TRX Options History — June 2007

In June 2007, TRX traded between $13.93 and $14.63. ATM implied volatility averaged 36.9%. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 3.5% (HV 20d: 33.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2007-06-13: Highest Volume — 71 contracts
  • 2007-06-05: Largest IV spike — 37.4% change
  • 2007-06-04: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.32$13.93$14.63$14.14$14.38
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV36.9%27.3%47.3%32.2%37.2%
Expected Move10.8%9.2%11.3%9.2%10.7%
HV 20d33.4%20.9%42.7%40.9%21.1%
HV 60d30.8%30.2%31.5%31.0%30.2%
Term Structure0.8%-0.7%4.8%1.9%1.2%
VWIV33.1%28.6%37.6%28.6%37.6%
Bid-Ask Spread %81.2665.88100.31100.3190.58
Gamma HHI0.450.420.480.480.44
Net GEX10.4K9.1K12.4K10.0K10.4K
Net DEX-112.3K-201.0K-2.0K-66.7K-103.1K
Net VEX-2.8K-3.1K-2.4K-3.0K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.002.502.500.00
Total Volume11.1907100
Total OI1,271.6191,2481,3301,2681,269

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$14.14$12.5032.2%9.2%40.9%0.0%0.0%0.0%1.9%10.0K-66.7K-3.0K0.00100.31N/AN/A00858410
2007-06-04$14.50$0.0027.3%11.3%41.6%0.0%0.0%0.0%-0.7%11.3K-142.0K-3.1K2.5070.17N/AN/A25858410
2007-06-05$14.31$0.0037.5%11.2%41.9%0.0%0.0%0.0%-0.1%10.7K-104.5K-3.0K0.0065.88N/AN/A00860410
2007-06-06$14.24$0.0028.3%11.0%41.7%0.0%0.0%0.0%-0.2%10.3K-70.8K-3.0K0.0068.05N/AN/A00860410
2007-06-07$13.93$0.0035.4%10.9%42.3%0.0%0.0%0.0%1.1%9.1K-2.0K-2.8K0.0068.38N/AN/A500860410
2007-06-08$14.28$0.0030.4%11.1%42.5%0.0%0.0%0.0%0.2%11.7K-139.7K-3.0K0.0073.89N/AN/A100910410
2007-06-11$14.13$0.0040.0%11.2%42.7%0.0%0.0%0.0%-0.2%11.2K-102.7K-2.9K0.0074.26N/AN/A200920410
2007-06-12$14.03$0.0044.7%10.9%42.2%0.0%0.0%0.0%1.3%10.6K-82.7K-2.8K0.0076.66N/AN/A00902410
2007-06-13$14.31$0.0047.3%11.2%37.0%0.0%0.0%0.0%-0.2%11.7K-135.0K-2.9K0.0075.34N/AN/A710902410
2007-06-14$14.52$0.0038.1%10.9%37.0%0.0%0.0%0.0%0.3%12.3K-181.7K-2.9K0.0073.25N/AN/A450873410
2007-06-15$14.55$0.0037.5%10.7%31.1%0.0%0.0%0.0%1.6%12.4K-201.0K-2.9K0.0083.88N/AN/A00862410
2007-06-18$14.63$0.0037.9%10.9%31.0%0.0%0.0%0.0%0.5%10.2K-188.9K-2.8K0.0083.78N/AN/A10838410
2007-06-19$14.39$0.0037.8%10.8%30.9%0.0%0.0%0.0%0.4%9.7K-121.9K-2.7K0.0088.56N/AN/A00839410
2007-06-20$14.27$0.0038.0%10.9%28.3%0.0%0.0%0.0%1.5%9.5K-97.8K-2.6K0.0089.01N/AN/A00839410
2007-06-21$14.35$0.0037.5%10.7%28.3%0.0%0.0%0.0%0.9%9.5K-93.0K-2.6K0.0089.20N/AN/A00839410
2007-06-22$14.38$0.0038.1%10.9%28.3%0.0%0.0%0.0%0.1%9.7K-117.1K-2.6K0.0086.90N/AN/A00839410
2007-06-25$14.29$0.0039.1%11.2%26.9%0.0%0.0%0.0%-0.1%9.5K-87.8K-2.5K0.0088.21N/AN/A00839410
2007-06-26$14.36$0.0038.4%11.0%22.8%0.0%28.6%0.0%0.5%9.7K-105.1K-2.6K0.0084.77N/AN/A200839410
2007-06-27$14.32$12.5034.1%9.8%21.2%0.0%0.0%0.0%4.8%9.7K-87.5K-2.4K0.0086.71N/AN/A10849410
2007-06-28$14.49$12.5037.6%10.8%20.9%0.0%37.6%0.0%0.7%10.0K-127.4K-2.5K0.0088.61N/AN/A100849410
2007-06-29$14.38$12.5037.2%10.7%21.1%0.0%0.0%0.0%1.2%10.4K-103.1K-2.5K0.0090.58N/AN/A00859410