TRX Options History — November 2007

In November 2007, TRX traded between $7.83 and $8.77. ATM implied volatility averaged 58.4%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 0.7% (HV 20d: 59.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.09.

Notable Days

  • 2007-11-13: Highest Volume — 100 contracts
  • 2007-11-14: Largest IV spike — 57.4% change
  • 2007-11-14: Highest IV Rank — 66.5%
  • 2007-11-23: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.19$7.83$8.77$8.06$8.25
Max Pain$7.74$7.50$10.00$10.00$7.50
ATM IV58.4%40.2%114.4%52.9%44.6%
Expected Move14.5%11.5%16.6%15.2%12.8%
HV 20d59.2%39.7%64.2%61.3%39.7%
HV 60d53.6%52.1%56.8%56.8%52.4%
IV Rank25.7%12.4%66.5%21.6%15.6%
IV Percentile80.0%41.7%98.2%77.6%51.7%
Term Structure5.0%-5.4%18.9%1.2%17.4%
VWIV54.8%54.8%54.8%54.8%54.8%
Skew 25d-1.8%-16.4%8.1%-2.7%0.0%
Skew 10d9.4%-10.7%33.0%-2.4%10.8%
Call IV 25d61.2%47.6%113.3%113.3%55.7%
Put IV 25d59.4%43.6%110.6%110.6%55.7%
Bid-Ask Spread %92.3974.36103.0274.36102.50
Gamma HHI0.460.400.680.680.41
Net GEX2.8K2.1K3.4K2.1K3.4K
Net DEX-174.2K-226.2K-100.2K-111.7K-226.2K
Net VEX-892-1.1K-642-698-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.500.000.00
Total Volume13.429010000
Total OI823.19709987836767

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$8.06$10.0052.9%15.2%61.3%21.6%0.0%-2.7%1.2%2.1K-111.7K-6980.0074.36N/AN/A00694142
2007-11-02$8.15$10.0040.2%11.5%59.6%12.4%0.0%-10.8%12.0%2.3K-117.9K-7050.0078.92N/AN/A00694142
2007-11-05$7.90$7.5055.3%14.1%59.8%23.4%0.0%5.5%2.1%2.2K-100.2K-6940.0095.43N/AN/A00694142
2007-11-06$7.93$7.5052.9%14.9%59.7%21.6%0.0%-6.0%1.6%2.1K-101.2K-6870.0092.20N/AN/A00694142
2007-11-07$7.83$7.5050.1%14.7%59.6%19.6%0.0%-16.4%2.8%2.1K-102.7K-6820.0087.73N/AN/A80694142
2007-11-08$8.38$7.5060.3%14.3%64.1%27.0%0.0%-9.6%7.8%2.8K-153.6K-6820.0083.35N/AN/A50702142
2007-11-09$8.46$7.5064.5%13.5%64.2%30.1%0.0%-7.2%9.8%3.1K-165.6K-6760.0092.38N/AN/A010707142
2007-11-12$8.62$7.5077.7%12.2%63.8%39.7%0.0%1.6%18.9%3.4K-175.2K-6630.0091.11N/AN/A00707142
2007-11-13$8.77$7.5072.7%12.4%63.2%36.1%0.0%3.0%-0.2%2.5K-186.8K-6420.0084.27N/AN/A1000707142
2007-11-14$8.58$7.50114.4%12.8%63.6%66.5%0.0%-0.8%17.3%3.2K-213.0K-9000.5087.28N/AN/A2010805142
2007-11-15$8.31$7.5051.2%14.7%64.2%20.4%0.0%3.5%3.4%3.0K-184.0K-9520.0094.24N/AN/A010825152
2007-11-16$8.50$7.5055.5%15.9%61.0%23.5%0.0%8.1%4.2%3.0K-195.9K-9740.0086.47N/AN/A400825162
2007-11-19$8.15$7.5056.2%16.1%62.2%24.0%0.0%4.9%-5.4%2.9K-200.2K-1.0K0.23100.17N/AN/A4811578131
2007-11-20$8.00$7.5049.2%14.1%60.5%19.0%0.0%-4.4%5.4%2.8K-190.4K-1.1K0.00103.02N/AN/A00616141
2007-11-21$8.13$7.5055.3%15.9%60.6%23.4%0.0%2.0%-1.0%3.2K-216.9K-1.1K0.0096.84N/AN/A00616141
2007-11-23$8.05$7.5058.0%16.6%60.8%25.4%0.0%0.4%-1.0%3.1K-205.7K-1.1K0.0092.52N/AN/A00616141
2007-11-26$8.00$7.5054.7%15.7%57.3%23.0%54.8%-5.3%-2.1%3.0K-194.9K-1.1K0.0098.37N/AN/A100616141
2007-11-27$7.91$7.5051.6%14.8%57.3%20.7%0.0%-4.8%6.2%3.0K-191.9K-1.1K0.0099.45N/AN/A00626141
2007-11-28$7.99$7.5056.9%16.3%56.1%24.6%0.0%-1.9%-0.8%3.3K-202.5K-1.1K0.0098.31N/AN/A00626141
2007-11-29$8.08$7.5052.6%15.1%43.6%21.5%0.0%2.5%4.8%3.2K-222.4K-1.1K0.00101.34N/AN/A100626141
2007-11-30$8.25$7.5044.6%12.8%39.7%15.6%0.0%0.0%17.4%3.4K-226.2K-1.1K0.00102.50N/AN/A00626141