TRX Options History — October 2012

In October 2012, TRX traded between $4.89 and $5.19. ATM implied volatility averaged 48.7%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 14.2% (HV 20d: 34.5%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.42.

Notable Days

2012-10-12: Highest Volume — 455 contracts
2012-10-08: Largest IV spike — 26.5% change
2012-10-08: Highest IV Rank — 17.6%
2012-10-16: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.01	$4.89	$5.19	$5.19	$5.07
Max Pain	$4.81	$4.00	$5.00	$4.00	$5.00
ATM IV	48.7%	41.9%	54.9%	48.4%	42.7%
Expected Move	14.2%	12.0%	15.7%	13.9%	12.2%
HV 20d	34.5%	25.7%	46.3%	42.8%	28.2%
HV 60d	38.4%	36.4%	41.1%	40.0%	36.9%
IV Rank	13.3%	8.7%	17.6%	13.2%	9.2%
IV Percentile	12.8%	4.0%	24.2%	10.7%	4.4%
Term Structure	2.4%	-4.4%	11.4%	6.2%	10.8%
VWIV	45.2%	37.1%	51.3%	37.1%	43.2%
Skew 25d	11.8%	-5.2%	88.3%	16.5%	10.7%
Skew 10d	15.0%	-9.1%	135.6%	14.0%	8.1%
Call IV 25d	45.5%	38.6%	51.7%	43.3%	40.0%
Put IV 25d	57.3%	43.2%	126.9%	59.8%	50.7%
Bid-Ask Spread %	42.13	17.89	78.03	78.03	27.94
Gamma HHI	0.98	0.85	1.00	0.89	1.00
Net GEX	14.9K	727	75.8K	75.0K	1.8K
Net DEX	203.5K	-16.8K	1.3M	1.3M	-12.6K
Net VEX	327	34	1.6K	1.6K	34
P/C Ratio	0.42	0.00	1.86	0.19	0.29
Total Volume	144.19	15	455	253	27
Total OI	11,517.667	7,015	13,675	12,855	7,236

Daily Data (21 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
2012-10-01	$5.19	$4.00	48.4%	13.9%	42.8%	13.2%	37.1%	16.5%	6.2%	75.0K	1.3M	1.6K	0.19	78.03	N/A	N/A	213	40	10,022	2,833
2012-10-02	$4.98	$4.00	50.6%	14.5%	46.3%	14.7%	51.3%	-5.2%	6.7%	67.8K	1.0M	1.6K	0.41	75.34	N/A	N/A	194	80	10,114	2,873
2012-10-03	$5.01	$4.00	48.0%	13.8%	45.9%	12.9%	47.7%	-3.4%	4.8%	75.8K	958.2K	1.5K	0.00	20.15	N/A	N/A	270	0	10,114	2,873
2012-10-04	$5.10	$4.00	46.4%	13.3%	46.2%	11.7%	47.3%	6.2%	5.2%	75.6K	1.2M	1.5K	0.00	19.14	N/A	N/A	30	0	10,269	2,873
2012-10-05	$5.14	$5.00	43.4%	15.4%	43.5%	9.7%	0.0%	8.0%	-0.9%	763	-9.4K	44	0.00	46.58	N/A	N/A	92	0	10,259	2,873
2012-10-08	$5.03	$5.00	54.9%	15.2%	40.1%	17.6%	0.0%	7.9%	2.7%	753	-10.2K	43	0.67	50.00	N/A	N/A	9	6	10,260	2,873
2012-10-09	$4.93	$5.00	53.6%	15.5%	39.4%	16.7%	0.0%	5.8%	-1.3%	727	-10.7K	42	0.00	52.34	N/A	N/A	60	0	10,257	2,873
2012-10-10	$4.96	$5.00	48.4%	15.5%	38.8%	13.1%	0.0%	3.5%	1.4%	757	-11.5K	41	0.00	50.48	N/A	N/A	67	0	10,261	2,873
2012-10-11	$4.94	$5.00	51.4%	14.7%	33.8%	15.2%	0.0%	5.0%	2.3%	785	-10.8K	41	0.14	50.62	N/A	N/A	14	2	10,304	2,873
2012-10-12	$4.90	$5.00	53.8%	15.4%	33.6%	16.9%	0.0%	1.9%	-1.9%	758	-11.9K	40	0.00	52.08	N/A	N/A	455	0	10,296	2,875
2012-10-15	$4.89	$5.00	52.7%	15.1%	31.4%	16.1%	0.0%	2.5%	-0.9%	826	-13.0K	37	0.08	40.63	N/A	N/A	124	10	10,611	2,875
2012-10-16	$4.99	$5.00	54.7%	15.7%	30.6%	17.5%	0.0%	6.0%	-4.4%	829	-11.3K	38	0.44	55.14	N/A	N/A	136	60	10,704	2,875
2012-10-17	$5.07	$5.00	50.9%	14.6%	30.6%	14.9%	0.0%	4.6%	-1.8%	933	-10.2K	37	0.38	51.46	N/A	N/A	47	18	10,740	2,924
2012-10-18	$5.06	$5.00	49.7%	14.3%	30.6%	14.1%	0.0%	6.0%	2.4%	962	-10.3K	37	0.00	50.87	N/A	N/A	88	0	10,652	2,939
2012-10-19	$5.04	$5.00	41.9%	12.0%	30.2%	8.7%	44.5%	1.3%	11.4%	1.1K	-10.3K	36	1.34	49.63	N/A	N/A	164	219	10,736	2,939
2012-10-22	$5.07	$5.00	43.4%	12.4%	26.8%	9.7%	43.2%	-3.7%	4.9%	1.5K	-13.4K	40	0.24	37.20	N/A	N/A	128	31	6,253	762
2012-10-23	$4.97	$5.00	47.2%	13.5%	27.0%	12.3%	0.0%	78.1%	2.7%	1.3K	-15.8K	40	0.42	21.46	N/A	N/A	120	50	6,353	793
2012-10-24	$4.97	$5.00	48.4%	13.9%	25.7%	13.1%	0.0%	88.3%	-1.4%	1.3K	-15.5K	40	0.63	17.89	N/A	N/A	120	76	6,373	815
2012-10-25	$5.06	$5.00	44.2%	12.7%	25.9%	10.2%	0.0%	6.3%	2.0%	1.5K	-13.6K	39	1.71	17.92	N/A	N/A	14	24	6,436	785
2012-10-26	$4.93	$5.00	47.4%	13.6%	26.8%	12.5%	0.0%	2.0%	-0.2%	1.4K	-16.8K	37	1.86	19.84	N/A	N/A	14	26	6,437	785
2012-10-31	$5.07	$5.00	42.7%	12.2%	28.2%	9.2%	0.0%	10.7%	10.8%	1.8K	-12.6K	34	0.29	27.94	N/A	N/A	21	6	6,451	785