TRX Options History — February 2012

In February 2012, TRX traded between $3.23 and $4.33. ATM implied volatility averaged 64.8%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 13.9% (HV 20d: 50.9%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.59.

Notable Days

  • 2012-02-22: Highest Volume — 1,377 contracts
  • 2012-02-29: Largest IV drop — 33.7% change
  • 2012-02-13: Highest IV Rank — 29.3%
  • 2012-02-07: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.62$3.23$4.33$3.37$4.21
Max Pain$3.20$3.00$4.00$3.00$4.00
ATM IV64.8%29.4%84.3%71.2%29.4%
Expected Move19.9%8.4%27.2%20.4%8.4%
HV 20d50.9%44.6%56.9%48.7%50.1%
HV 60d80.2%65.5%116.7%116.5%67.2%
IV Rank17.6%0.0%29.3%21.2%0.0%
IV Percentile31.0%0.0%56.6%37.8%0.0%
Term Structure2.4%-9.9%30.4%-3.2%30.4%
VWIV73.2%53.1%87.6%70.6%56.8%
Skew 25d0.1%-35.1%27.3%-17.3%1.0%
Skew 10d16.4%-30.4%78.4%17.3%8.1%
Call IV 25d71.4%51.0%85.7%72.5%51.0%
Put IV 25d71.5%40.1%106.7%55.1%52.0%
Bid-Ask Spread %50.8216.7070.2460.5416.70
Gamma HHI0.450.400.520.430.45
Net GEX19.6K8.7K37.1K12.0K33.3K
Net DEX-1.1M-2.2M-616.2K-816.1K-1.9M
Net VEX-6.2K-7.5K-5.4K-6.1K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0015.000.641.65
Total Volume400.35281,377126951
Total OI14,718.0513,68116,71213,68116,712

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$3.37$3.0071.2%20.4%48.7%21.2%70.6%-17.3%-3.2%12.0K-816.1K-6.1K0.6460.54N/AN/A77499,6564,025
2012-02-02$3.43$3.0064.2%18.4%47.9%17.0%79.8%-35.1%4.9%13.0K-863.8K-6.0K2.2044.21N/AN/A1262779,7214,036
2012-02-03$3.40$3.0070.8%25.2%47.7%21.0%76.1%15.3%-2.6%12.4K-840.0K-6.1K0.7470.24N/AN/A1621209,7374,142
2012-02-06$3.29$3.0058.2%21.6%50.1%13.3%76.7%0.6%3.1%10.2K-670.8K-5.7K0.0057.91N/AN/A28909,6954,262
2012-02-07$3.43$3.0054.3%27.2%51.4%10.9%87.6%22.0%-4.2%13.0K-827.4K-5.9K0.8557.38N/AN/A53459,7014,254
2012-02-08$3.34$3.0056.7%21.4%53.0%12.4%82.3%-7.4%3.1%11.9K-741.9K-5.7K0.0358.54N/AN/A15049,7124,288
2012-02-09$3.37$3.0070.3%20.1%52.9%20.7%77.4%-8.2%6.3%12.8K-772.8K-5.7K0.0362.08N/AN/A5929,8064,292
2012-02-10$3.23$3.0076.6%22.0%56.0%24.6%76.7%3.7%4.1%8.7K-616.2K-5.5K15.0061.00N/AN/A2309,8534,294
2012-02-13$3.30$3.0084.3%24.2%55.6%29.3%83.6%27.3%-1.6%10.9K-683.2K-5.5K0.0061.74N/AN/A5309,8544,324
2012-02-14$3.26$3.0079.2%22.7%54.7%26.2%0.0%4.5%0.5%10.4K-658.2K-5.4K0.0059.55N/AN/A0289,8794,324
2012-02-15$3.36$3.0081.3%23.3%55.1%27.4%0.0%8.2%-2.4%13.7K-741.0K-5.4K0.1949.38N/AN/A338649,8794,339
2012-02-16$3.54$3.0070.7%20.3%56.9%20.9%71.0%4.5%-0.9%19.3K-969.1K-5.6K0.3945.73N/AN/A66026010,1724,379
2012-02-17$3.60$3.0067.6%19.4%54.5%19.1%67.3%-23.0%4.8%21.3K-1.1M-6.5K0.0638.97N/AN/A3562110,6934,619
2012-02-21$3.74$3.0073.8%21.1%53.1%22.8%0.0%-0.2%-3.1%22.8K-1.2M-6.4K2.1156.99N/AN/A9319610,4213,976
2012-02-22$3.88$3.0079.3%22.7%48.0%26.2%79.3%4.0%-9.9%23.6K-1.4M-6.7K0.0857.65N/AN/A1,27710010,4144,159
2012-02-23$4.15$3.0060.1%17.2%44.6%14.4%59.9%1.5%3.9%35.1K-1.9M-7.3K0.3341.49N/AN/A75425211,4084,234
2012-02-24$4.14$4.0051.2%14.7%44.9%9.0%0.0%12.3%12.5%37.1K-1.9M-7.3K4.7237.50N/AN/A9544811,5634,427
2012-02-27$4.10$4.0053.1%15.2%45.6%10.1%53.1%3.5%-0.8%34.5K-1.7M-7.2K0.7441.11N/AN/A24017811,5584,845
2012-02-28$4.33$4.0044.4%12.7%48.0%4.8%0.0%-14.4%3.2%35.6K-2.2M-7.5K0.5137.69N/AN/A1316711,7454,963
2012-02-29$4.21$4.0029.4%8.4%50.1%0.0%56.8%1.0%30.4%33.3K-1.9M-7.2K1.6516.70N/AN/A35959211,7025,010