TRX Options History — July 2011

In July 2011, TRX traded between $6.18 and $6.62. ATM implied volatility averaged 57.6%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 290.5% (HV 20d: 348.0%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.83.

Notable Days

  • 2011-07-05: Highest Volume — 8,351 contracts
  • 2011-07-06: Largest IV spike — 42.6% change
  • 2011-07-13: Highest IV Rank — 31.1%
  • 2011-07-18: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.37$6.18$6.62$6.60$6.18
Max Pain$6.80$6.00$7.00$7.00$7.00
ATM IV57.6%37.5%88.0%59.3%51.3%
Expected Move16.2%14.7%17.4%17.0%14.7%
HV 20d348.0%23.3%1104.1%1104.1%24.4%
HV 60d656.1%652.7%664.5%664.5%652.8%
IV Rank12.6%0.9%31.1%14.2%8.5%
IV Percentile17.2%0.4%59.4%20.7%5.2%
Term Structure1.9%-4.5%7.2%7.1%6.3%
VWIV53.1%40.1%73.0%46.9%52.9%
Skew 25d10.7%-3.6%66.0%28.7%14.2%
Skew 10d13.6%-3.8%117.1%28.2%4.9%
Call IV 25d46.7%30.6%56.5%47.1%34.7%
Put IV 25d57.4%48.8%99.7%75.9%48.8%
Bid-Ask Spread %67.5816.3992.2916.3987.58
Gamma HHI0.270.210.410.270.29
Net GEX-22.0K-76.4K12.3K-35.7K12.3K
Net DEX5.3M3.1M7.0M3.1M5.2M
Net VEX-22.8K-27.1K-19.0K-25.9K-19.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.0024.310.000.99
Total Volume969.45438,35143285
Total OI43,672.8531,12656,94750,65733,355

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$6.60$7.0059.3%17.0%1104.1%14.2%46.9%28.7%7.1%-35.7K3.1M-25.9K0.0016.39N/AN/A43023,43827,219
2011-07-05$6.62$6.0037.5%15.5%1103.3%0.9%53.3%-0.9%0.8%-53.4K3.4M-21.6K24.3186.65N/AN/A3308,02123,45027,219
2011-07-06$6.59$6.0053.4%16.1%1101.1%10.6%0.0%15.4%-4.5%-72.7K5.4M-26.6K0.1472.60N/AN/A1201723,74331,225
2011-07-07$6.35$6.0044.8%16.9%1087.0%5.3%56.3%6.1%-3.8%-57.1K6.2M-25.2K1.1967.94N/AN/A16119123,76331,229
2011-07-08$6.27$6.0059.0%15.5%1087.3%14.0%40.7%-3.6%2.6%-68.8K6.9M-23.3K1.5689.49N/AN/A19730723,85631,274
2011-07-11$6.27$7.0061.1%16.5%1079.2%14.6%73.0%1.3%3.0%-12.6K6.6M-21.4K0.1660.43N/AN/A1,50924023,92831,503
2011-07-12$6.42$7.0071.4%16.3%35.5%20.9%40.1%7.8%0.9%-76.4K6.5M-24.3K1.0584.85N/AN/A38440324,61131,639
2011-07-13$6.56$7.0088.0%15.3%36.4%31.1%56.1%8.9%0.2%-35.4K5.3M-27.1K0.7944.79N/AN/A37429624,67231,605
2011-07-14$6.42$7.0060.4%17.3%35.6%14.2%58.7%4.2%-2.8%-42.3K6.9M-22.4K1.8356.44N/AN/A25246224,71331,725
2011-07-15$6.34$7.0057.4%16.4%32.0%12.3%57.3%6.2%2.5%-41.4K7.0M-22.9K0.4179.97N/AN/A1,36156324,83332,114
2011-07-18$6.33$7.0060.7%17.4%31.5%14.3%54.8%5.3%-0.5%-3.7K4.5M-23.2K1.0163.56N/AN/A52552811,67819,448
2011-07-19$6.28$7.0058.7%16.8%29.7%13.1%49.1%5.9%0.9%-2.7K4.6M-22.7K0.3652.21N/AN/A43115712,05419,873
2011-07-20$6.33$7.0053.2%15.3%26.4%9.7%53.1%0.7%7.2%3.6K4.5M-22.3K0.6285.36N/AN/A1308112,42220,002
2011-07-21$6.32$7.0054.3%15.6%25.3%10.4%0.0%8.5%5.6%6.4K4.8M-21.3K0.6692.29N/AN/A916012,50220,058
2011-07-22$6.35$7.0056.4%16.2%24.4%11.7%56.8%9.6%0.6%4.5K4.5M-22.6K0.0534.89N/AN/A3481712,57820,070
2011-07-25$6.34$7.0057.9%16.6%24.1%12.6%49.1%8.0%2.3%9.3K4.9M-20.5K0.0887.80N/AN/A1971612,50620,077
2011-07-26$6.41$7.0059.3%17.0%23.3%13.5%52.8%2.7%-0.8%8.1K4.8M-22.0K0.2083.76N/AN/A51110012,69320,078
2011-07-27$6.22$7.0054.4%15.6%25.4%10.4%51.3%19.0%4.7%10.0K4.9M-20.7K0.3417.32N/AN/A41514012,82720,140
2011-07-28$6.26$7.0053.1%15.2%24.5%9.6%52.8%66.0%6.6%7.1K5.0M-21.0K0.9187.28N/AN/A666013,12020,217
2011-07-29$6.18$7.0051.3%14.7%24.4%8.5%52.9%14.2%6.3%12.3K5.2M-19.0K0.9987.58N/AN/A14314213,14620,209