TRX Options History — November 2012

In November 2012, TRX traded between $4.62 and $5.10. ATM implied volatility averaged 42.9%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 12.4% (HV 20d: 30.5%). Max pain ranged from $5.00 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 2.87.

Notable Days

  • 2012-11-16: Highest Volume — 3,310 contracts
  • 2012-11-13: Largest IV spike — 55.5% change
  • 2012-11-14: Highest IV Rank — 31.7%
  • 2012-11-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.81$4.62$5.10$5.00$4.68
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV42.9%24.1%68.7%53.9%36.8%
Expected Move12.8%10.0%15.5%15.5%10.6%
HV 20d30.5%24.4%33.6%24.4%30.3%
HV 60d37.2%34.7%38.9%36.7%34.8%
IV Rank13.4%0.0%31.7%17.0%11.9%
IV Percentile10.9%0.0%57.5%25.8%2.8%
Term Structure6.5%-7.0%24.4%-7.0%1.3%
VWIV47.4%40.4%63.0%63.0%40.5%
Skew 25d11.5%-7.1%75.4%11.4%-7.1%
Skew 10d14.4%-14.3%103.6%17.9%-14.3%
Call IV 25d36.4%26.8%44.7%44.0%43.5%
Put IV 25d47.9%36.3%114.5%55.4%36.3%
Bid-Ask Spread %18.3011.8931.5423.1812.77
Gamma HHI0.990.981.001.000.99
Net GEX6.6K1.2K13.6K1.4K12.9K
Net DEX-13.2K-107.7K80.7K-13.9K-107.7K
Net VEX2663148233324
P/C Ratio2.870.0018.915.001.28
Total Volume345.71403,310673
Total OI10,301.0487,25113,6707,25113,670

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$5.00$5.0053.9%15.5%24.4%17.0%0.0%11.4%-7.0%1.4K-13.9K335.0023.18N/AN/A156,472779
2012-11-02$4.91$5.0046.6%13.4%25.2%11.9%63.0%15.9%13.2%1.2K-15.7K310.0629.88N/AN/A360206,472784
2012-11-05$4.77$5.0047.9%13.0%26.0%12.8%0.0%-0.1%-1.3%1.6K12.3K910.0015.31N/AN/A2106,822804
2012-11-06$4.88$5.0045.4%14.0%27.3%11.1%0.0%1.7%-2.1%1.6K15.9K930.0011.89N/AN/A2006,837804
2012-11-07$5.06$5.0035.7%13.1%29.6%4.3%45.6%58.9%-6.5%1.9K21.6K950.1113.29N/AN/A200226,853804
2012-11-08$5.06$5.0046.9%14.3%28.6%12.1%0.0%8.3%-5.7%4.2K75.5K2310.0014.82N/AN/A1007,053815
2012-11-09$5.10$5.0024.1%13.4%28.7%0.0%0.0%13.7%0.4%4.5K80.7K2290.0012.59N/AN/A507,063815
2012-11-12$4.90$5.0031.2%14.6%32.2%4.8%0.0%0.7%-5.7%3.9K64.3K2170.5115.06N/AN/A51267,063815
2012-11-13$4.85$5.0048.6%13.6%32.3%16.4%47.4%1.4%1.7%4.2K58.0K21218.9115.07N/AN/A234357,063815
2012-11-14$4.80$5.0068.7%13.6%32.5%31.7%47.7%-6.6%2.4%4.2K47.2K1970.8820.73N/AN/A6455657,0861,222
2012-11-15$4.75$5.0040.9%11.7%31.6%12.0%40.4%75.4%8.2%5.3K15.3K1981.9427.49N/AN/A1813527,6491,763
2012-11-16$4.62$5.0034.9%10.0%32.1%7.7%40.5%22.3%20.5%5.8K9.1K20816.7013.69N/AN/A1873,1237,7552,042
2012-11-19$4.73$5.0038.8%11.1%33.6%10.5%0.0%11.9%24.4%9.7K-52.2K4822.2012.22N/AN/A41907,7715,031
2012-11-20$4.70$5.0037.8%10.8%33.6%9.8%0.0%9.2%17.6%11.1K-70.8K4555.3031.54N/AN/A502657,7865,121
2012-11-21$4.72$5.0039.6%11.4%33.5%11.1%0.0%11.8%21.2%9.9K-55.5K4670.0013.55N/AN/A16307,8255,386
2012-11-23$4.71$5.0044.4%12.7%33.0%18.9%0.0%-6.1%0.7%12.1K-79.6K4290.0023.92N/AN/A2007,9885,386
2012-11-26$4.73$5.0046.3%13.3%33.1%20.7%0.0%6.8%18.2%9.8K-52.2K4280.0030.94N/AN/A007,9885,386
2012-11-27$4.67$5.0047.1%13.5%32.3%21.5%0.0%6.3%17.6%9.1K-60.6K4171.2713.08N/AN/A51657,9885,386
2012-11-28$4.66$5.0041.8%12.0%31.3%16.5%0.0%9.5%15.7%10.7K-79.5K3740.3113.35N/AN/A145458,0395,451
2012-11-29$4.75$5.0044.0%12.6%30.3%18.5%0.0%-3.8%2.3%13.6K-89.8K3670.0019.99N/AN/A008,1745,496
2012-11-30$4.68$5.0036.8%10.6%30.3%11.9%0.0%-7.1%1.3%12.9K-107.7K3241.2812.77N/AN/A32418,1745,496