TRX Options History — September 2007

In September 2007, TRX traded between $9.26 and $11.27. ATM implied volatility averaged 54.4%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 6.6% (HV 20d: 47.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.10.

Notable Days

2007-09-18: Highest Volume — 30 contracts
2007-09-11: Largest IV drop — 23.4% change
2007-09-10: Highest IV Rank — 31.8%
2007-09-05: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.49	$9.26	$11.27	$10.86	$9.30
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	54.4%	45.3%	66.9%	54.1%	53.8%
Expected Move	15.6%	13.6%	16.8%	15.5%	15.4%
HV 20d	47.9%	33.7%	61.4%	61.2%	60.9%
HV 60d	49.0%	46.4%	55.1%	46.6%	55.1%
IV Rank	22.8%	16.1%	31.8%	22.5%	22.3%
IV Percentile	85.7%	69.0%	97.1%	88.1%	82.8%
Term Structure	0.5%	-8.0%	10.6%	10.6%	-1.5%
VWIV	68.1%	56.9%	84.6%	84.6%	62.9%
Skew 25d	5.4%	-7.4%	27.6%	3.2%	-1.7%
Skew 10d	12.2%	-10.7%	32.7%	15.3%	0.2%
Call IV 25d	51.9%	43.0%	78.5%	61.8%	44.5%
Put IV 25d	57.4%	42.8%	73.4%	65.0%	42.8%
Bid-Ask Spread %	86.70	72.22	103.42	84.52	100.95
Gamma HHI	0.47	0.43	0.54	0.49	0.48
Net GEX	8.9K	3.7K	12.2K	11.5K	3.7K
Net DEX	-166.8K	-254.1K	-24.1K	-229.1K	-24.1K
Net VEX	-821	-1.1K	-419	-1.1K	-419
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.50	0.00	0.00
Total Volume	3.421	0	30	6	0
Total OI	910.632	700	984	982	717

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-09-04	$10.86	$10.00	54.1%	15.5%	61.2%	22.5%	0.0%	3.2%	10.6%	11.5K	-229.1K	-1.1K	0.00	84.52	N/A	N/A	6	0	898	84
2007-09-05	$10.72	$10.00	58.6%	16.8%	61.4%	25.8%	0.0%	13.2%	-4.5%	10.8K	-207.2K	-1.0K	0.00	90.00	N/A	N/A	0	0	898	84
2007-09-06	$10.82	$10.00	57.5%	16.5%	56.0%	25.0%	84.6%	-7.4%	10.3%	11.6K	-231.0K	-1.1K	0.00	87.93	N/A	N/A	10	0	898	84
2007-09-07	$10.65	$10.00	55.5%	15.9%	52.2%	23.5%	0.0%	27.6%	1.2%	10.8K	-202.6K	-1.0K	0.00	78.51	N/A	N/A	0	0	898	84
2007-09-10	$10.47	$10.00	66.9%	16.0%	44.0%	31.8%	0.0%	13.6%	0.9%	10.1K	-185.5K	-970	0.00	81.99	N/A	N/A	0	0	898	84
2007-09-11	$10.58	$10.00	51.2%	15.5%	44.3%	20.4%	0.0%	9.6%	-0.7%	9.8K	-174.9K	-896	0.00	77.44	N/A	N/A	0	0	898	84
2007-09-12	$10.78	$10.00	45.3%	16.0%	44.8%	16.1%	0.0%	4.8%	-4.8%	10.1K	-209.0K	-914	0.00	82.56	N/A	N/A	0	0	898	84
2007-09-13	$10.50	$10.00	53.2%	15.2%	37.2%	21.9%	0.0%	3.9%	-0.1%	9.7K	-178.3K	-867	0.00	87.62	N/A	N/A	0	0	898	84
2007-09-14	$10.52	$10.00	54.1%	15.5%	33.7%	22.5%	0.0%	5.0%	-0.7%	9.3K	-163.0K	-830	0.00	85.53	N/A	N/A	0	0	898	84
2007-09-17	$10.20	$10.00	54.2%	15.5%	35.1%	22.6%	0.0%	-5.1%	-2.0%	7.9K	-123.6K	-721	0.00	91.20	N/A	N/A	0	0	898	84
2007-09-18	$10.78	$10.00	55.9%	16.0%	40.5%	23.8%	56.9%	5.5%	0.1%	9.1K	-194.1K	-797	0.50	80.75	N/A	N/A	20	10	898	84
2007-09-19	$11.18	$10.00	54.4%	15.6%	42.3%	22.8%	0.0%	11.5%	1.0%	12.2K	-251.6K	-905	0.00	78.59	N/A	N/A	0	0	888	94
2007-09-20	$11.05	$10.00	55.2%	15.8%	42.1%	23.3%	0.0%	8.0%	1.7%	9.4K	-234.6K	-867	0.00	72.22	N/A	N/A	0	2	888	94
2007-09-21	$11.27	$10.00	56.1%	16.1%	40.0%	24.0%	0.0%	11.6%	-8.0%	10.1K	-254.1K	-876	0.00	81.93	N/A	N/A	0	0	888	96
2007-09-24	$10.60	$10.00	52.0%	14.9%	46.3%	21.0%	62.9%	0.4%	2.3%	8.3K	-140.5K	-706	0.00	92.76	N/A	N/A	10	0	629	71
2007-09-25	$10.15	$10.00	52.6%	15.1%	48.9%	21.5%	0.0%	-3.7%	1.3%	6.3K	-88.0K	-590	0.00	91.73	N/A	N/A	2	0	639	71
2007-09-26	$9.26	$10.00	47.3%	13.6%	58.4%	17.6%	0.0%	-0.1%	0.5%	4.0K	-32.5K	-445	0.00	103.42	N/A	N/A	0	1	641	71
2007-09-27	$9.60	$10.00	56.4%	16.2%	60.0%	24.2%	0.0%	2.9%	1.2%	4.6K	-44.4K	-495	0.00	97.62	N/A	N/A	0	4	641	72
2007-09-28	$9.30	$10.00	53.8%	15.4%	60.9%	22.3%	0.0%	-1.7%	-1.5%	3.7K	-24.1K	-419	0.00	100.95	N/A	N/A	0	0	641	76