TRX Options History — August 2011

In August 2011, TRX traded between $5.67 and $6.28. ATM implied volatility averaged 55.0%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 23.8% (HV 20d: 31.2%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2011-08-15: Highest Volume — 5,271 contracts
  • 2011-08-25: Largest IV spike — 17.6% change
  • 2011-08-10: Highest IV Rank — 19.1%
  • 2011-08-09: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.92$5.67$6.28$6.28$5.88
Max Pain$6.17$6.00$7.00$7.00$6.00
ATM IV55.0%45.0%68.5%57.7%45.5%
Expected Move15.8%12.9%19.2%16.6%13.1%
HV 20d31.2%25.0%32.8%25.1%31.9%
HV 60d642.1%632.1%652.8%652.8%632.1%
IV Rank10.8%4.6%19.1%12.5%5.0%
IV Percentile12.2%1.6%32.3%16.7%2.8%
Term Structure2.6%-6.7%9.9%2.8%6.2%
VWIV51.9%33.4%59.3%57.4%45.6%
Skew 25d15.2%-5.3%41.8%20.1%4.1%
Skew 10d28.1%4.2%62.8%7.5%8.5%
Call IV 25d42.0%34.5%55.3%34.5%41.4%
Put IV 25d57.2%42.7%77.7%54.6%45.5%
Bid-Ask Spread %84.5018.52103.9418.5232.76
Gamma HHI0.290.230.320.280.28
Net GEX34.2K3.6K81.1K11.1K81.1K
Net DEX4.9M4.1M5.8M5.0M4.4M
Net VEX-18.9K-21.8K-14.9K-20.2K-20.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.009.390.000.00
Total Volume842.348105,27110224
Total OI38,406.21733,52344,90233,52344,684

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$6.28$7.0057.7%16.6%25.1%12.5%0.0%20.1%2.8%11.1K5.0M-20.2K0.0018.52N/AN/A10013,20520,318
2011-08-02$6.27$7.0057.2%16.4%25.0%12.2%57.4%20.7%2.1%4.9K4.8M-21.2K0.1620.70N/AN/A961513,21520,318
2011-08-03$6.28$7.0055.9%16.0%25.0%11.4%0.0%19.8%4.7%8.5K4.8M-20.5K0.0089.48N/AN/A151013,23520,318
2011-08-04$5.87$7.0057.0%16.3%32.0%12.1%57.0%-1.8%1.5%9.9K5.6M-16.3K0.7247.92N/AN/A51637013,36120,318
2011-08-05$5.90$6.0055.3%17.2%32.0%11.0%0.0%21.5%-6.7%4.1K5.6M-16.8K2.2593.53N/AN/A409013,65320,543
2011-08-08$6.00$6.0059.5%17.4%32.7%13.6%57.0%10.3%1.5%3.6K5.8M-15.3K0.0992.06N/AN/A1,25611113,67820,474
2011-08-09$6.00$6.0067.1%19.2%31.3%18.3%0.0%41.8%2.3%15.6K5.1M-18.4K0.2598.31N/AN/A1032614,55220,446
2011-08-10$5.85$6.0068.5%18.0%30.7%19.1%0.0%28.1%-0.6%16.1K5.1M-17.9K0.2794.28N/AN/A2617014,60720,445
2011-08-11$5.99$6.0064.9%18.6%31.8%16.9%0.0%29.2%-5.6%15.3K5.1M-17.9K0.4295.21N/AN/A23610014,72920,400
2011-08-12$5.87$6.0059.6%17.1%32.2%13.7%0.0%21.9%2.5%16.0K5.1M-17.3K0.0094.22N/AN/A30014,82920,217
2011-08-15$5.95$6.0058.3%16.7%32.8%12.9%59.3%28.9%-2.9%11.6K5.5M-14.9K0.0893.88N/AN/A4,86141014,84920,217
2011-08-16$5.90$6.0051.0%14.6%32.8%8.4%0.0%26.5%4.8%17.6K5.0M-19.3K0.5393.08N/AN/A34218019,08720,429
2011-08-17$5.90$6.0051.9%14.9%32.6%8.9%51.9%10.9%4.5%17.0K5.1M-19.1K2.4394.30N/AN/A34984819,24520,512
2011-08-18$5.84$6.0054.6%15.6%32.7%10.6%54.5%-5.3%1.8%21.4K5.2M-19.1K0.5199.63N/AN/A1145819,27820,600
2011-08-19$5.85$6.0051.0%14.6%32.6%8.4%33.4%10.1%4.8%20.5K5.1M-19.0K0.0196.25N/AN/A3,1221819,37820,541
2011-08-22$5.85$6.0052.3%15.0%32.6%9.1%52.3%15.5%3.5%75.8K4.1M-21.8K0.7599.85N/AN/A17713322,47119,210
2011-08-23$5.82$6.0052.6%15.1%32.1%9.3%0.0%5.9%4.6%76.4K4.2M-21.7K0.3097.03N/AN/A35410522,59219,295
2011-08-24$5.67$6.0045.0%12.9%31.7%4.6%49.5%-4.5%5.0%70.6K4.6M-19.6K0.02103.28N/AN/A5341222,87719,380
2011-08-25$5.72$6.0052.9%15.2%31.8%9.5%58.3%18.4%0.9%73.9K4.8M-18.1K9.3995.80N/AN/A2472,31923,20819,385
2011-08-26$5.77$6.0052.6%15.1%32.0%9.3%0.0%1.1%9.9%64.1K4.3M-21.8K0.13103.94N/AN/A1281623,28721,615
2011-08-29$5.84$6.0045.5%13.0%31.7%5.0%46.1%4.4%6.4%79.7K4.6M-18.8K0.8895.02N/AN/A66758622,11321,620
2011-08-30$5.85$6.0048.0%13.8%31.8%6.5%0.0%20.8%6.0%72.9K4.4M-20.4K0.4894.42N/AN/A602922,41322,196
2011-08-31$5.88$6.0045.5%13.1%31.9%5.0%45.6%4.1%6.2%81.1K4.4M-20.0K0.0032.76N/AN/A224022,46122,223