TRX Options History — March 2007

In March 2007, TRX traded between $14.40 and $15.60. ATM implied volatility averaged 48.4%. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 3.3% (HV 20d: 51.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2007-03-01: Highest Volume — 450 contracts
  • 2007-03-06: Largest IV drop — 58.5% change
  • 2007-03-05: Largest Expected Move — 34.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.07$14.40$15.60$15.00$14.40
Max Pain$14.77$12.50$15.00$12.50$15.00
ATM IV48.4%23.2%120.5%115.6%39.9%
Expected Move13.5%10.8%34.5%34.5%11.4%
HV 20d51.7%28.1%61.2%59.6%28.4%
HV 60d42.0%40.0%43.8%43.8%40.0%
Term Structure2.6%-25.4%57.2%57.2%5.1%
VWIV36.5%24.4%40.7%27.9%38.7%
Bid-Ask Spread %98.1762.86200.00200.0088.14
Gamma HHI0.630.520.760.670.53
Net GEX45.3K32.1K70.4K41.8K34.5K
Net DEX-1.3M-1.7M-756.2K-1.7M-756.2K
Net VEX-6.9K-7.9K-6.1K-7.9K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.002.500.000.00
Total Volume53.72704504500
Total OI2,869.52,6743,0723,0722,857

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$15.00$12.50115.6%0.0%59.6%0.0%0.0%0.0%0.0%41.8K-1.7M-7.9K0.00200.00N/AN/A45002,349723
2007-03-02$15.13$12.50116.1%0.0%59.6%0.0%0.0%0.0%57.2%39.5K-1.5M-7.8K0.00197.85N/AN/A1002,190723
2007-03-05$14.96$15.00120.5%34.5%59.8%0.0%27.9%0.0%-25.4%44.1K-1.5M-7.6K0.00196.42N/AN/A8402,190723
2007-03-06$15.60$15.0050.0%34.1%61.2%0.0%0.0%0.0%-23.7%32.8K-1.7M-7.6K2.00191.92N/AN/A242,157723
2007-03-07$15.51$15.0034.8%10.9%60.6%0.0%38.5%0.0%-0.7%52.9K-1.7M-7.1K2.5062.86N/AN/A20502,155723
2007-03-08$15.32$15.0032.1%10.9%59.9%0.0%24.4%0.0%-0.5%54.6K-1.5M-7.1K0.0063.71N/AN/A8502,139739
2007-03-09$15.40$15.0023.2%11.2%59.9%0.0%0.0%0.0%-2.0%59.4K-1.7M-7.0K0.0067.54N/AN/A302,192739
2007-03-12$15.21$15.0027.6%10.8%58.0%0.0%37.8%0.0%-0.4%68.3K-1.5M-6.9K0.0069.83N/AN/A1302,192739
2007-03-13$14.80$15.0029.3%11.2%59.0%0.0%0.0%0.0%-1.5%67.4K-1.1M-6.7K0.0080.35N/AN/A002,195739
2007-03-14$14.46$15.0039.5%10.8%59.8%0.0%0.0%0.0%-1.6%52.7K-870.4K-6.4K0.0082.85N/AN/A002,195739
2007-03-15$14.60$15.0038.6%11.1%59.8%0.0%0.0%0.0%0.7%58.7K-998.6K-6.5K0.0083.98N/AN/A002,195739
2007-03-16$15.14$15.0040.8%11.7%60.4%0.0%38.1%0.0%3.1%70.4K-1.5M-6.7K0.0070.63N/AN/A22902,195739
2007-03-19$15.12$15.0040.8%11.7%60.4%0.0%40.7%0.0%5.1%32.1K-1.1M-6.7K0.0069.78N/AN/A6601,945729
2007-03-20$15.33$15.0040.9%11.7%59.8%0.0%0.0%0.0%4.5%34.5K-1.4M-6.7K0.0071.20N/AN/A5202,008729
2007-03-21$15.41$15.0040.1%11.5%59.7%0.0%40.4%0.0%4.6%36.5K-1.4M-6.9K0.0071.96N/AN/A0102,058729
2007-03-22$15.41$15.0038.9%11.1%43.1%0.0%0.0%0.0%5.3%35.9K-1.4M-6.9K0.0073.33N/AN/A002,058739
2007-03-23$15.37$15.0039.4%11.3%43.0%0.0%39.4%0.0%4.4%36.6K-1.4M-6.8K0.0082.31N/AN/A1302,058739
2007-03-26$15.10$15.0039.0%11.2%38.5%0.0%39.0%0.0%5.1%36.8K-1.2M-6.6K0.0084.35N/AN/A2002,068739
2007-03-27$15.00$15.0039.2%11.2%29.8%0.0%0.0%0.0%5.5%36.4K-1.1M-6.5K1.8082.81N/AN/A25452,068739
2007-03-28$14.72$15.0039.7%11.4%28.7%0.0%0.0%0.0%4.4%34.8K-945.5K-6.4K0.0084.17N/AN/A002,093784
2007-03-29$14.65$15.0038.7%11.1%28.1%0.0%38.7%0.0%5.7%35.7K-964.3K-6.4K0.0083.83N/AN/A102,093764
2007-03-30$14.40$15.0039.9%11.4%28.4%0.0%0.0%0.0%5.1%34.5K-756.2K-6.1K0.0088.14N/AN/A002,093764