TXT Options History — October 2017

In October 2017, TXT traded between $52.65 and $55.67. ATM implied volatility averaged 27.0%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 11.8% (HV 20d: 15.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2017-10-18: Highest Volume — 15,992 contracts
  • 2017-10-11: Largest IV drop — 26.4% change
  • 2017-10-09: Highest IV Rank — 68.9%
  • 2017-10-04: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.92$52.65$55.67$54.50$52.73
Max Pain$54.32$50.00$55.00$50.00$55.00
ATM IV27.0%20.5%38.0%32.4%20.9%
Expected Move7.3%5.9%9.5%9.3%6.0%
HV 20d15.3%12.9%19.2%19.2%15.1%
HV 60d15.9%15.5%16.5%15.6%16.5%
IV Rank33.5%8.7%68.9%49.2%10.9%
IV Percentile58.6%8.7%98.4%92.1%13.5%
Term Structure-1.7%-5.7%0.5%-4.6%-0.0%
VWIV26.2%20.9%36.9%33.9%22.8%
Skew 25d2.5%0.2%3.8%2.5%3.8%
Skew 10d5.2%-2.8%8.9%5.5%6.1%
Call IV 25d26.1%21.0%33.7%33.2%22.2%
Put IV 25d28.6%23.9%36.9%35.7%25.9%
Bid-Ask Spread %43.8610.9586.4441.3923.54
Gamma HHI0.590.500.700.580.66
Net GEX4.5M2.7M7.8M2.7M6.5M
Net DEX-63.8M-86.8M-44.3M-63.9M-51.6M
Net VEX-459.3K-487.5K-433.7K-460.7K-459.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.223.611.900.85
Total Volume4,4472,24215,9924,3842,968
Total OI63,988.90955,58075,79755,58075,797

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$54.50$50.0032.4%9.3%19.2%49.2%33.9%2.5%-4.6%2.7M-63.9M-460.7K1.9041.391,5132,87127,33128,249
2017-10-03$54.46$50.0032.7%9.4%18.3%50.2%36.9%3.7%-5.5%2.7M-63.8M-468.3K3.6115.357942,86627,49728,492
2017-10-04$54.95$50.0033.1%9.5%18.3%51.5%35.3%3.0%-5.7%3.0M-71.1M-455.3K1.9426.418481,64227,55728,495
2017-10-05$55.67$55.0034.7%8.2%18.2%57.3%27.7%3.1%-2.1%2.9M-79.5M-439.8K0.4919.243,6791,78827,61328,547
2017-10-06$55.46$55.0035.8%8.1%18.5%61.1%28.4%3.6%-2.2%3.3M-81.0M-460.9K1.3914.721,2281,70430,16228,724
2017-10-09$55.30$55.0038.0%7.5%14.5%68.9%26.2%3.0%-1.5%3.6M-79.2M-449.1K0.6633.342,5111,65730,25628,802
2017-10-10$54.35$55.0035.7%7.4%14.1%60.9%26.8%2.9%-1.3%3.2M-63.9M-452.0K1.5114.031,1011,66529,64228,832
2017-10-11$53.96$55.0026.3%7.5%14.4%27.3%26.8%2.5%-1.7%3.0M-57.9M-453.3K1.9110.959491,81229,45628,837
2017-10-12$53.55$55.0026.6%7.6%14.0%37.5%27.1%2.7%-1.9%2.7M-52.8M-453.8K1.7050.381,0301,75129,59329,032
2017-10-13$53.27$55.0026.3%7.5%14.1%36.2%27.5%2.8%-1.5%2.7M-49.8M-449.8K2.1458.058281,76829,68329,063
2017-10-16$53.35$55.0025.8%7.4%12.9%33.8%26.0%2.8%-1.5%3.0M-50.3M-436.5K1.3964.681,0321,43429,79129,073
2017-10-17$53.04$55.0025.7%7.4%13.0%33.5%26.6%2.5%-1.4%2.8M-44.3M-433.7K1.7059.448301,41229,82229,112
2017-10-18$53.62$55.0026.5%7.6%13.3%37.0%26.5%1.9%-2.0%3.2M-53.1M-437.8K0.2268.5813,0872,90530,07629,117
2017-10-19$53.04$55.0023.8%6.8%13.9%24.7%24.3%1.2%-1.8%5.0M-52.3M-478.0K0.6578.545,7003,72140,03630,119
2017-10-20$53.70$55.0020.7%5.9%14.6%9.9%20.9%2.2%0.5%6.4M-70.7M-474.0K0.7820.334,5593,56443,11130,956
2017-10-23$53.68$55.0021.5%6.2%14.6%13.6%21.6%2.3%0.3%7.0M-69.9M-473.1K2.3321.571,0142,35942,07928,845
2017-10-24$54.38$55.0021.7%6.2%15.2%14.7%21.8%1.4%-0.4%7.8M-86.8M-474.0K0.5475.392,7201,47442,24928,877
2017-10-25$53.71$55.0021.6%6.2%14.9%13.8%22.1%0.2%-0.1%7.4M-74.3M-452.8K0.4779.842,9541,39042,54428,905
2017-10-26$53.83$55.0021.7%6.2%14.7%14.5%21.9%1.9%-0.2%7.7M-77.0M-487.5K1.4167.571,0041,41144,49328,899
2017-10-27$52.95$55.0020.5%5.9%15.7%8.7%22.8%3.1%-1.0%6.8M-57.7M-477.7K0.9186.442,3402,13144,23628,908
2017-10-30$52.65$55.0023.1%6.6%15.0%21.3%23.0%2.3%-0.7%6.1M-51.7M-476.8K0.5835.242,4221,39845,39329,455
2017-10-31$52.73$55.0020.9%6.0%15.1%10.9%22.8%3.8%-0.0%6.5M-51.6M-459.2K0.8523.541,6011,36746,26329,534