TRX Options History — January 2007

In January 2007, TRX traded between $14.42 and $15.56. ATM implied volatility averaged 42.5%. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 17.5% (HV 20d: 25.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.38.

Notable Days

  • 2007-01-08: Highest Volume — 1,440 contracts
  • 2007-01-31: Largest IV drop — 14.6% change
  • 2007-01-03: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.06$14.42$15.56$15.56$14.42
Max Pain$13.63$12.50$15.00$15.00$15.00
ATM IV42.5%34.5%47.7%47.7%34.5%
Expected Move12.2%9.9%13.7%13.7%9.9%
HV 20d25.0%23.9%26.0%26.0%23.9%
Term Structure3.6%-1.9%14.1%-0.4%14.1%
VWIV41.7%34.7%47.6%47.6%34.7%
Bid-Ask Spread %77.7058.8793.7075.2580.27
Gamma HHI0.660.490.910.490.91
Net GEX87.8K71.5K105.4K78.5K99.8K
Net DEX-2.1M-2.6M-1.3M-2.0M-1.3M
Net VEX-7.4K-8.1K-6.0K-6.3K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.960.002.14
Total Volume225.9501,440201,094
Total OI4,329.13,4384,9413,4554,941

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$15.56$15.0047.7%13.7%0.0%0.0%47.6%0.0%-0.4%78.5K-2.0M-6.3K0.0075.25N/AN/A2002,814641
2007-01-04$15.37$15.0045.5%13.0%0.0%0.0%0.0%0.0%3.6%74.2K-1.9M-6.1K0.0085.27N/AN/A15502,797641
2007-01-05$15.15$12.5046.9%13.5%0.0%0.0%47.4%0.0%-0.7%75.0K-1.8M-6.2K0.1458.87N/AN/A180252,929641
2007-01-08$14.85$12.5047.1%13.6%0.0%0.0%47.5%0.0%-1.9%71.5K-1.6M-6.0K0.0263.74N/AN/A1,408322,981666
2007-01-09$14.68$12.5045.9%13.6%0.0%0.0%41.7%0.0%-1.1%76.0K-1.9M-7.9K0.0069.13N/AN/A10003,476698
2007-01-10$15.18$12.5046.9%13.4%0.0%0.0%0.0%0.0%-0.1%87.5K-2.3M-8.1K0.0061.13N/AN/A003,559698
2007-01-11$15.08$12.5046.8%13.4%0.0%0.0%0.0%0.0%-0.9%85.7K-2.3M-7.9K0.0070.42N/AN/A1003,559698
2007-01-12$14.99$12.5047.2%13.5%0.0%0.0%47.1%0.0%-1.6%84.2K-2.2M-7.9K0.0076.45N/AN/A203,562698
2007-01-16$15.05$12.5042.2%12.1%0.0%0.0%42.3%0.0%3.4%92.4K-2.2M-7.3K1.3581.99N/AN/A2433283,563698
2007-01-17$15.16$12.5043.4%12.5%0.0%0.0%0.0%0.0%3.0%87.0K-2.2M-8.0K0.0078.33N/AN/A1003,725996
2007-01-18$15.55$12.5043.6%12.5%0.0%0.0%43.5%0.0%2.0%86.9K-2.6M-7.9K0.0072.80N/AN/A3003,719996
2007-01-19$15.28$12.5041.8%12.0%0.0%0.0%0.0%0.0%4.0%90.1K-2.4M-7.8K0.0077.84N/AN/A1903,728996
2007-01-22$15.12$12.5037.2%10.7%0.0%0.0%37.2%0.0%7.5%90.3K-2.2M-7.3K0.5693.70N/AN/A111623,287975
2007-01-23$15.15$15.0038.7%11.1%0.0%0.0%38.7%0.0%6.7%92.6K-2.2M-7.4K2.9690.45N/AN/A481423,3881,029
2007-01-24$15.34$15.0038.8%11.1%0.0%0.0%38.8%0.0%5.9%94.7K-2.5M-7.8K0.0081.90N/AN/A1003,4361,099
2007-01-25$15.02$15.0038.2%10.9%26.0%0.0%0.0%0.0%4.9%94.2K-2.1M-7.7K0.0079.55N/AN/A5003,4441,099
2007-01-26$14.77$15.0039.0%11.2%25.7%0.0%39.0%0.0%7.6%90.8K-1.8M-7.5K0.0782.38N/AN/A278203,4941,099
2007-01-29$14.75$15.0037.3%10.7%24.9%0.0%37.3%0.0%10.0%105.4K-2.0M-7.9K0.0082.69N/AN/A3003,7721,119
2007-01-30$14.63$15.0040.4%11.6%24.3%0.0%40.4%0.0%6.6%99.7K-1.8M-7.9K0.0291.88N/AN/A11023,8021,119
2007-01-31$14.42$15.0034.5%9.9%23.9%0.0%34.7%0.0%14.1%99.8K-1.3M-7.1K2.1480.27N/AN/A3487463,8201,121