TRX Options History — April 2007

In April 2007, TRX traded between $13.94 and $14.69. ATM implied volatility averaged 40.7%. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 19.2% (HV 20d: 21.5%). 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 4 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2007-04-23: Highest Volume — 145 contracts
  • 2007-04-12: Largest IV spike — 28.8% change
  • 2007-04-27: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.30$13.94$14.69$14.52$14.13
Max Pain$13.00$12.50$15.00$15.00$12.50
ATM IV40.7%26.7%45.1%38.4%45.1%
Expected Move12.2%11.0%12.9%11.0%12.9%
HV 20d21.5%18.7%28.5%28.5%18.7%
HV 60d39.4%39.1%40.0%40.0%39.1%
Term Structure-3.2%-7.0%5.8%4.7%-6.5%
VWIV42.6%40.9%44.4%40.9%44.4%
Bid-Ask Spread %84.1574.6396.1589.2387.69
Gamma HHI0.640.560.750.560.75
Net GEX40.1K34.5K48.5K36.1K48.5K
Net DEX-604.7K-939.2K-351.9K-810.6K-523.3K
Net VEX-5.0K-6.1K-4.1K-5.9K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.0010.150.000.10
Total Volume27.150145820
Total OI2,7832,4102,9672,8572,453

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$14.52$15.0038.4%11.0%28.5%0.0%0.0%0.0%4.7%36.1K-810.6K-5.9K0.0089.23N/AN/A8202,093764
2007-04-03$14.59$15.0039.1%11.2%23.6%0.0%0.0%0.0%5.8%36.9K-939.2K-6.1K0.0091.14N/AN/A302,148764
2007-04-04$14.34$15.0040.6%11.6%24.1%0.0%0.0%0.0%2.8%37.1K-734.4K-5.8K0.0091.77N/AN/A502,151764
2007-04-05$14.40$15.0038.8%11.1%24.0%0.0%0.0%0.0%5.8%36.5K-770.4K-5.8K0.0096.15N/AN/A2002,148764
2007-04-09$14.29$12.5031.2%12.4%23.9%0.0%0.0%0.0%-4.9%36.9K-649.2K-5.4K0.0080.76N/AN/A1002,148764
2007-04-10$14.10$12.5026.7%12.2%23.9%0.0%0.0%0.0%-3.5%35.7K-455.7K-5.0K0.0076.52N/AN/A002,138764
2007-04-11$13.94$12.5033.8%12.7%22.5%0.0%0.0%0.0%-6.2%34.5K-351.9K-4.7K0.2075.67N/AN/A50102,138764
2007-04-12$14.16$12.5043.5%12.5%22.1%0.0%0.0%0.0%-5.3%36.6K-499.3K-5.1K0.0074.63N/AN/A302,188774
2007-04-13$14.32$12.5043.4%12.4%22.2%0.0%0.0%0.0%-5.1%36.5K-580.1K-5.3K0.0080.33N/AN/A002,191774
2007-04-16$14.69$12.5043.1%12.4%20.0%0.0%0.0%0.0%-5.0%38.7K-876.1K-5.4K0.0088.11N/AN/A2602,191774
2007-04-17$14.58$12.5043.5%12.5%20.1%0.0%0.0%0.0%-4.1%37.6K-761.4K-5.2K0.0081.28N/AN/A3202,191774
2007-04-18$14.40$12.5043.3%12.4%19.5%0.0%0.0%0.0%-3.8%38.8K-625.1K-5.0K0.0090.44N/AN/A002,193774
2007-04-19$14.24$12.5043.6%12.5%19.5%0.0%0.0%0.0%-4.5%38.6K-482.7K-4.7K0.0081.50N/AN/A2502,193774
2007-04-20$14.31$12.5043.8%12.6%19.7%0.0%0.0%0.0%-4.7%44.1K-411.6K-4.5K0.0081.75N/AN/A8002,168758
2007-04-23$14.32$12.5040.9%11.7%19.7%0.0%40.9%0.0%-3.3%47.3K-572.8K-4.3K10.1574.63N/AN/A131321,890520
2007-04-24$14.13$12.5040.8%11.7%19.4%0.0%44.4%0.0%-6.7%43.8K-458.4K-4.2K0.0078.54N/AN/A3001,903526
2007-04-25$14.30$12.5044.7%12.8%20.1%0.0%0.0%0.0%-6.6%46.9K-585.0K-4.4K0.1085.55N/AN/A2021,907526
2007-04-26$14.13$12.5043.9%12.6%19.5%0.0%0.0%0.0%-5.4%44.9K-483.2K-4.2K0.0088.47N/AN/A001,927526
2007-04-27$14.18$12.5045.1%12.9%19.5%0.0%0.0%0.0%-7.0%46.2K-522.7K-4.3K0.0088.92N/AN/A001,927526
2007-04-30$14.13$12.5045.1%12.9%18.7%0.0%0.0%0.0%-6.5%48.5K-523.3K-4.1K0.0087.69N/AN/A001,927526