TRX Options History — January 2012

In January 2012, TRX traded between $2.64 and $3.31. ATM implied volatility averaged 82.1%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded above realized volatility by 8.0% (HV 20d: 74.1%). Max pain ranged from $2.00 to $4.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.84.

Notable Days

  • 2012-01-03: Highest Volume — 999 contracts
  • 2012-01-12: Largest IV spike — 24.2% change
  • 2012-01-17: Highest IV Rank — 37.6%
  • 2012-01-06: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.89$2.64$3.31$2.64$3.31
Max Pain$3.00$2.00$4.00$4.00$3.00
ATM IV82.1%70.5%97.9%80.6%72.5%
Expected Move24.6%20.8%28.5%23.1%20.8%
HV 20d74.1%57.0%93.8%93.0%57.0%
HV 60d116.2%115.0%117.4%116.9%117.3%
IV Rank28.0%20.8%37.6%27.0%22.1%
IV Percentile51.4%37.5%65.7%50.2%40.6%
Term Structure6.0%-9.6%22.2%5.5%-9.6%
VWIV86.4%77.9%96.9%81.6%95.2%
Skew 25d6.8%-30.1%45.8%-30.1%-16.6%
Skew 10d13.1%-43.8%86.6%-43.8%15.9%
Call IV 25d79.1%64.2%91.7%91.7%74.6%
Put IV 25d85.9%58.1%120.0%61.6%58.1%
Bid-Ask Spread %71.8211.37106.3811.3758.49
Gamma HHI0.340.270.520.520.41
Net GEX4.4K-14.9K11.3K-14.9K11.3K
Net DEX147.3K-763.9K705.0K705.0K-763.9K
Net VEX-4.8K-6.1K-3.9K-3.9K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.0015.000.020.90
Total Volume298.322999999148
Total OI26,031.9511,71833,53931,93613,668

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$2.64$4.0080.6%23.1%93.0%27.0%0.0%-30.1%5.5%-14.9K705.0K-3.9K0.0211.37N/AN/A9792020,03711,899
2012-01-04$2.74$4.0076.8%22.0%93.8%24.7%81.6%-12.5%12.0%4.7K476.7K-4.5K0.0313.73N/AN/A2981020,98511,879
2012-01-05$2.71$4.0073.9%21.2%93.8%22.9%0.0%-14.2%22.2%-2.5K469.6K-5.0K0.3314.58N/AN/A401321,18311,879
2012-01-06$2.71$2.0070.5%28.5%91.9%20.8%0.0%11.7%-2.4%-265477.4K-4.8K0.8386.58N/AN/A121021,20311,882
2012-01-09$2.74$2.0085.6%26.9%91.2%30.1%0.0%-1.3%5.2%675465.3K-4.5K5.4284.71N/AN/A2614121,21211,892
2012-01-10$2.74$2.0075.3%27.8%88.1%23.7%96.9%10.5%3.0%795500.6K-4.6K3.4883.99N/AN/A6121221,22711,945
2012-01-11$2.79$3.0071.3%25.0%86.8%21.3%0.0%11.5%6.5%2.8K478.9K-4.6K2.8599.52N/AN/A4111721,23412,059
2012-01-12$2.79$3.0088.5%25.4%80.8%31.9%0.0%11.6%7.0%2.9K514.5K-4.4K0.06102.68N/AN/A98621,25012,030
2012-01-13$2.75$3.0085.2%24.4%80.9%29.9%85.9%3.5%11.8%3.6K476.3K-4.5K0.16106.38N/AN/A801321,29512,031
2012-01-17$2.68$3.0097.9%28.1%71.3%37.6%0.0%4.0%-1.1%7.3K581.5K-4.2K0.4575.70N/AN/A673021,31512,042
2012-01-18$2.72$3.0081.9%23.5%67.1%27.8%0.0%10.4%12.4%7.4K602.9K-4.1K2.50106.22N/AN/A4812021,38212,042
2012-01-19$2.72$3.0083.3%23.9%65.5%28.7%82.7%6.6%11.1%7.6K589.7K-4.1K0.1791.56N/AN/A951621,40912,055
2012-01-20$2.88$3.0089.2%25.6%57.7%32.3%0.0%15.4%2.5%3.0K502.9K-4.4K15.0075.35N/AN/A4161521,48412,055
2012-01-23$3.04$3.0089.5%25.6%59.9%32.5%88.3%15.1%-0.6%9.1K-435.8K-4.9K0.1791.63N/AN/A324568,4553,263
2012-01-24$2.88$3.0084.9%24.3%60.6%29.7%84.9%14.0%11.5%8.7K-360.1K-4.7K3.1779.62N/AN/A1685328,6643,308
2012-01-25$3.14$3.0078.2%22.4%66.0%25.6%77.9%45.8%5.0%7.7K-449.4K-5.3K1.0765.16N/AN/A2042188,7843,828
2012-01-26$3.21$3.0078.9%22.6%59.8%26.0%79.0%15.5%19.6%8.5K-514.3K-5.5K0.0460.85N/AN/A555258,8404,004
2012-01-27$3.24$3.0089.3%25.6%58.2%32.4%89.2%16.4%2.3%9.7K-653.9K-6.0K0.0061.98N/AN/A30609,3104,025
2012-01-30$3.30$3.0089.1%25.6%58.1%32.3%89.4%19.0%-4.5%10.7K-718.6K-6.0K0.1666.38N/AN/A191309,5594,025
2012-01-31$3.31$3.0072.5%20.8%57.0%22.1%95.2%-16.6%-9.6%11.3K-763.9K-6.1K0.9058.49N/AN/A78709,6284,040