The phases of HMX and their transitions were investigated by thermal analysis using X-ray diffraction. Series of diffraction pattern were measured, while the samples were heated and cooled. The thermal expansion coefficients and the volume changes at the transitions were extracted from the diffraction series. A contraction of P-HMX was found before changing into 6-HMX resulting in a high volume difference during the transition. On cooling, the reconversion of the high temperature phase requires days. It is further slowed down by decomposition products, which are formed at temperatures beyond 490 K. The final reconversion results in mixtures of 01- and P-HMX. The mechanical sensitivities and the burning rates of the HMX phases were determined. The high sensitivity of 6-HMX against impact together with its slow reconversion creates handling risks when the HMX is exposed to temperatures above 440 K.