TRX Options History — July 2012

In July 2012, TRX traded between $3.92 and $4.38. ATM implied volatility averaged 67.0%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 13.9% (HV 20d: 53.0%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2012-07-09: Highest Volume — 875 contracts
  • 2012-07-31: Largest IV drop — 25.7% change
  • 2012-07-18: Highest IV Rank — 33.8%
  • 2012-07-18: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.17$3.92$4.38$4.14$4.25
Max Pain$3.86$3.00$4.00$3.00$4.00
ATM IV67.0%44.5%78.2%76.2%44.5%
Expected Move19.4%12.8%22.4%21.9%12.8%
HV 20d53.0%43.1%64.1%60.8%43.2%
HV 60d60.2%58.5%61.2%59.5%59.3%
IV Rank26.0%10.5%33.8%32.4%10.5%
IV Percentile49.2%3.6%74.6%71.0%3.6%
Term Structure1.9%-11.6%16.0%0.4%16.0%
VWIV62.0%39.5%70.6%68.9%60.8%
Skew 25d11.6%-6.3%26.0%15.6%-6.3%
Skew 10d10.6%1.3%35.7%1.3%20.2%
Call IV 25d55.6%43.5%68.6%53.5%50.5%
Put IV 25d67.2%44.1%77.4%69.1%44.1%
Bid-Ask Spread %45.2320.5165.4522.3033.69
Gamma HHI0.550.330.920.360.92
Net GEX11.3K43333.7K29.0K1.4K
Net DEX-652.5K-2.1M20.9K-1.7M19.9K
Net VEX-2.9K-8.1K34-8.0K33
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.0011.3011.300.00
Total Volume239.524187524640
Total OI15,086.3339,44217,73717,09410,469

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$4.14$3.0076.2%21.9%60.8%32.4%0.0%15.6%0.4%29.0K-1.7M-8.0K11.3022.30N/AN/A2022612,0915,003
2012-07-03$4.38$3.0069.2%19.8%63.5%27.6%68.9%26.0%9.5%33.7K-2.1M-7.8K0.0026.24N/AN/A60012,1115,229
2012-07-05$4.29$3.0055.6%16.0%63.7%18.2%53.6%7.6%14.2%31.5K-2.0M-7.8K0.1729.90N/AN/A1152012,1445,229
2012-07-06$4.25$4.0066.0%20.6%63.0%25.4%0.0%0.6%-6.2%18.4K-2.1M-6.7K0.0058.23N/AN/A775012,1095,239
2012-07-09$4.25$4.0062.5%20.7%62.7%22.9%0.0%20.5%-4.9%29.8K-1.7M-7.3K0.0164.61N/AN/A870511,6395,239
2012-07-10$4.06$4.0059.6%19.7%64.1%20.9%0.0%13.4%1.0%29.4K-1.6M-8.1K1.0065.45N/AN/A5512,4895,242
2012-07-11$3.99$4.0070.9%18.1%60.0%28.7%0.0%6.8%6.0%28.6K-1.4M-7.7K0.0051.92N/AN/A1012,4895,247
2012-07-12$3.97$4.0067.8%19.4%60.0%26.6%0.0%4.7%5.5%27.2K-1.4M-7.9K0.3856.81N/AN/A532012,4905,247
2012-07-13$4.06$4.0074.5%21.3%60.8%31.2%0.0%13.1%-3.1%43311.0K320.0058.75N/AN/A02012,4505,267
2012-07-16$4.18$4.0067.8%19.4%52.8%26.6%39.5%10.6%3.7%49111.3K270.4454.50N/AN/A361612,4505,247
2012-07-17$4.23$4.0075.3%21.6%46.2%31.8%0.0%23.2%-4.4%50612.2K330.0050.76N/AN/A01812,4505,249
2012-07-18$4.15$4.0078.2%22.4%46.6%33.8%0.0%21.1%-0.5%48211.5K320.0053.13N/AN/A132012,4505,253
2012-07-19$4.20$4.0064.7%18.5%46.2%24.4%0.0%12.5%-3.5%51010.9K260.0156.58N/AN/A6701012,3135,232
2012-07-20$4.12$4.0070.5%20.2%43.3%28.4%70.4%24.0%2.4%48210.3K270.0149.10N/AN/A7361012,4565,242
2012-07-23$3.92$4.0070.6%20.2%45.5%28.5%70.6%6.2%-0.9%5897.1K290.9348.27N/AN/A3833557,3012,141
2012-07-24$4.06$4.0076.5%21.9%46.7%32.6%0.0%8.8%-11.6%7348.7K340.0052.17N/AN/A16107,6632,494
2012-07-25$4.18$4.0063.9%18.3%47.7%23.9%0.0%6.6%5.3%81711.7K330.0036.13N/AN/A14307,8242,494
2012-07-26$4.31$4.0063.3%18.2%47.9%23.5%63.4%9.8%5.9%86714.6K320.0037.41N/AN/A1107,8732,494
2012-07-27$4.32$4.0068.4%19.6%46.1%27.0%68.8%12.9%-2.4%1.7K19.8K230.0020.51N/AN/A1007,8832,494
2012-07-30$4.29$4.0059.9%17.2%43.1%21.1%60.8%6.1%8.3%1.5K20.9K298.4523.36N/AN/A11937,8932,494
2012-07-31$4.25$4.0044.5%12.8%43.2%10.5%0.0%-6.3%16.0%1.4K19.9K330.0033.69N/AN/A4007,8822,587