TRX Options History — June 2011

In June 2011, TRX traded between $6.13 and $6.68. ATM implied volatility averaged 63.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 1051.1% (HV 20d: 1114.7%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 1 of 14 trading days. Term structure was in contango for 2 of 14 days. Put/call ratio averaged 2.98.

Notable Days

2011-06-28: Highest Volume — 2,687 contracts
2011-06-30: Largest IV drop — 14.2% change
2011-06-23: Highest IV Rank — 21.9%
2011-06-23: Largest Expected Move — 20.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.42	$6.13	$6.68	$6.66	$6.55
Max Pain	$7.00	$7.00	$7.00	$7.00	$7.00
ATM IV	63.6%	53.3%	71.8%	61.8%	53.3%
Expected Move	18.2%	15.3%	20.6%	17.7%	15.3%
HV 20d	1114.7%	1101.7%	1142.8%	1142.8%	1104.2%
HV 60d	666.2%	664.5%	667.3%	667.3%	664.5%
IV Rank	16.9%	10.6%	21.9%	15.7%	10.6%
IV Percentile	28.5%	11.6%	36.7%	28.7%	11.6%
Term Structure	-4.7%	-15.3%	5.8%	-4.6%	5.8%
VWIV	60.2%	47.7%	76.3%	61.4%	56.5%
Skew 25d	11.7%	-10.1%	42.2%	-4.3%	7.0%
Skew 10d	37.6%	-41.1%	101.4%	23.0%	85.5%
Call IV 25d	59.1%	50.3%	69.4%	69.4%	50.3%
Put IV 25d	70.8%	53.4%	101.2%	65.1%	57.2%
Bid-Ask Spread %	42.30	21.12	79.04	63.30	28.13
Gamma HHI	0.27	0.23	0.34	0.34	0.28
Net GEX	-26.4K	-74.5K	4.2K	4.2K	-34.0K
Net DEX	3.5M	2.2M	4.5M	2.2M	3.2M
Net VEX	-27.0K	-31.3K	-23.4K	-30.3K	-25.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.98	0.20	13.83	0.47	10.21
Total Volume	769.786	5	2,687	594	1,065
Total OI	46,720.857	38,800	49,804	38,800	49,804

Daily Data (14 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
2011-06-13	$6.66	$7.00	61.8%	17.7%	1142.8%	15.7%	61.4%	-4.3%	-4.6%	4.2K	2.2M	-30.3K	0.47	63.30	N/A	N/A	404	190	20,564	18,236
2011-06-14	$6.68	$7.00	54.3%	15.6%	1138.5%	11.2%	55.9%	-1.7%	1.9%	-12.1K	2.4M	-31.3K	0.36	79.04	N/A	N/A	110	40	21,831	25,607
2011-06-15	$6.48	$7.00	61.1%	17.5%	1128.7%	15.3%	55.5%	-3.8%	-3.6%	-36.5K	3.2M	-29.7K	0.91	77.97	N/A	N/A	121	110	21,838	25,595
2011-06-16	$6.20	$7.00	65.8%	18.9%	1128.7%	18.2%	66.6%	-10.1%	-5.7%	-74.5K	4.2M	-26.9K	13.83	46.83	N/A	N/A	81	1,120	21,274	25,427
2011-06-17	$6.31	$7.00	59.8%	17.1%	1128.0%	14.5%	59.2%	34.4%	-0.7%	-29.9K	4.5M	-24.6K	0.57	50.14	N/A	N/A	937	535	21,336	25,856
2011-06-20	$6.13	$7.00	65.6%	18.8%	1115.2%	18.0%	59.8%	12.5%	-4.4%	-23.0K	4.1M	-27.2K	0.29	25.67	N/A	N/A	342	98	21,493	24,017
2011-06-21	$6.37	$7.00	64.7%	18.5%	1103.7%	17.5%	55.0%	16.2%	-7.4%	-23.3K	3.3M	-26.9K	2.31	21.12	N/A	N/A	183	423	21,639	24,055
2011-06-22	$6.50	$7.00	71.1%	20.4%	1101.8%	21.4%	59.9%	16.7%	-15.3%	-10.8K	2.7M	-29.2K	1.05	42.98	N/A	N/A	312	328	21,768	24,413
2011-06-23	$6.37	$7.00	71.8%	20.6%	1103.1%	21.9%	76.3%	18.2%	-9.2%	-18.5K	3.7M	-27.4K	7.22	35.76	N/A	N/A	161	1,163	21,907	24,669
2011-06-24	$6.31	$7.00	68.4%	19.6%	1101.7%	19.8%	47.7%	3.5%	-8.2%	-28.0K	3.8M	-26.4K	0.00	21.67	N/A	N/A	0	5	21,958	25,710
2011-06-27	$6.44	$7.00	62.0%	17.8%	1102.2%	15.9%	61.2%	22.0%	-2.9%	-33.6K	4.0M	-24.0K	0.20	23.67	N/A	N/A	106	21	21,958	25,715
2011-06-28	$6.37	$7.00	68.6%	19.7%	1103.3%	19.9%	65.3%	42.2%	-10.7%	-21.5K	4.1M	-23.4K	0.43	32.26	N/A	N/A	1,874	813	21,970	25,736
2011-06-29	$6.49	$7.00	62.2%	17.8%	1103.8%	16.0%	63.0%	11.6%	-0.8%	-28.5K	3.4M	-24.9K	0.90	43.66	N/A	N/A	124	111	23,379	26,337
2011-06-30	$6.55	$7.00	53.3%	15.3%	1104.2%	10.6%	56.5%	7.0%	5.8%	-34.0K	3.2M	-25.7K	10.21	28.13	N/A	N/A	95	970	23,418	26,386