.4017.071,0151,42610,6228,842
2016-10-04$39.25$40.0034.7%9.9%18.9%75.0%35.6%2.0%-7.6%294.2K-2.9M-130.4K1.6932.228191,38410,7089,044
2016-10-05$39.56$40.0034.8%10.0%19.1%75.3%34.9%2.5%-8.0%348.6K-4.2M-130.2K1.6432.678951,46510,7749,179
2016-10-06$39.92$40.0035.8%7.7%19.5%80.1%27.5%3.9%-2.2%424.1K-6.4M-131.2K1.1126.771,2531,39710,8759,297
2016-10-07$38.50$40.0040.6%8.6%22.2%100.0%30.0%4.3%-3.0%124.1K1.7M-124.4K0.8928.221,9691,75010,9929,339
2016-10-10$38.80$39.0043.6%8.4%21.7%100.0%30.8%3.7%-3.1%256.1K-1.1M-129.8K0.9440.371,8411,73511,6659,653
2016-10-11$37.89$39.0046.7%8.9%22.3%100.0%30.8%4.6%-3.5%95.5K4.1M-125.8K2.4428.601,4823,61111,8569,722
2016-10-12$37.97$39.0030.9%8.9%21.5%42.7%30.7%4.3%-3.5%-123.0K4.6M-128.3K1.0834.091,3831,49012,23811,607
2016-10-13$37.94$39.0031.0%8.9%21.1%42.9%30.8%4.4%-3.5%-139.9K4.7M-128.3K0.8816.381,5121,33512,34211,670
2016-10-14$37.85$39.0030.8%8.8%20.8%42.4%31.0%4.8%-3.4%-140.5K5.0M-126.1K1.2421.711,7382,15712,51511,727
2016-10-17$37.84$39.0031.6%9.1%20.7%45.1%32.5%4.5%-4.1%-277.9K5.8M-122.5K1.3320.829171,22012,86012,737
2016-10-18$38.03$39.0031.0%8.9%20.8%43.1%31.8%4.5%-3.7%-201.6K4.5M-121.5K1.4018.861,0971,53912,97212,856
2016-10-19$38.03$39.0032.0%9.2%20.5%46.5%31.9%4.2%-4.5%-174.6K4.5M-121.0K7.2627.911,85013,42213,17612,853
2016-10-20$39.55$39.0021.0%6.0%24.6%6.5%21.3%4.2%0.0%1.0M-9.1M-120.7K1.1035.602,1632,37413,49723,830
2016-10-21$38.95$39.0021.9%6.3%25.0%9.9%23.0%4.5%-0.0%2.6M-2.4M-118.0K1.2055.101,4181,70614,03724,158
2016-10-24$39.13$39.0021.8%6.2%25.0%9.5%21.8%4.3%-0.5%251.5K-3.2M-115.6K1.1416.649851,1209,9848,502
2016-10-25$39.15$39.0022.0%6.3%24.8%10.4%22.2%4.1%-0.4%295.6K-3.4M-117.1K1.2719.658751,10710,1708,561
2016-10-26$39.92$39.0021.8%6.3%25.2%9.6%21.5%3.2%-0.7%502.1K-8.1M-117.2K0.4142.932,8051,14310,2978,562
2016-10-27$39.59$39.0022.6%6.5%24.9%12.4%23.3%3.6%-1.2%833.1K-8.7M-123.8K1.3263.629051,19711,9868,611
2016-10-28$39.87$39.0023.5%6.7%24.9%15.6%24.0%3.8%-0.8%885.7K-10.1M-125.9K1.0356.751,0741,10611,9808,646
2016-10-31$40.16$39.0024.7%7.1%25.0%20.1%25.5%4.3%-1.4%1.1M-12.3M-123.8K1.2971.868611,11112,1728,629