TRX Options History — May 2008

In May 2008, TRX traded between $3.00 and $3.73. ATM implied volatility averaged 99.0%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 24.3% (HV 20d: 74.7%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.78.

Notable Days

  • 2008-05-06: Highest Volume — 50 contracts
  • 2008-05-14: Largest IV drop — 58.3% change
  • 2008-05-13: Highest IV Rank — 100.0%
  • 2008-05-02: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.36$3.00$3.73$3.26$3.55
Max Pain$2.74$2.50$5.00$5.00$2.50
ATM IV99.0%66.5%167.7%94.8%100.0%
Expected Move22.4%18.3%30.1%27.2%28.7%
HV 20d74.7%64.7%90.2%64.7%90.0%
HV 60d111.3%105.7%120.7%119.0%109.7%
IV Rank52.4%27.9%100.0%50.7%51.8%
IV Percentile84.2%63.5%100.0%88.1%89.3%
Term Structure-10.7%-46.1%14.1%-23.7%-46.1%
VWIV84.5%83.1%85.9%83.1%85.9%
Skew 25d-8.5%-37.8%9.0%9.0%-37.8%
Skew 10d-16.4%-51.2%2.1%2.1%-51.2%
Call IV 25d124.4%99.6%167.1%99.6%167.1%
Put IV 25d115.9%108.6%129.4%108.6%129.4%
Bid-Ask Spread %90.7447.82110.8047.8293.59
Gamma HHI0.380.340.410.370.38
Net GEX646484850601675
Net DEX-2.1K-40.3K26.9K22.0K-29.2K
Net VEX-162-221-101-158-147
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.780.0040.000.000.00
Total Volume12.61905045
Total OI1,273.6675911,8201,758599

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$3.26$5.0094.8%27.2%64.7%50.7%0.0%9.0%-23.7%60122.0K-1580.0047.82N/AN/A401,581177
2008-05-02$3.26$5.00104.9%30.1%64.9%58.3%0.0%3.2%-39.8%61822.5K-1530.0047.92N/AN/A001,585177
2008-05-05$3.44$2.50114.6%20.0%69.1%65.6%0.0%-37.8%-4.7%68613.1K-2150.00110.13N/AN/A001,585177
2008-05-06$3.57$2.50125.7%20.5%70.9%74.0%0.0%0.0%-4.3%73113.0K-2210.00110.80N/AN/A5001,585177
2008-05-07$3.26$2.50120.1%19.5%75.8%69.7%0.0%0.0%-10.8%52825.2K-1300.0094.18N/AN/A601,585177
2008-05-08$3.13$2.50113.5%20.2%74.3%64.7%0.0%0.0%4.2%51824.5K-1230.0095.06N/AN/A001,591177
2008-05-09$3.13$2.50120.3%18.3%72.9%69.9%0.0%0.0%14.1%49525.8K-1200.0094.03N/AN/A001,591177
2008-05-12$3.17$2.50152.0%19.6%73.3%93.7%0.0%0.0%-8.9%48426.9K-1010.3395.11N/AN/A30101,591177
2008-05-13$3.23$2.50167.7%19.0%71.6%100.0%0.0%0.0%2.3%63312.9K-1820.0094.63N/AN/A3101,621187
2008-05-14$3.50$2.5069.9%20.0%74.5%30.3%0.0%0.0%-4.7%70712.7K-1820.0092.77N/AN/A0471,614187
2008-05-15$3.47$2.5072.6%20.8%70.7%32.3%0.0%0.0%-6.7%72011.2K-18940.0091.70N/AN/A1401,614187
2008-05-16$3.57$2.5066.5%19.1%70.7%27.9%0.0%0.0%6.8%7354.9K-1760.0092.44N/AN/A001,614206
2008-05-19$3.56$2.5080.7%23.1%70.6%38.0%0.0%0.0%-14.5%745-34.0K-1810.0092.38N/AN/A5053655
2008-05-20$3.72$2.5090.6%26.0%66.8%45.1%0.0%0.0%-18.7%843-39.4K-1870.0090.83N/AN/A10054155
2008-05-21$3.73$2.5086.5%24.8%65.4%42.1%83.1%0.0%-23.3%850-40.3K-1865.0091.45N/AN/A21054155
2008-05-22$3.60$2.5081.8%23.5%67.0%38.8%0.0%0.0%-14.5%754-33.8K-1870.0091.72N/AN/A0054265
2008-05-23$3.08$2.5080.0%22.9%89.5%37.5%0.0%0.0%-10.7%556-19.1K-1410.0099.85N/AN/A0054265
2008-05-27$3.00$2.5075.3%21.6%89.9%34.2%0.0%0.0%-3.5%515-15.8K-1210.0095.34N/AN/A0054265
2008-05-28$3.07$2.5072.9%20.9%90.2%32.4%0.0%0.0%4.4%520-17.4K-1200.0090.55N/AN/A2054260
2008-05-29$3.32$2.5088.5%25.4%87.1%43.5%85.9%0.0%-21.9%662-29.4K-1730.0093.14N/AN/A12054260
2008-05-30$3.55$2.50100.0%28.7%90.0%51.8%0.0%0.0%-46.1%675-29.2K-1470.0093.59N/AN/A5053960