TRX Options History — November 2011

In November 2011, TRX traded between $2.29 and $3.95. ATM implied volatility averaged 114.1%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 32.3%. IV traded below realized volatility by 18.0% (HV 20d: 132.1%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.05.

Notable Days

  • 2011-11-10: Highest Volume — 45,897 contracts
  • 2011-11-08: Largest IV spike — 50.7% change
  • 2011-11-10: Highest IV Rank — 84.2%
  • 2011-11-10: Largest Expected Move — 49.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.97$2.29$3.95$3.95$2.73
Max Pain$3.38$3.00$4.00$4.00$3.00
ATM IV114.1%58.0%173.9%81.2%122.5%
Expected Move32.3%18.2%49.8%23.3%35.1%
HV 20d132.1%50.3%173.8%57.7%173.5%
HV 60d102.2%69.7%120.1%69.7%120.1%
IV Rank47.6%13.2%84.2%27.4%52.7%
IV Percentile73.8%19.9%97.6%58.2%82.1%
Term Structure-7.8%-37.7%9.8%-11.3%-8.7%
VWIV118.7%76.0%161.3%76.0%122.8%
Skew 25d12.8%-33.6%64.8%8.4%-1.9%
Skew 10d37.9%-30.7%76.4%12.4%35.4%
Call IV 25d98.2%62.0%133.4%77.3%96.8%
Put IV 25d111.0%56.0%162.9%85.7%94.8%
Bid-Ask Spread %49.5915.9399.4395.0620.56
Gamma HHI0.280.210.360.220.32
Net GEX-5.7K-14.9K604-6.5K-5.3K
Net DEX781.2K298.4K1.5M298.4K750.6K
Net VEX-8.9K-11.5K-5.2K-11.4K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.0014.920.008.73
Total Volume2,917.4763045,897301,070
Total OI35,229.76227,43949,15627,43933,974

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$3.95$4.0081.2%23.3%57.7%27.4%0.0%8.4%-11.3%-6.5K298.4K-11.4K0.0095.06N/AN/A30018,4848,955
2011-11-02$3.94$4.0075.3%21.6%51.0%23.8%76.0%9.6%-5.1%-10.1K386.2K-10.7K0.6389.66N/AN/A35322318,4948,955
2011-11-03$3.67$4.0074.0%21.2%57.0%23.0%78.3%-15.8%-37.7%-11.1K746.8K-10.4K0.4394.53N/AN/A24910618,7079,173
2011-11-04$3.68$4.0058.8%19.9%54.1%13.6%0.0%7.1%1.4%-10.6K713.2K-10.3K0.1399.43N/AN/A30418,7699,213
2011-11-07$3.74$4.0058.0%18.2%50.3%13.2%0.0%12.4%6.2%-14.9K694.0K-10.4K0.1597.75N/AN/A65910018,7629,217
2011-11-08$3.69$4.0087.4%19.8%50.3%31.2%0.0%-6.0%3.5%-8.9K632.3K-10.4K3.1595.71N/AN/A25881418,9919,317
2011-11-09$3.42$4.00129.1%28.6%56.9%56.8%93.1%20.6%-9.3%-3.7K736.5K-10.0K14.9291.30N/AN/A1101,64119,0739,197
2011-11-10$2.29$4.00173.9%49.8%152.2%84.2%161.3%47.2%-24.5%6041.5M-5.2K4.4315.93N/AN/A8,45037,44719,08010,790
2011-11-11$2.84$3.00136.3%39.1%173.7%61.1%145.7%27.3%-17.1%-6.3K819.2K-11.5K0.6420.09N/AN/A2,5651,63225,12524,031
2011-11-14$2.82$3.00115.7%33.2%173.0%48.5%114.1%20.9%9.8%-5.7K715.8K-10.1K0.1424.80N/AN/A5557824,99222,093
2011-11-15$2.80$3.00117.6%33.7%172.5%49.7%118.7%20.4%2.1%-306718.7K-10.7K0.2924.97N/AN/A40111724,81021,951
2011-11-16$2.59$3.00124.5%35.7%173.8%53.9%126.3%64.8%-5.9%-2.9K927.2K-8.4K0.1020.93N/AN/A6326524,75520,102
2011-11-17$2.44$3.00142.2%40.8%173.6%64.8%117.6%22.2%-3.9%-3.9K1.0M-7.4K0.1819.84N/AN/A3556524,99620,097
2011-11-18$2.50$3.00164.9%47.3%173.7%78.7%124.3%55.1%-24.7%-4.1K988.7K-8.0K0.2719.50N/AN/A75020524,96820,068
2011-11-21$2.51$3.00123.3%35.4%173.6%53.2%150.6%32.2%-4.2%-6.0K869.3K-7.4K2.7220.88N/AN/A12834820,29513,161
2011-11-22$2.56$3.00116.1%33.3%171.3%48.8%115.3%31.6%-6.2%-4.8K769.1K-7.6K0.0924.88N/AN/A4494220,34713,264
2011-11-23$2.59$3.00111.2%31.9%171.5%45.8%101.9%-14.6%-1.8%-3.8K779.1K-7.5K3.2722.08N/AN/A7424220,58813,262
2011-11-25$2.53$3.00127.6%36.6%171.2%55.9%127.6%-22.9%-6.2%-2.7K717.4K-7.9K0.0080.21N/AN/A776020,50713,487
2011-11-28$2.56$3.00125.4%35.9%171.5%54.5%125.7%-16.6%-5.4%-3.6K763.7K-7.4K0.6823.48N/AN/A1137720,36713,487
2011-11-29$2.57$3.00131.6%37.7%171.7%58.3%0.0%-33.6%-14.3%-4.7K806.9K-7.3K0.0039.86N/AN/A05420,38413,537
2011-11-30$2.73$3.00122.5%35.1%173.5%52.7%122.8%-1.9%-8.7%-5.3K750.6K-7.4K8.7320.56N/AN/A11096020,38313,591