TXT Options History — November 2017

In November 2017, TXT traded between $52.48 and $55.73. ATM implied volatility averaged 21.6%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.3% (HV 20d: 15.4%). Max pain ranged from $49.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-11-29: Highest Volume — 5,747 contracts
  • 2017-11-15: Largest IV spike — 20.4% change
  • 2017-11-15: Highest IV Rank — 44.0%
  • 2017-11-15: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.93$52.48$55.73$53.42$55.73
Max Pain$49.86$49.00$55.00$55.00$50.00
ATM IV21.6%17.9%27.6%17.9%21.7%
Expected Move6.1%5.1%7.9%5.1%6.2%
HV 20d15.4%13.7%16.6%15.5%15.2%
HV 60d16.6%16.2%16.9%16.6%16.8%
IV Rank17.0%0.0%44.0%0.0%17.1%
IV Percentile26.1%0.0%76.6%0.0%27.0%
Term Structure0.4%-1.9%4.2%4.2%-1.1%
VWIV24.3%19.1%31.2%19.1%21.6%
Skew 25d4.8%2.3%19.6%19.6%18.0%
Skew 10d7.8%-0.2%39.0%24.4%39.0%
Call IV 25d22.1%19.6%25.2%19.6%22.0%
Put IV 25d26.9%23.3%40.0%39.1%40.0%
Bid-Ask Spread %47.4511.99100.60100.6040.22
Gamma HHI0.720.510.800.750.75
Net GEX7.8M3.0M12.4M9.8M8.0M
Net DEX-70.6M-102.8M-34.2M-76.6M-99.9M
Net VEX-393.8K-481.5K-303.4K-453.3K-345.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.331.810.871.62
Total Volume3,407.6192,4305,7472,9843,105
Total OI70,567.76259,71277,09375,81164,049

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$53.42$55.0017.9%5.1%15.5%0.0%19.1%19.6%4.2%9.8M-76.6M-453.3K0.87100.601,5951,38946,28129,530
2017-11-02$54.30$49.0021.3%5.8%16.0%15.3%25.7%2.5%1.2%10.1M-88.2M-480.2K1.0611.991,3541,43146,31629,566
2017-11-03$54.51$49.0021.4%5.9%16.0%16.0%27.5%3.4%0.9%10.2M-92.8M-481.5K1.1764.411,2311,44146,28329,541
2017-11-06$54.48$49.0022.4%6.1%16.0%20.5%26.0%3.2%0.8%10.8M-93.2M-455.4K1.1916.101,1861,41346,27729,576
2017-11-07$54.29$49.0022.9%6.1%14.8%22.5%24.2%3.1%0.7%10.7M-87.8M-454.8K1.0217.801,3881,41046,29329,589
2017-11-08$54.85$49.0020.8%6.0%15.0%12.9%22.4%3.4%0.7%12.4M-102.8M-429.8K1.3454.431,0521,41346,33229,596
2017-11-09$54.40$49.0022.2%6.4%15.1%19.5%31.2%7.2%0.0%10.4M-91.1M-425.6K0.5886.082,4101,40246,56129,601
2017-11-10$54.27$49.0024.1%6.9%14.9%28.4%25.5%2.7%-0.2%10.6M-88.5M-421.9K0.3385.524,0651,35847,16129,599
2017-11-13$53.72$49.0023.5%6.7%15.5%25.5%25.1%3.0%-0.0%10.1M-69.8M-427.2K0.5775.172,4761,41647,47729,616
2017-11-14$53.60$50.0022.9%6.6%15.3%22.6%25.0%3.9%0.3%9.9M-64.2M-418.8K1.3665.961,0281,40247,37129,700
2017-11-15$52.48$50.0027.6%7.9%16.6%44.0%27.8%2.3%-1.9%3.0M-34.2M-387.0K0.9962.261,5051,48347,30729,769
2017-11-16$52.90$50.0023.2%6.7%16.5%24.2%26.9%2.4%-0.1%7.4M-50.0M-386.1K0.7617.011,9461,47247,25829,811
2017-11-17$52.95$50.0021.7%6.2%15.8%17.3%23.4%2.4%0.2%3.7M-43.7M-358.8K1.4315.401,0501,50347,19229,817
2017-11-20$53.44$50.0021.6%6.2%16.2%16.8%24.6%2.6%0.5%4.4M-48.8M-360.4K0.7634.411,8891,43231,74027,972
2017-11-21$53.64$50.0019.7%5.6%15.5%8.0%23.4%2.7%2.0%5.0M-55.6M-352.4K0.8120.661,7771,43631,96828,014
2017-11-22$53.53$50.0019.7%5.6%14.9%8.0%23.9%2.6%1.1%5.0M-56.4M-325.0K0.8950.812,1141,88431,97928,022
2017-11-24$53.30$50.0020.0%5.7%14.9%9.6%26.7%4.9%0.6%4.7M-45.6M-334.7K1.0475.851,8171,88132,07128,520
2017-11-27$53.48$50.0019.7%5.6%13.7%8.1%20.3%2.8%-0.7%5.4M-52.0M-303.4K0.6274.003,0291,86332,05228,522
2017-11-28$54.33$50.0019.6%5.6%14.5%7.5%19.7%5.6%0.5%6.6M-64.5M-342.3K1.8115.849851,78233,26528,529
2017-11-29$54.84$50.0020.7%5.9%14.8%12.6%20.7%2.7%-0.4%6.7M-77.8M-325.3K0.4512.013,9511,79633,31128,489
2017-11-30$55.73$50.0021.7%6.2%15.2%17.1%21.6%18.0%-1.1%8.0M-99.9M-345.9K1.6240.221,1841,92135,53428,515