TRX Options History — December 2011

In December 2011, TRX traded between $2.21 and $3.13. ATM implied volatility averaged 103.4%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 29.0%. IV traded below realized volatility by 3.9% (HV 20d: 107.3%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2011-12-15: Highest Volume — 1,899 contracts
  • 2011-12-15: Largest IV spike — 24.2% change
  • 2011-12-07: Highest IV Rank — 53.9%
  • 2011-12-02: Largest Expected Move — 32.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.62$2.21$3.13$2.88$2.40
Max Pain$3.90$3.00$4.00$3.00$4.00
ATM IV103.4%79.9%124.4%109.5%102.0%
Expected Move29.0%22.9%32.6%31.4%29.2%
HV 20d107.3%61.6%175.5%175.3%85.4%
HV 60d119.6%115.2%124.7%120.8%115.2%
IV Rank41.0%26.6%53.9%44.7%40.1%
IV Percentile69.5%50.6%83.3%73.3%68.9%
Term Structure9.1%-9.2%51.3%3.2%10.6%
VWIV107.7%67.9%167.2%107.9%167.2%
Skew 25d10.7%-32.8%44.5%18.3%44.5%
Skew 10d45.9%-41.2%81.0%30.4%73.2%
Call IV 25d101.3%73.5%175.2%94.1%73.5%
Put IV 25d112.0%75.0%186.2%112.4%118.0%
Bid-Ask Spread %17.8811.6623.4620.7415.72
Gamma HHI0.390.250.570.300.41
Net GEX-6.3K-16.8K4.3K-3.9K4.3K
Net DEX831.3K250.2K1.3M630.8K728.3K
Net VEX-5.8K-8.3K-2.7K-8.1K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.008.110.650.00
Total Volume427.381101,89922327
Total OI34,470.28631,93237,05734,93431,932

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$2.88$3.00109.5%31.4%175.3%44.7%107.9%18.3%3.2%-3.9K630.8K-8.1K0.6520.74N/AN/A1358820,38314,551
2011-12-02$2.85$3.00113.5%32.6%174.1%47.2%111.3%7.7%2.4%-2.5K535.1K-8.3K0.0019.71N/AN/A013820,48614,626
2011-12-05$2.91$4.00122.1%31.4%174.4%52.5%123.6%9.7%-2.2%-3.1K584.2K-7.7K0.8819.81N/AN/A66558420,48614,550
2011-12-06$2.93$4.00114.8%31.7%174.2%48.0%107.0%15.0%-5.2%-1.2K535.6K-7.8K0.6219.98N/AN/A27617220,84515,051
2011-12-07$3.07$4.00124.4%32.3%175.5%53.9%133.0%31.8%-7.3%1.0K395.6K-8.0K1.9217.66N/AN/A25048120,78814,999
2011-12-08$2.95$4.00120.3%31.5%174.1%51.4%129.6%12.5%-8.3%-2.1K585.8K-7.7K3.8118.84N/AN/A6324020,73615,445
2011-12-09$3.13$4.00105.0%32.5%94.5%42.0%121.1%27.3%-9.2%3.4K250.2K-8.2K8.1116.99N/AN/A4536520,72615,665
2011-12-12$2.97$4.00121.5%29.1%61.6%52.1%102.2%14.2%-0.0%-2.1K640.1K-6.7K5.8823.46N/AN/A4828220,71115,624
2011-12-13$2.72$4.00115.4%29.6%69.4%48.4%103.1%8.2%10.7%-5.8K920.0K-6.5K0.0021.04N/AN/A150020,72315,823
2011-12-14$2.69$4.0089.7%30.8%69.5%32.6%97.2%1.1%-7.7%-9.6K1.1M-6.3K0.1611.66N/AN/A66710820,66615,823
2011-12-15$2.42$4.00111.3%31.9%74.0%45.9%109.2%22.6%-6.5%-13.9K1.3M-5.2K7.9221.39N/AN/A2131,68621,20415,853
2011-12-16$2.28$4.00104.8%30.1%74.0%41.9%97.8%10.7%2.3%-14.1K1.3M-4.4K0.2321.02N/AN/A4229521,27515,369
2011-12-19$2.21$4.0088.4%25.4%73.9%31.8%93.4%-0.6%28.3%-16.8K1.2M-4.2K1.7813.42N/AN/A17831719,81612,875
2011-12-20$2.46$4.0082.0%23.5%84.1%27.9%82.4%12.0%51.3%-15.8K1.2M-4.8K1.2117.72N/AN/A19523519,88212,848
2011-12-21$2.50$4.0085.6%24.5%84.0%30.1%87.5%6.9%33.0%-14.5K1.0M-5.0K2.1417.86N/AN/A14430819,96212,969
2011-12-22$2.38$4.0093.0%26.7%85.6%34.6%97.8%3.6%21.0%-16.1K1.2M-4.8K0.2518.37N/AN/A1734319,99713,166
2011-12-23$2.46$4.0079.9%22.9%86.2%26.6%67.9%4.3%33.5%-12.1K949.3K-4.8K0.0012.23N/AN/A10020,05712,070
2011-12-27$2.31$4.0096.7%27.7%88.8%36.9%167.2%-4.0%19.5%-14.0K925.0K-4.5K1.0018.78N/AN/A8820,06311,899
2011-12-28$2.26$4.0099.8%28.6%88.9%38.8%0.0%11.0%10.5%3.8K723.2K-2.8K0.0014.11N/AN/A21020,05711,899
2011-12-29$2.28$4.0091.8%26.3%85.6%33.9%0.0%-32.8%11.9%3.5K759.1K-2.7K0.3115.01N/AN/A1033220,07711,899
2011-12-30$2.40$4.00102.0%29.2%85.4%40.1%0.0%44.5%10.6%4.3K728.3K-3.0K0.0015.72N/AN/A27020,03311,899