TRX Options History — September 2012

In September 2012, TRX traded between $4.46 and $5.31. ATM implied volatility averaged 49.8%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 4.5% (HV 20d: 45.3%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.34.

Notable Days

2012-09-18: Highest Volume — 810 contracts
2012-09-05: Largest IV spike — 41.8% change
2012-09-13: Highest IV Rank — 21.1%
2012-09-13: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.93	$4.46	$5.31	$4.46	$5.11
Max Pain	$4.00	$4.00	$4.00	$4.00	$4.00
ATM IV	49.8%	35.2%	59.9%	35.2%	44.8%
Expected Move	14.3%	10.1%	17.2%	10.1%	12.8%
HV 20d	45.3%	37.5%	49.4%	37.6%	45.4%
HV 60d	43.5%	40.1%	47.9%	47.5%	40.1%
IV Rank	14.1%	4.0%	21.1%	4.0%	10.6%
IV Percentile	14.0%	0.8%	33.3%	0.8%	7.1%
Term Structure	7.6%	-0.7%	27.5%	27.5%	11.8%
VWIV	51.2%	42.8%	57.0%	56.1%	43.3%
Skew 25d	13.2%	-7.9%	22.8%	-3.4%	3.2%
Skew 10d	16.8%	-12.7%	43.4%	11.1%	2.7%
Call IV 25d	41.7%	31.8%	55.7%	40.7%	43.7%
Put IV 25d	54.9%	37.3%	66.7%	37.3%	46.8%
Bid-Ask Spread %	64.24	10.72	93.51	91.31	82.92
Gamma HHI	0.65	0.48	0.90	0.51	0.90
Net GEX	52.3K	5.5K	73.3K	5.5K	70.0K
Net DEX	1.0M	45.4K	1.6M	45.4K	1.2M
Net VEX	2.1K	127	3.2K	208	1.8K
P/C Ratio	0.34	0.00	1.89	0.16	0.18
Total Volume	252.211	28	810	147	139
Total OI	12,941	12,574	13,269	13,079	12,838

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$4.46	$4.00	35.2%	10.1%	37.6%	4.0%	0.0%	-3.4%	27.5%	5.5K	45.4K	208	0.16	91.31	N/A	N/A	127	20	10,409	2,670
2012-09-05	$4.55	$4.00	49.9%	14.3%	37.6%	14.2%	0.0%	-7.9%	2.1%	6.5K	51.3K	157	1.15	12.25	N/A	N/A	52	60	10,415	2,670
2012-09-06	$4.58	$4.00	44.9%	12.9%	37.5%	10.7%	0.0%	12.9%	19.6%	6.5K	52.8K	127	0.00	93.51	N/A	N/A	373	0	10,385	2,688
2012-09-07	$4.80	$4.00	47.4%	16.8%	40.5%	12.5%	56.1%	14.7%	1.5%	52.2K	937.6K	3.2K	0.00	78.88	N/A	N/A	95	0	10,036	2,688
2012-09-10	$4.57	$4.00	39.4%	12.4%	44.9%	6.9%	56.3%	22.5%	8.1%	48.6K	694.7K	3.1K	1.89	82.06	N/A	N/A	107	202	10,017	2,688
2012-09-11	$4.73	$4.00	46.2%	13.0%	46.3%	11.6%	54.4%	18.4%	5.1%	56.0K	854.5K	2.9K	0.61	61.07	N/A	N/A	33	20	10,076	2,790
2012-09-12	$4.65	$4.00	58.9%	13.3%	46.2%	20.4%	55.8%	19.2%	0.7%	54.0K	755.7K	2.9K	0.00	65.43	N/A	N/A	108	0	10,104	2,790
2012-09-13	$4.91	$4.00	59.9%	17.2%	49.4%	21.1%	57.0%	20.1%	-0.7%	65.5K	1.1M	2.5K	0.00	62.77	N/A	N/A	28	0	10,104	2,790
2012-09-14	$4.85	$4.00	47.4%	13.6%	48.4%	12.4%	49.8%	22.8%	10.6%	62.5K	1.0M	2.6K	0.13	78.00	N/A	N/A	407	52	10,104	2,790
2012-09-17	$5.01	$4.00	51.6%	14.8%	49.2%	15.3%	51.2%	20.2%	4.7%	64.1K	1.3M	2.3K	0.14	10.72	N/A	N/A	200	28	10,292	2,771
2012-09-18	$5.15	$4.00	53.2%	15.3%	48.3%	16.5%	56.3%	22.3%	13.7%	57.1K	1.5M	2.7K	0.72	34.02	N/A	N/A	471	339	10,411	2,771
2012-09-19	$5.23	$4.00	53.0%	15.2%	47.8%	16.3%	42.8%	0.2%	3.8%	58.4K	1.5M	2.3K	0.17	54.82	N/A	N/A	59	10	10,305	2,964
2012-09-20	$5.25	$4.00	49.0%	14.0%	46.8%	13.5%	44.4%	16.4%	5.1%	59.6K	1.5M	2.2K	0.12	61.76	N/A	N/A	237	28	10,242	2,974
2012-09-21	$5.31	$4.00	48.3%	13.8%	46.1%	13.1%	46.5%	15.1%	7.2%	73.3K	1.6M	2.0K	0.51	58.12	N/A	N/A	183	94	10,324	2,914
2012-09-24	$5.10	$4.00	53.0%	15.2%	49.2%	16.4%	44.5%	20.9%	13.2%	60.0K	1.3M	2.1K	0.18	76.30	N/A	N/A	91	16	9,845	2,729
2012-09-25	$5.01	$4.00	52.5%	15.1%	47.3%	16.0%	50.7%	13.2%	6.4%	67.2K	1.1M	2.2K	0.25	79.74	N/A	N/A	329	82	9,858	2,745
2012-09-26	$5.12	$4.00	57.0%	16.3%	47.0%	19.1%	56.8%	8.6%	2.0%	63.8K	1.3M	2.0K	0.11	60.94	N/A	N/A	399	45	10,073	2,790
2012-09-27	$5.20	$4.00	54.4%	15.6%	44.5%	17.3%	53.0%	10.9%	1.2%	63.5K	1.4M	2.0K	0.20	76.00	N/A	N/A	298	60	10,016	2,803
2012-09-28	$5.11	$4.00	44.8%	12.8%	45.4%	10.6%	43.3%	3.2%	11.8%	70.0K	1.2M	1.8K	0.18	82.92	N/A	N/A	118	21	10,005	2,833