TRX Options History — June 2012

In June 2012, TRX traded between $3.95 and $4.53. ATM implied volatility averaged 71.3%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 8.8% (HV 20d: 62.5%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2012-06-11: Highest Volume — 1,010 contracts
  • 2012-06-07: Largest IV spike — 66.4% change
  • 2012-06-15: Highest IV Rank — 48.1%
  • 2012-06-15: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.25$3.95$4.53$4.10$4.15
Max Pain$3.10$3.00$5.00$5.00$3.00
ATM IV71.3%43.7%99.0%75.3%60.8%
Expected Move21.2%17.1%28.4%21.6%17.4%
HV 20d62.5%49.3%73.1%73.1%61.1%
HV 60d58.2%55.5%60.4%59.7%59.7%
IV Rank28.8%9.9%48.1%30.7%21.7%
IV Percentile58.7%3.2%88.9%70.1%39.7%
Term Structure0.2%-41.2%15.6%10.7%10.2%
VWIV73.8%60.7%101.8%69.3%75.8%
Skew 25d8.7%-16.8%31.0%21.6%-7.5%
Skew 10d14.1%-25.3%107.7%25.4%-3.7%
Call IV 25d66.7%43.1%78.3%65.3%73.6%
Put IV 25d75.4%59.4%91.1%86.8%66.1%
Bid-Ask Spread %29.4913.7587.9124.2920.66
Gamma HHI0.360.330.400.330.37
Net GEX28.0K23.6K34.4K24.3K28.5K
Net DEX-1.9M-2.4M-1.3M-1.4M-1.7M
Net VEX-8.8K-9.7K-7.7K-8.9K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.002.750.000.00
Total Volume210221,010450160
Total OI17,059.28616,47017,57316,47017,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$4.10$5.0075.3%21.6%73.1%30.7%69.3%21.6%10.7%24.3K-1.4M-8.9K0.0024.29N/AN/A448211,4335,037
2012-06-04$4.17$3.0086.7%22.7%73.0%38.3%80.7%13.1%1.9%25.2K-1.6M-8.9K0.2926.26N/AN/A1404011,7465,037
2012-06-05$4.27$3.0071.4%20.9%67.8%28.1%69.6%10.4%1.0%26.9K-1.9M-9.5K0.8923.43N/AN/A17815811,8665,037
2012-06-06$4.20$3.0043.7%22.3%67.8%9.9%77.8%10.5%-1.9%26.7K-1.7M-9.4K0.0025.62N/AN/A189011,9735,151
2012-06-07$4.09$3.0072.7%21.1%65.7%30.0%71.5%-3.5%4.1%26.1K-1.5M-9.2K0.0030.39N/AN/A44012,1105,151
2012-06-08$4.16$3.0056.4%21.8%66.1%18.7%0.0%9.2%4.3%27.7K-1.6M-8.7K0.0027.78N/AN/A40012,1435,151
2012-06-11$4.27$3.0058.1%21.7%66.7%19.9%73.2%18.8%3.2%28.6K-1.8M-9.1K0.6825.25N/AN/A60041012,1535,151
2012-06-12$4.53$3.0080.7%20.3%61.0%35.5%72.6%28.1%3.6%30.3K-2.2M-9.0K0.4634.99N/AN/A261212,2975,276
2012-06-13$4.50$3.0080.6%22.7%49.3%35.4%70.3%12.2%-7.4%30.2K-2.2M-8.9K0.0538.14N/AN/A21112,2635,266
2012-06-14$4.50$3.0077.3%22.2%49.4%33.1%70.6%11.4%-4.9%30.1K-2.1M-8.8K1.8037.19N/AN/A152712,2485,266
2012-06-15$4.11$3.0099.0%28.4%58.3%48.1%101.8%-5.1%-41.2%23.6K-2.0M-9.7K0.6687.91N/AN/A31420812,2475,277
2012-06-18$4.41$3.0073.6%21.1%62.9%30.6%75.0%31.0%1.9%30.2K-2.2M-8.8K0.3857.13N/AN/A582211,8414,935
2012-06-19$4.43$3.0073.4%21.0%62.9%30.4%60.7%10.5%1.3%30.5K-2.3M-8.9K0.1432.51N/AN/A2954011,8834,924
2012-06-20$4.51$3.0061.6%17.6%61.9%22.2%61.4%7.2%6.6%34.4K-2.4M-8.9K1.7819.65N/AN/A325712,1254,944
2012-06-21$4.29$3.0073.6%21.1%62.3%30.6%68.6%2.3%0.6%29.7K-2.0M-8.7K2.7521.99N/AN/A4412112,1134,980
2012-06-22$4.16$3.0075.7%21.7%60.5%32.1%76.3%17.0%-15.4%27.1K-1.7M-8.3K0.0013.75N/AN/A87011,7784,970
2012-06-25$4.25$3.0074.0%21.2%61.0%30.8%74.0%24.2%0.2%28.7K-1.9M-8.4K0.0015.20N/AN/A33011,7974,970
2012-06-26$4.18$3.0077.1%22.1%60.2%33.0%74.4%2.3%-1.3%27.6K-1.8M-8.4K0.0018.64N/AN/A05311,8084,970
2012-06-27$4.08$3.0065.8%18.9%60.8%25.2%64.1%-14.6%10.8%26.8K-1.6M-8.0K0.0122.10N/AN/A420511,8085,008
2012-06-28$3.95$3.0059.5%17.1%60.6%20.8%87.6%-16.8%15.6%24.6K-1.3M-7.7K0.0016.38N/AN/A110012,0245,003
2012-06-29$4.15$3.0060.8%17.4%61.1%21.7%75.8%-7.5%10.2%28.5K-1.7M-7.9K0.0020.66N/AN/A160012,0825,003