TRX Options History — March 2012

In March 2012, TRX traded between $3.90 and $5.27. ATM implied volatility averaged 59.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 0.0% (HV 20d: 59.6%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-03-22: Highest Volume — 2,710 contracts
  • 2012-03-02: Largest IV drop — 41.7% change
  • 2012-03-13: Highest IV Rank — 25.2%
  • 2012-03-01: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.61$3.90$5.27$4.42$5.13
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV59.6%40.9%72.3%70.1%56.9%
Expected Move16.5%11.7%20.1%20.1%16.3%
HV 20d59.6%51.8%63.1%51.8%57.9%
HV 60d61.3%52.4%68.6%67.6%52.4%
IV Rank17.7%6.7%25.2%23.9%16.2%
IV Percentile26.4%1.6%48.2%39.4%23.5%
Term Structure4.3%-11.8%16.0%-11.8%16.0%
VWIV58.4%35.9%70.1%70.1%35.9%
Skew 25d5.6%-13.0%23.9%17.6%22.9%
Skew 10d12.7%-12.0%34.8%8.0%15.5%
Call IV 25d54.2%38.3%68.4%50.6%38.3%
Put IV 25d59.8%45.6%74.4%68.2%61.2%
Bid-Ask Spread %22.0012.4436.8223.6417.70
Gamma HHI0.430.350.490.410.47
Net GEX32.0K27.0K35.5K29.7K31.0K
Net DEX-2.5M-3.7M-1.2M-2.2M-3.2M
Net VEX-8.3K-10.5K-7.5K-7.9K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.006.830.260.18
Total Volume547.4091272,710553298
Total OI18,423.18216,96120,36017,33120,179

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$4.42$4.0070.1%20.1%51.8%23.9%70.1%17.6%-11.8%29.7K-2.2M-7.9K0.2623.64N/AN/A44011311,7655,566
2012-03-02$4.30$4.0040.9%11.7%53.8%6.7%0.0%-13.0%15.6%32.2K-2.0M-7.8K6.8336.82N/AN/A3020511,9625,479
2012-03-05$4.14$4.0051.3%17.1%56.1%12.8%56.5%14.1%3.1%33.5K-1.7M-7.9K0.2512.47N/AN/A1433611,9245,645
2012-03-06$4.01$4.0072.0%17.7%56.0%25.0%60.7%-5.7%1.3%31.3K-1.4M-7.7K0.0033.87N/AN/A199011,9655,681
2012-03-07$3.90$4.0070.6%18.0%56.2%24.2%62.9%14.8%0.3%30.4K-1.2M-7.6K0.0429.11N/AN/A2691111,9425,681
2012-03-08$4.18$4.0070.6%17.3%59.0%24.2%60.6%2.3%-1.4%33.5K-1.8M-7.7K0.3035.26N/AN/A96429111,9825,692
2012-03-09$4.39$4.0044.6%14.9%60.5%9.0%51.7%-6.2%12.4%35.5K-2.3M-8.3K0.2822.41N/AN/A52614712,4855,831
2012-03-12$4.71$4.0060.6%16.9%60.0%18.3%55.4%8.0%5.4%27.0K-3.0M-8.3K0.2313.17N/AN/A56913012,5265,921
2012-03-13$4.65$4.0072.3%15.5%61.0%25.2%56.3%4.8%0.3%31.8K-2.9M-7.9K0.1126.25N/AN/A1902112,6045,869
2012-03-14$4.50$4.0069.2%17.0%62.7%23.4%59.4%2.9%3.1%33.6K-2.5M-8.3K0.7521.88N/AN/A1229112,6545,870
2012-03-15$4.46$4.0054.2%15.5%63.1%14.5%59.2%-10.5%10.2%30.9K-2.6M-8.2K0.3220.26N/AN/A963112,5845,901
2012-03-16$4.64$4.0053.9%15.5%62.3%14.4%63.2%17.1%8.7%32.3K-3.0M-8.0K0.2417.44N/AN/A57614012,6245,921
2012-03-19$4.63$4.0054.9%15.7%62.5%15.0%55.7%10.2%0.6%32.8K-2.6M-7.8K0.2922.72N/AN/A2106011,6285,338
2012-03-20$4.60$4.0054.1%15.5%62.1%14.5%56.1%5.7%2.1%33.5K-2.5M-7.5K0.2825.19N/AN/A3128611,6135,348
2012-03-21$4.58$4.0053.5%15.3%61.5%14.1%53.4%6.4%4.8%33.7K-2.4M-7.7K0.1422.36N/AN/A2273111,8365,417
2012-03-22$4.81$4.0064.4%18.5%59.5%20.6%66.4%23.9%1.6%35.4K-2.8M-8.1K1.7618.13N/AN/A9831,72712,0435,438
2012-03-23$5.05$4.0066.2%19.0%61.1%21.6%66.6%3.2%2.4%30.9K-3.2M-8.7K0.8121.86N/AN/A83367212,7226,850
2012-03-26$5.27$4.0052.1%15.0%61.7%13.4%51.7%-2.7%10.2%31.2K-3.7M-10.5K0.3514.22N/AN/A2849913,1237,237
2012-03-27$5.09$4.0059.1%16.9%61.7%17.4%62.6%-10.1%-0.2%30.8K-3.3M-9.4K0.3312.44N/AN/A2528413,0157,272
2012-03-28$5.01$4.0056.0%16.1%60.9%15.6%0.0%4.8%8.0%33.3K-2.9M-9.4K1.9114.50N/AN/A9918912,7827,253
2012-03-29$5.03$4.0063.3%18.1%59.1%19.9%63.7%13.2%2.0%29.1K-2.9M-9.1K0.2922.37N/AN/A1995812,7877,355
2012-03-30$5.13$4.0056.9%16.3%57.9%16.2%35.9%22.9%16.0%31.0K-3.2M-9.7K0.1817.70N/AN/A2534512,7947,385