TXT Options History — December 2016

In December 2016, TXT traded between $47.32 and $49.07. ATM implied volatility averaged 22.9%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.2% (HV 20d: 18.7%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2016-12-16: Highest Volume — 6,765 contracts
  • 2016-12-14: Largest IV drop — 12.1% change
  • 2016-12-13: Highest IV Rank — 27.1%
  • 2016-12-02: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.35$47.32$49.07$47.75$48.44
Max Pain$41.00$39.00$42.00$41.00$42.00
ATM IV22.9%20.7%26.6%22.7%21.7%
Expected Move6.4%5.9%6.8%6.5%6.2%
HV 20d18.7%11.2%26.0%25.5%11.2%
HV 60d23.3%22.5%24.5%24.5%22.6%
IV Rank13.6%5.7%27.1%12.6%9.0%
IV Percentile31.0%7.9%58.7%31.0%18.3%
Term Structure4.4%-0.9%7.5%-0.9%7.5%
VWIV23.5%21.2%27.4%23.7%21.2%
Skew 25d2.2%1.3%3.5%3.4%2.8%
Skew 10d5.5%2.3%9.5%5.9%9.5%
Call IV 25d22.0%19.9%23.3%21.8%20.5%
Put IV 25d24.2%22.3%25.7%25.2%23.3%
Bid-Ask Spread %22.974.5661.6216.0219.41
Gamma HHI0.200.110.300.150.28
Net GEX775.1K276.1K1.1M697.1K838.0K
Net DEX-35.7M-44.0M-26.1M-40.4M-29.2M
Net VEX-126.5K-147.0K-92.1K-92.1K-142.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.422.941.171.81
Total Volume3,972.0952,5206,7655,1182,775
Total OI24,787.76220,84027,12120,84027,121

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$47.75$41.0022.7%6.5%25.5%12.6%23.7%3.4%-0.9%697.1K-40.4M-92.1K1.1716.022,3612,75711,3069,534
2016-12-02$47.40$41.0023.7%6.8%25.8%16.3%24.5%2.8%-0.6%731.3K-39.2M-111.6K1.5261.621,7882,72112,07911,209
2016-12-05$47.32$39.0024.1%6.5%26.0%17.7%27.4%2.7%3.6%873.1K-37.6M-117.8K1.1030.531,7161,88712,36711,497
2016-12-06$47.61$39.0022.8%6.3%23.7%13.2%25.4%2.4%3.5%859.4K-39.2M-118.3K1.3433.311,4701,97412,44911,631
2016-12-07$48.40$39.0022.9%6.3%23.9%13.6%23.7%2.0%3.7%748.6K-39.7M-109.4K1.6238.431,3332,15911,75111,826
2016-12-08$47.94$40.0025.1%6.7%19.9%21.5%24.3%2.7%3.5%755.3K-36.2M-125.6K0.5558.944,2372,32511,86212,502
2016-12-09$48.35$40.0024.6%6.7%17.7%19.6%24.4%2.5%3.4%1.0M-39.5M-124.2K1.7219.371,3942,39712,59112,551
2016-12-12$48.33$41.0026.5%6.7%17.6%26.7%24.9%2.4%3.6%1.1M-39.2M-124.4K1.8615.851,2742,37112,61412,808
2016-12-13$48.45$41.0026.6%6.8%17.5%27.1%25.4%1.9%3.4%1.1M-40.6M-121.9K1.6814.961,3422,25012,67913,113
2016-12-14$48.47$41.0023.4%6.7%17.5%15.4%24.2%2.2%3.5%1.1M-41.0M-119.9K1.5119.611,4492,18812,71613,178
2016-12-15$48.93$41.0022.7%6.5%16.8%12.8%23.2%1.9%3.7%809.8K-44.0M-120.0K1.514.561,3562,05012,93313,268
2016-12-16$48.69$41.0022.4%6.4%16.9%11.6%23.0%2.1%3.9%276.1K-42.3M-122.8K0.427.754,7791,98612,98913,342
2016-12-19$48.29$41.0022.4%6.4%17.0%11.6%22.8%2.0%6.5%335.3K-26.1M-117.4K1.0715.502,1382,2919,89011,039
2016-12-20$48.64$42.0021.6%6.2%17.1%9.0%23.0%1.5%6.4%381.7K-28.5M-133.0K1.5710.401,4422,26710,82811,807
2016-12-21$48.74$42.0022.4%6.4%16.5%11.6%22.3%1.3%5.4%397.0K-28.9M-136.0K0.4916.163,8981,91711,09112,249
2016-12-22$48.62$42.0021.5%6.2%16.2%8.6%22.2%1.5%5.9%881.9K-31.6M-145.2K1.4012.991,4752,06413,02212,470
2016-12-23$48.91$42.0021.4%6.1%16.3%7.9%22.3%1.4%6.4%902.4K-33.3M-140.5K2.0249.081,1782,38313,16312,775
2016-12-27$49.07$42.0020.8%6.0%15.9%6.0%21.5%1.6%7.1%874.8K-34.0M-142.2K2.0512.519191,88213,21613,200
2016-12-28$48.52$42.0021.4%6.1%16.8%8.1%22.2%1.7%6.5%837.7K-29.7M-146.1K2.9413.076852,01613,40313,440
2016-12-29$48.58$42.0020.7%5.9%16.8%5.7%21.9%3.5%6.7%839.8K-30.0M-147.0K2.7412.356731,84713,47713,557
2016-12-30$48.44$42.0021.7%6.2%11.2%9.0%21.2%2.8%7.5%838.0K-29.2M-142.2K1.8119.419881,78713,48013,641