TXT Options History — November 2016

In November 2016, TXT traded between $38.99 and $46.05. ATM implied volatility averaged 24.8%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.3% (HV 20d: 26.1%). 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 5 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2016-11-14: Highest Volume — 3,164 contracts
  • 2016-11-09: Largest IV drop — 26.3% change
  • 2016-11-04: Highest IV Rank — 44.7%
  • 2016-11-02: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.46$38.99$46.05$39.58$46.05
Max Pain$39.62$39.00$41.00$39.00$41.00
ATM IV24.8%20.7%31.5%27.8%21.9%
Expected Move6.8%5.9%8.2%8.0%6.3%
HV 20d26.1%21.1%29.1%24.9%24.6%
HV 60d22.3%19.3%23.7%19.3%23.4%
IV Rank20.4%5.7%44.7%31.3%10.1%
IV Percentile43.1%9.5%80.6%65.5%22.6%
Term Structure-0.6%-3.4%1.0%-3.4%-0.7%
VWIV24.8%19.6%29.9%27.4%23.5%
Skew 25d3.7%2.7%5.5%5.3%2.7%
Skew 10d8.0%3.9%15.9%8.4%7.2%
Call IV 25d22.7%20.0%28.3%26.2%21.3%
Put IV 25d26.4%22.9%31.8%31.6%24.0%
Bid-Ask Spread %55.3616.0584.8554.8717.86
Gamma HHI0.170.140.200.160.15
Net GEX862.5K599.1K1.3M817.6K873.2K
Net DEX-28.5M-43.3M-4.7M-8.4M-33.9M
Net VEX-107.8K-126.4K-92.7K-123.5K-98.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.601.210.941.03
Total Volume2,664.0952,1963,1642,2122,880
Total OI21,414.85718,91523,68920,93420,647

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$39.58$39.0027.8%8.0%24.9%31.3%27.4%5.3%-3.4%817.6K-8.4M-123.5K0.9454.871,1391,07312,2958,639
2016-11-02$39.13$39.0028.5%8.2%25.1%34.0%29.9%3.5%-3.0%648.4K-5.8M-120.4K1.2174.801,0581,27612,1868,693
2016-11-03$38.99$39.0030.6%7.3%24.8%41.4%25.7%5.3%-0.7%599.1K-4.7M-124.3K1.1776.411,0521,23612,4438,937
2016-11-04$39.09$39.0031.5%7.8%21.1%44.7%28.1%5.5%-1.2%659.3K-5.8M-124.7K1.0868.591,1761,27412,4628,958
2016-11-07$40.62$39.0029.0%6.9%24.9%35.6%26.2%5.5%-0.3%1.1M-15.3M-125.1K0.9984.851,1991,18812,4849,228
2016-11-08$40.85$39.0028.8%7.0%22.9%35.1%25.6%5.4%-0.6%1.2M-16.5M-126.4K0.6573.531,8171,17912,5769,336
2016-11-09$42.82$39.0021.3%6.1%27.6%7.5%22.6%2.8%1.0%1.3M-31.3M-113.6K0.7879.021,4811,14912,5759,374
2016-11-10$44.14$39.0024.1%6.9%28.8%17.9%24.2%3.4%-1.4%999.4K-37.7M-109.4K0.7453.401,7931,32912,6159,320
2016-11-11$44.63$39.0023.0%6.6%28.5%13.8%26.0%3.7%-0.8%929.8K-41.2M-105.0K1.1858.781,2621,49513,1439,586
2016-11-14$45.01$39.0026.3%7.5%28.4%25.7%27.5%4.0%-1.1%808.0K-43.3M-103.1K1.0670.561,5381,62613,3089,517
2016-11-15$45.19$40.0024.9%7.2%28.4%20.9%24.2%4.2%-0.2%770.3K-42.8M-99.6K1.0974.631,4801,61613,32210,059
2016-11-16$44.70$40.0024.6%7.0%29.1%19.5%25.5%3.4%-0.5%751.6K-40.4M-105.5K1.0247.391,5101,53913,34710,071
2016-11-17$44.60$40.0023.2%6.7%26.8%14.7%24.3%3.1%-0.1%773.6K-40.4M-102.3K0.9778.831,5921,54513,38410,097
2016-11-18$44.27$40.0023.5%6.7%26.1%15.6%24.8%3.3%0.2%800.0K-38.3M-106.6K1.0151.321,5241,54313,55610,133
2016-11-21$44.50$40.0022.4%6.4%26.1%11.6%22.1%2.7%0.7%832.4K-26.9M-100.1K1.1648.371,1771,36910,5298,386
2016-11-22$45.24$40.0022.1%6.3%26.3%10.5%21.7%2.9%-0.1%806.6K-30.7M-94.7K0.6318.671,40489010,6128,512
2016-11-23$45.82$40.0020.7%5.9%26.0%5.7%21.9%2.9%0.4%816.8K-33.6M-92.7K0.6122.941,44187510,8348,593
2016-11-25$45.95$40.0021.6%6.2%25.4%8.8%19.6%3.0%0.2%823.2K-34.0M-96.7K0.6016.051,44386711,0698,813
2016-11-28$45.69$40.0022.5%6.4%25.8%11.9%24.8%3.0%-0.8%883.1K-33.2M-95.0K0.6524.791,32786911,1628,823
2016-11-29$45.86$41.0022.2%6.4%25.8%11.1%26.0%2.8%-0.8%879.2K-33.6M-95.4K0.8966.781,4391,27611,1768,912
2016-11-30$46.05$41.0021.9%6.3%24.6%10.1%23.5%2.7%-0.7%873.2K-33.9M-98.8K1.0317.861,4221,45811,2229,425