TRX Options History — October 2011

In October 2011, TRX traded between $3.28 and $3.96. ATM implied volatility averaged 65.4%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 27.8% (HV 20d: 93.2%). Max pain ranged from $4.00 to $8.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2011-10-27: Highest Volume — 1,259 contracts
  • 2011-10-19: Largest IV spike — 62.5% change
  • 2011-10-04: Highest IV Rank — 33.1%
  • 2011-10-04: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.66$3.28$3.96$3.51$3.86
Max Pain$4.76$4.00$8.00$8.00$4.00
ATM IV65.4%45.8%90.6%56.0%78.0%
Expected Move19.4%13.1%26.0%16.0%22.4%
HV 20d93.2%63.3%109.7%95.7%63.5%
HV 60d67.4%61.3%70.7%61.3%69.6%
IV Rank17.7%5.7%33.1%11.9%25.4%
IV Percentile30.4%4.4%61.4%15.5%53.4%
Term Structure5.7%-7.9%33.7%31.2%-7.9%
VWIV78.9%58.8%152.4%58.8%77.8%
Skew 25d17.0%-0.9%29.5%19.4%3.4%
Skew 10d30.1%1.4%53.2%43.5%4.8%
Call IV 25d57.7%41.3%77.7%41.3%77.7%
Put IV 25d74.7%59.5%84.2%60.7%81.1%
Bid-Ask Spread %79.4744.0598.8849.3894.25
Gamma HHI0.270.200.380.330.24
Net GEX216-7.0K10.4K-5.3K-7.0K
Net DEX2.9M-110.6K4.4M4.3M440.1K
Net VEX-10.0K-11.4K-7.9K-10.1K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.0010.920.150.07
Total Volume381.14361,25951279
Total OI40,734.85725,33447,99546,26127,376

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$3.51$8.0056.0%16.0%95.7%11.9%58.8%19.4%31.2%-5.3K4.3M-10.1K0.1549.38N/AN/A4456727,29718,964
2011-10-04$3.28$8.0090.6%26.0%96.4%33.1%75.1%19.0%-1.8%-2.8K4.4M-7.9K1.1853.60N/AN/A43751627,52718,976
2011-10-05$3.56$8.0068.2%19.5%103.9%19.4%95.9%18.5%33.7%-3.3K4.0M-10.0K1.9944.05N/AN/A6913727,73817,919
2011-10-06$3.65$8.0065.8%18.9%105.0%18.0%152.4%6.2%13.7%-4.1K4.0M-10.3K0.2563.37N/AN/A48112027,75917,951
2011-10-07$3.48$4.0066.8%21.4%105.2%18.6%68.1%11.0%0.3%-5.5K3.9M-9.8K0.0470.41N/AN/A7633027,80717,981
2011-10-10$3.69$4.0053.9%17.2%109.3%10.7%0.0%20.8%9.8%-2.4K3.9M-10.6K0.5067.55N/AN/A201028,54318,011
2011-10-11$3.64$4.0049.5%19.4%108.1%7.9%0.0%22.6%4.4%-2.8K4.0M-10.1K0.0092.39N/AN/A6028,55318,001
2011-10-12$3.69$4.0048.1%18.5%108.6%7.1%85.8%26.7%3.4%-1.1K3.9M-10.3K1.0889.95N/AN/A768228,55918,001
2011-10-13$3.63$4.0063.8%18.3%108.5%16.8%0.0%24.9%4.3%-1.6K3.9M-9.8K0.3891.24N/AN/A481828,61817,971
2011-10-14$3.71$4.0067.9%19.5%108.8%19.2%0.0%29.0%-0.8%-2.9K4.0M-9.9K0.0089.81N/AN/A45028,63617,971
2011-10-17$3.51$4.0062.0%17.8%109.4%15.6%69.7%29.5%23.9%-2.8K3.9M-9.6K1.0997.36N/AN/A576228,68117,971
2011-10-18$3.60$4.0045.8%13.1%109.6%5.7%0.0%21.9%17.2%2.8K4.0M-9.1K0.0298.88N/AN/A9302028,71217,976
2011-10-19$3.45$4.0074.5%21.4%109.7%23.3%0.0%8.6%0.4%1.7K4.0M-8.4K0.0184.33N/AN/A570429,59017,956
2011-10-20$3.56$4.0059.2%17.0%90.5%13.9%0.0%24.8%11.9%1.4K4.0M-8.8K0.0892.54N/AN/A1501230,13417,783
2011-10-21$3.64$4.0067.5%19.4%82.2%19.0%68.4%22.8%-3.1%5.1K3.8M-10.0K1.0075.69N/AN/A9930,22417,771
2011-10-24$3.67$4.0069.0%19.8%82.1%19.9%69.0%-0.9%-0.9%5.3K294.1K-9.9K0.5284.40N/AN/A794118,2427,092
2011-10-25$3.92$4.0071.9%20.6%66.2%21.7%68.5%10.4%-4.2%9.1K-110.1K-11.4K0.8979.28N/AN/A17915918,2757,132
2011-10-26$3.94$4.0067.6%19.4%66.1%19.0%67.6%18.7%-4.7%9.3K-23.5K-10.8K0.0474.76N/AN/A128518,3457,221
2011-10-27$3.96$4.0074.5%21.4%64.5%23.3%74.7%16.5%-7.3%10.4K-110.6K-11.0K6.8281.56N/AN/A1611,09818,3917,166
2011-10-28$3.96$4.0073.3%21.0%63.3%22.6%73.3%2.8%-3.1%915102.6K-11.1K10.9294.15N/AN/A7480818,4278,184
2011-10-31$3.86$4.0078.0%22.4%63.5%25.4%77.8%3.4%-7.9%-7.0K440.1K-10.8K0.0794.25N/AN/A74518,4218,955