TRX Options History — September 2011

In September 2011, TRX traded between $3.54 and $5.88. ATM implied volatility averaged 55.1%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 12.1% (HV 20d: 43.0%). Max pain ranged from $6.00 to $9.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.91.

Notable Days

  • 2011-09-28: Highest Volume — 12,719 contracts
  • 2011-09-23: Largest IV spike — 55.4% change
  • 2011-09-27: Highest IV Rank — 27.0%
  • 2011-09-27: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.13$3.54$5.88$5.85$3.59
Max Pain$8.10$6.00$9.00$6.00$8.00
ATM IV55.1%36.5%80.6%50.8%71.1%
Expected Move16.0%11.8%23.1%14.6%20.4%
HV 20d43.0%15.0%96.5%21.1%96.3%
HV 60d122.7%26.5%626.1%626.1%61.2%
IV Rank11.3%0.0%27.0%8.2%21.2%
IV Percentile15.2%0.0%50.2%4.0%33.9%
Term Structure2.6%-12.6%30.3%-0.3%2.3%
VWIV59.7%29.1%90.4%74.8%71.2%
Skew 25d15.6%-15.2%48.9%22.2%-9.8%
Skew 10d25.8%-6.7%59.0%35.2%-2.1%
Call IV 25d50.8%34.0%81.7%44.0%69.1%
Put IV 25d66.4%46.5%103.5%66.2%59.4%
Bid-Ask Spread %60.4419.4094.5435.6841.63
Gamma HHI0.290.220.500.280.37
Net GEX41.9K-43.0K89.4K80.1K-7.6K
Net DEX4.9M4.4M5.8M4.4M4.5M
Net VEX-15.3K-19.4K-9.5K-19.4K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.0014.000.331.33
Total Volume1,444.813812,71969466
Total OI47,201.42944,73953,04544,73946,343

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$5.85$6.0050.8%14.6%21.1%8.2%74.8%22.2%-0.3%80.1K4.4M-19.4K0.3335.68N/AN/A521722,51622,223
2011-09-02$5.88$6.0045.1%12.9%21.1%4.7%0.0%4.9%5.5%83.3K4.5M-18.9K0.0694.54N/AN/A6493922,51422,234
2011-09-06$5.85$9.0055.1%15.3%20.1%10.9%52.2%9.6%2.0%81.1K4.4M-18.9K0.1068.22N/AN/A1051023,00222,242
2011-09-07$5.84$9.0040.6%14.6%20.1%1.9%50.6%22.6%3.0%83.9K4.5M-18.5K0.6266.28N/AN/A1579823,06722,244
2011-09-08$5.85$9.0036.5%14.6%18.0%0.0%30.9%23.0%2.4%87.7K4.5M-18.2K6.4359.84N/AN/A7749523,14822,267
2011-09-09$5.79$9.0045.0%15.4%16.0%5.2%29.1%20.9%0.5%80.5K4.8M-18.0K0.0165.02N/AN/A76123,18522,742
2011-09-12$5.72$9.0066.5%14.9%15.0%18.4%37.9%11.6%0.3%68.3K5.1M-15.5K1.2763.04N/AN/A68186423,23022,743
2011-09-13$5.85$9.0057.6%15.7%16.5%12.9%54.8%17.3%0.2%83.8K4.7M-17.9K0.0065.00N/AN/A410023,59623,594
2011-09-14$5.85$8.0050.6%15.3%16.2%8.6%63.8%7.2%2.4%89.4K4.5M-18.8K4.3549.84N/AN/A2310023,92423,594
2011-09-15$5.63$8.0051.9%14.9%21.1%9.5%55.7%6.3%1.6%68.5K4.8M-17.3K0.1066.04N/AN/A42423,94623,643
2011-09-16$5.71$8.0051.6%14.8%21.6%9.2%52.2%14.9%2.7%59.0K5.2M-15.8K3.8667.26N/AN/A13251023,97123,647
2011-09-19$5.51$8.0041.3%11.8%24.8%2.9%0.0%18.0%0.6%48.3K4.9M-16.7K0.0369.02N/AN/A37122,91523,687
2011-09-20$5.63$8.0055.6%15.9%26.3%11.7%41.4%4.6%-4.7%55.5K5.0M-15.9K0.0779.97N/AN/A1391022,95223,686
2011-09-21$5.57$8.0041.6%11.9%26.5%3.1%59.7%17.0%6.3%51.4K5.1M-15.3K0.0479.09N/AN/A3811622,97123,689
2011-09-22$4.58$8.0049.6%14.2%73.5%8.0%72.4%19.7%-1.1%1.1K5.6M-11.8K0.3662.01N/AN/A1,68260223,15823,693
2011-09-23$4.07$8.0077.1%22.1%82.3%24.9%66.9%-15.2%-7.1%-23.9K5.6M-10.4K5.7960.68N/AN/A9085,26024,40123,792
2011-09-26$4.11$8.0071.7%20.6%82.3%21.6%81.5%48.9%16.8%-23.3K5.6M-12.9K0.4949.32N/AN/A80439724,91926,730
2011-09-27$3.54$8.0080.6%23.1%93.9%27.0%90.4%24.7%-12.6%-43.0K5.8M-11.4K0.8249.36N/AN/A92676225,44826,637
2011-09-28$3.54$8.0057.7%16.5%93.8%13.0%86.2%44.0%30.3%-36.4K5.6M-11.2K14.0019.40N/AN/A84811,87126,12326,922
2011-09-29$3.70$8.0059.6%17.1%96.5%14.1%62.5%14.7%3.7%-7.9K4.6M-9.5K0.0158.01N/AN/A684526,71819,174
2011-09-30$3.59$8.0071.1%20.4%96.3%21.2%71.2%-9.8%2.3%-7.6K4.5M-9.7K1.3341.63N/AN/A20026627,17419,169