TRX Options History — May 2012

In May 2012, TRX traded between $3.51 and $4.58. ATM implied volatility averaged 68.8%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 7.8% (HV 20d: 61.0%). Max pain ranged from $1.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.29.

Notable Days

  • 2012-05-18: Highest Volume — 2,577 contracts
  • 2012-05-17: Largest IV spike — 52.4% change
  • 2012-05-30: Highest IV Rank — 35.7%
  • 2012-05-30: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.04$3.51$4.58$4.58$3.92
Max Pain$3.00$1.00$5.00$5.00$5.00
ATM IV68.8%49.4%86.2%55.9%77.6%
Expected Move19.5%14.2%23.7%16.0%22.2%
HV 20d61.0%44.3%72.2%47.1%71.0%
HV 60d57.6%53.1%60.9%53.5%59.2%
IV Rank25.8%13.4%35.7%16.4%32.2%
IV Percentile52.7%7.6%77.3%22.3%72.5%
Term Structure-0.3%-16.4%29.5%-0.2%-4.9%
VWIV68.8%45.2%82.3%45.2%75.3%
Skew 25d16.2%-22.6%87.9%8.5%9.1%
Skew 10d24.0%0.8%104.3%9.1%7.1%
Call IV 25d58.8%43.7%74.1%56.2%74.1%
Put IV 25d75.0%50.8%138.7%64.8%83.3%
Bid-Ask Spread %37.2014.8961.2314.8923.29
Gamma HHI0.370.320.420.420.32
Net GEX19.2K10.9K24.9K24.9K23.0K
Net DEX-785.6K-1.6M155.8K-1.4M-1.1M
Net VEX-7.6K-8.9K-5.9K-8.0K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.640.001.17
Total Volume371.909102,57721126
Total OI15,060.22714,25716,41514,38716,415

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$4.58$5.0055.9%16.0%47.1%16.4%0.0%8.5%-0.2%24.9K-1.4M-8.0K0.0014.89N/AN/A2109,4514,936
2012-05-02$4.39$5.0066.5%19.1%45.7%23.0%0.0%0.1%-1.1%22.6K-1.1M-8.1K0.0024.64N/AN/A1309,4414,936
2012-05-03$4.32$5.0057.8%16.6%44.3%17.6%45.2%37.4%29.5%23.6K-882.6K-7.5K0.1528.70N/AN/A103159,4164,925
2012-05-04$4.40$1.0058.3%16.2%44.4%17.9%0.0%7.2%-2.8%23.1K-1.1M-7.3K1.6061.23N/AN/A589,3234,934
2012-05-07$4.07$1.0059.3%16.8%50.1%18.5%53.4%10.6%14.7%20.2K-501.9K-7.1K0.0049.04N/AN/A1009,3234,934
2012-05-08$4.00$1.0074.2%20.8%50.1%27.7%0.0%4.1%-16.4%19.8K-441.5K-6.7K1.6448.08N/AN/A3645969,3334,934
2012-05-09$4.22$1.0086.2%21.4%54.7%35.2%75.3%26.5%-13.5%19.7K-869.8K-8.0K0.0548.14N/AN/A329179,6945,487
2012-05-10$4.22$1.0070.5%20.2%54.2%27.5%72.6%4.5%-7.6%18.7K-842.9K-8.0K0.0642.50N/AN/A7149,5775,488
2012-05-11$4.19$1.0062.1%17.8%53.9%21.8%0.0%50.3%-4.7%16.9K-670.4K-7.1K0.0047.82N/AN/A11109,5475,492
2012-05-14$3.84$1.0067.9%19.5%60.3%25.8%0.0%3.4%1.3%15.0K-259.5K-7.0K0.0747.48N/AN/A13499,5355,492
2012-05-15$3.51$1.0064.4%18.5%64.8%23.4%74.6%-22.6%-4.2%10.9K155.8K-5.9K0.3235.60N/AN/A124409,5125,497
2012-05-16$3.58$1.0049.4%14.2%66.1%13.4%0.0%87.9%20.7%11.8K36.7K-6.3K0.0041.92N/AN/A7709,5845,494
2012-05-17$3.79$1.0075.4%21.6%70.7%30.7%75.4%-2.6%-1.3%14.7K-215.5K-6.8K0.1044.49N/AN/A414439,6415,494
2012-05-18$3.80$1.0070.6%20.2%70.8%27.5%53.2%6.3%2.4%14.2K-265.5K-7.0K0.6532.43N/AN/A1,5601,0179,8135,504
2012-05-21$3.84$5.0073.0%20.9%71.1%29.1%0.0%11.3%-3.3%16.0K-638.1K-7.5K0.0035.86N/AN/A18509,5454,968
2012-05-22$3.75$5.0069.7%20.0%66.8%27.0%0.0%6.4%2.5%15.7K-494.9K-7.1K0.0034.09N/AN/A86649,6914,968
2012-05-23$3.98$5.0076.6%22.0%68.9%31.6%76.6%22.2%-3.4%18.9K-1.1M-8.4K0.0533.47N/AN/A5463010,3474,970
2012-05-24$4.20$5.0070.3%20.2%72.0%27.4%70.3%31.1%-5.1%23.5K-1.5M-8.8K0.1133.54N/AN/A2703010,8004,979
2012-05-25$4.22$5.0071.7%20.6%71.5%28.3%71.7%31.2%-0.6%23.5K-1.6M-8.9K0.0833.19N/AN/A50410,9014,993
2012-05-29$4.09$5.0072.8%20.9%72.2%29.0%0.0%8.3%-2.1%22.7K-1.3M-8.6K0.0936.36N/AN/A4734410,9514,993
2012-05-30$4.06$5.0082.8%23.7%71.4%35.7%82.3%15.0%-6.7%22.3K-1.3M-8.7K0.1521.61N/AN/A4096011,0635,004
2012-05-31$3.92$5.0077.6%22.2%71.0%32.2%75.3%9.1%-4.9%23.0K-1.1M-7.8K1.1723.29N/AN/A586811,3895,026