TXT Options History — May 2017

In May 2017, TXT traded between $45.76 and $48.49. ATM implied volatility averaged 23.1%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.2% (HV 20d: 19.9%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-05-11: Highest Volume — 29,453 contracts
  • 2017-05-11: Largest IV spike — 72.8% change
  • 2017-05-12: Highest IV Rank — 56.7%
  • 2017-05-12: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.12$45.76$48.49$46.11$47.83
Max Pain$46.68$46.00$47.00$46.00$47.00
ATM IV23.1%19.6%34.7%21.0%22.7%
Expected Move6.6%5.6%10.0%6.0%6.5%
HV 20d19.9%16.5%23.1%17.1%22.2%
HV 60d19.1%17.8%21.3%18.5%17.9%
IV Rank14.6%1.8%56.7%7.1%13.0%
IV Percentile32.1%2.0%96.8%14.3%37.7%
Term Structure0.6%-7.6%7.2%-0.7%0.4%
VWIV23.8%20.1%35.3%23.6%23.0%
Skew 25d0.2%-4.5%2.5%1.5%0.8%
Skew 10d0.9%-6.1%11.0%0.6%6.1%
Call IV 25d24.0%19.2%37.8%20.3%23.3%
Put IV 25d24.3%21.2%34.5%21.8%24.1%
Bid-Ask Spread %41.296.6487.8739.3416.13
Gamma HHI0.370.300.450.430.30
Net GEX5.2M3.3M8.6M3.6M6.0M
Net DEX-42.6M-92.0M-20.6M-25.3M-47.0M
Net VEX-218.7K-305.0K-161.6K-171.2K-211.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.222.490.590.84
Total Volume4,657.3641,09729,4532,2221,955
Total OI45,265.72729,01358,54329,06057,476

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$46.11$46.0021.0%6.0%17.1%7.1%23.6%1.5%-0.7%3.6M-25.3M-171.2K0.5939.341,39782523,2175,843
2017-05-02$45.76$46.0019.7%5.6%16.6%2.4%20.7%2.5%0.3%3.3M-20.6M-166.0K2.4931.104551,13523,2255,930
2017-05-03$46.20$46.0020.2%5.8%17.0%4.3%21.0%1.8%-0.1%3.7M-25.4M-167.9K1.0419.7784287523,2615,752
2017-05-04$46.25$47.0020.2%5.9%17.0%4.2%20.7%2.0%2.6%3.8M-25.7M-167.7K1.8613.4141076123,6185,748
2017-05-05$46.54$47.0019.6%5.8%16.8%1.8%20.5%2.0%2.6%4.1M-29.4M-170.8K2.3919.7832477323,6905,746
2017-05-08$46.66$46.0020.2%5.8%16.7%4.0%21.9%1.4%2.6%4.3M-30.6M-165.8K1.858.8940875323,6465,778
2017-05-09$47.01$46.0019.7%5.8%16.5%2.4%20.1%1.8%2.6%4.6M-34.4M-166.4K1.3011.1158675923,6235,777
2017-05-10$46.87$46.0019.9%5.7%16.5%2.9%20.1%1.5%2.9%4.6M-32.7M-161.6K0.796.6496576623,7865,746
2017-05-11$48.49$46.0034.3%9.8%20.3%55.2%34.4%-1.1%-7.6%3.7M-56.5M-187.5K0.2372.0923,8615,59224,1425,739
2017-05-12$48.09$47.0034.7%10.0%19.6%56.7%35.3%-4.0%-7.6%5.1M-73.5M-269.5K0.2581.9212,6523,10435,60510,404
2017-05-15$47.93$47.0030.1%8.6%19.7%40.0%30.3%-4.5%-3.5%7.7M-84.5M-305.0K0.4678.252,8761,32344,50512,078
2017-05-16$48.20$47.0026.7%7.7%19.0%27.7%28.0%-3.1%-0.3%8.6M-92.0M-296.9K0.4175.113,1581,28144,70212,370
2017-05-17$46.17$47.0023.8%6.8%22.6%17.2%23.0%0.4%2.4%6.8M-32.8M-258.1K0.2287.879,0781,96444,74412,650
2017-05-18$46.28$47.0023.4%6.7%22.6%15.6%24.1%0.6%1.6%5.7M-26.4M-238.7K0.6273.351,9421,19640,73112,689
2017-05-19$46.48$47.0022.7%6.5%22.2%13.3%22.7%-0.3%1.7%5.5M-30.7M-239.2K0.7376.621,6321,18740,83912,607
2017-05-22$46.81$47.0021.5%6.2%22.1%8.7%23.3%0.9%7.2%4.4M-24.9M-253.0K2.1774.421,6763,63236,32822,097
2017-05-23$47.08$47.0021.0%6.0%22.2%7.0%21.7%0.5%3.1%4.7M-28.9M-255.3K1.1046.111,0851,19436,35922,184
2017-05-24$47.43$47.0022.1%6.3%22.3%10.9%22.3%-0.0%1.0%5.3M-40.8M-255.0K0.5129.492,2271,12636,19222,345
2017-05-25$48.26$47.0021.2%6.1%23.1%7.7%22.0%-0.2%0.5%5.9M-61.0M-249.0K0.6316.901,48393036,21222,326
2017-05-26$48.13$47.0021.1%6.1%22.8%7.5%21.3%0.1%1.0%6.4M-59.4M-233.9K0.8613.051,15899935,97822,246
2017-05-30$48.08$47.0022.6%6.5%22.3%12.7%23.0%0.1%0.6%6.0M-54.1M-222.1K1.1016.961,0091,10835,76122,151
2017-05-31$47.83$47.0022.7%6.5%22.2%13.0%23.0%0.8%0.4%6.0M-47.0M-211.4K0.8416.131,06489135,46722,009