TRX Options History — February 2007

In February 2007, TRX traded between $13.52 and $15.89. ATM implied volatility averaged 40.2%. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 7.3% (HV 20d: 32.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.11.

Notable Days

  • 2007-02-22: Highest Volume — 665 contracts
  • 2007-02-22: Largest IV drop — 27.9% change
  • 2007-02-13: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.38$13.52$15.89$14.54$15.26
Max Pain$14.47$12.50$15.00$15.00$12.50
ATM IV40.2%26.3%48.7%40.3%31.8%
Expected Move12.1%7.5%14.0%11.5%9.1%
HV 20d32.9%23.2%59.5%23.7%59.5%
Term Structure-0.3%-7.6%17.6%6.3%6.0%
VWIV40.5%31.9%50.8%40.5%39.4%
Bid-Ask Spread %65.7732.5392.1492.1470.14
Gamma HHI0.710.580.870.740.63
Net GEX62.7K23.7K125.9K104.3K50.8K
Net DEX-1.0M-2.0M-265.4K-1.8M-1.8M
Net VEX-6.6K-8.7K-4.9K-8.7K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.820.000.24
Total Volume85.895066520031
Total OI4,665.8422,0045,9565,9083,077

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$14.54$15.0040.3%11.5%23.7%0.0%40.5%0.0%6.3%104.3K-1.8M-8.7K0.0092.14N/AN/A20004,0861,822
2007-02-02$14.59$15.0039.3%13.1%23.5%0.0%0.0%0.0%-2.1%101.3K-1.7M-8.3K0.0070.03N/AN/A1004,0061,822
2007-02-05$14.37$15.0031.4%12.9%23.6%0.0%0.0%0.0%-3.5%106.3K-1.3M-7.6K0.2864.55N/AN/A115324,0161,822
2007-02-06$14.78$15.0039.2%12.7%25.0%0.0%0.0%0.0%-2.6%125.4K-2.0M-8.3K0.0057.47N/AN/A004,0911,854
2007-02-07$14.40$15.0037.8%13.6%26.4%0.0%0.0%0.0%-6.0%107.7K-1.3M-7.7K0.0060.24N/AN/A014,0911,854
2007-02-08$14.47$15.0044.3%12.7%23.2%0.0%0.0%0.0%-2.1%125.9K-1.5M-7.7K0.0069.61N/AN/A004,0911,855
2007-02-09$13.90$15.0048.2%13.8%26.8%0.0%0.0%0.0%-7.6%63.7K-593.5K-6.4K0.0057.72N/AN/A004,0911,855
2007-02-12$13.79$15.0046.5%13.3%26.8%0.0%0.0%0.0%-4.3%27.8K-286.1K-5.4K0.0063.80N/AN/A3004,0911,855
2007-02-13$13.80$15.0048.7%14.0%26.7%0.0%0.0%0.0%-6.9%37.9K-344.3K-5.5K0.0058.61N/AN/A004,0911,855
2007-02-14$13.91$15.0046.3%13.3%26.8%0.0%46.6%0.0%-4.3%60.2K-494.7K-5.8K0.0065.24N/AN/A1004,0911,855
2007-02-15$13.65$15.0046.7%13.4%24.8%0.0%0.0%0.0%0.3%27.2K-272.3K-5.3K0.0061.05N/AN/A004,1011,855
2007-02-16$13.80$15.0045.4%13.0%25.2%0.0%0.0%0.0%-4.9%25.6K-407.0K-5.4K0.0065.14N/AN/A004,1011,791
2007-02-20$13.54$15.0046.9%13.5%25.6%0.0%0.0%0.0%-4.8%23.8K-280.9K-5.0K0.0032.53N/AN/A801,511493
2007-02-21$13.52$15.0046.6%13.4%25.5%0.0%50.8%0.0%-2.0%23.7K-265.4K-4.9K0.0039.19N/AN/A1001,519493
2007-02-22$15.20$15.0033.6%9.6%50.3%0.0%33.6%0.0%1.7%41.4K-912.6K-5.8K0.8259.30N/AN/A3662991,519493
2007-02-23$15.05$12.5031.8%9.1%49.9%0.0%31.9%0.0%5.9%40.8K-1.2M-6.7K0.0085.70N/AN/A28101,880729
2007-02-26$15.89$12.5026.3%7.5%53.0%0.0%0.0%0.0%17.6%47.0K-1.9M-6.7K0.0089.34N/AN/A21902,109729
2007-02-27$14.84$12.5032.8%9.4%58.8%0.0%0.0%0.0%6.8%50.5K-1.4M-7.5K0.0087.89N/AN/A2002,328729
2007-02-28$15.26$12.5031.8%9.1%59.5%0.0%39.4%0.0%6.0%50.8K-1.8M-7.6K0.2470.14N/AN/A2562,348729