TRX Options History — December 2012

In December 2012, TRX traded between $4.21 and $4.75. ATM implied volatility averaged 37.5%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.3% (HV 20d: 34.2%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.45.

Notable Days

  • 2012-12-21: Highest Volume — 1,050 contracts
  • 2012-12-21: Largest IV spike — 44.3% change
  • 2012-12-11: Highest IV Rank — 39.0%
  • 2012-12-28: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.47$4.21$4.75$4.55$4.41
Max Pain$4.20$4.00$5.00$5.00$4.00
ATM IV37.5%26.2%62.1%41.8%36.3%
Expected Move10.1%6.1%13.9%12.0%10.4%
HV 20d34.2%26.6%42.2%31.1%42.2%
HV 60d32.7%30.6%35.3%35.1%32.7%
IV Rank14.8%2.8%39.0%17.7%15.7%
IV Percentile8.7%0.4%53.6%7.5%6.3%
Term Structure18.1%1.2%35.2%20.1%19.3%
VWIV39.6%18.3%75.7%18.3%75.7%
Skew 25d18.1%-8.0%106.9%17.0%13.9%
Skew 10d23.0%-5.5%131.3%10.4%14.0%
Call IV 25d28.9%22.9%41.9%24.9%28.0%
Put IV 25d47.0%31.1%133.9%41.9%41.9%
Bid-Ask Spread %12.938.6425.238.9511.19
Gamma HHI0.660.491.000.980.55
Net GEX39.8K8.1K66.8K9.6K50.3K
Net DEX303.4K-113.2K851.2K-102.3K328.1K
Net VEX1.6K2292.9K3101.7K
P/C Ratio1.450.009.471.350.55
Total Volume179.0501,05019534
Total OI14,903.4513,71315,56813,71315,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$4.55$5.0041.8%12.0%31.1%17.7%0.0%17.0%20.1%9.6K-102.3K3101.358.95N/AN/A831128,1765,537
2012-12-04$4.64$5.0043.3%12.4%30.7%19.2%0.0%20.0%1.3%10.1K-79.0K3230.008.82N/AN/A0208,2515,638
2012-12-05$4.45$5.0032.1%9.2%32.5%8.0%0.0%10.6%1.2%8.1K-107.5K2714.428.91N/AN/A1185218,2515,658
2012-12-06$4.44$5.0033.7%9.7%28.7%9.6%0.0%10.2%17.3%8.1K-113.2K2630.008.91N/AN/A008,3626,104
2012-12-07$4.50$4.0036.1%11.1%29.5%11.9%18.3%33.5%29.9%41.3K617.5K2.9K0.0016.29N/AN/A5008,3626,104
2012-12-10$4.51$4.0046.1%11.1%29.2%22.0%56.2%31.4%25.3%44.9K588.1K2.7K9.4711.48N/AN/A302848,4126,104
2012-12-11$4.54$4.0062.1%6.1%26.6%39.0%0.0%106.9%18.8%11.8K276.8K2294.0015.29N/AN/A5208,4326,378
2012-12-12$4.75$4.0037.8%11.2%31.7%14.1%35.6%28.9%23.3%51.1K851.2K2.9K0.0625.23N/AN/A13288,4376,378
2012-12-13$4.58$4.0029.9%8.6%34.0%5.9%36.3%24.2%26.5%60.4K517.9K1.7K0.2219.62N/AN/A60138,4936,378
2012-12-14$4.70$4.0040.8%11.7%35.2%18.3%41.1%-6.4%7.7%63.2K730.5K1.9K0.0017.62N/AN/A02938,5436,378
2012-12-17$4.69$4.0042.2%12.1%33.7%20.8%42.8%-8.0%6.9%66.8K617.4K1.9K0.0017.04N/AN/A2208,5436,666
2012-12-18$4.57$4.0036.6%10.5%33.9%14.3%23.0%7.7%25.8%55.1K521.9K2.4K0.049.33N/AN/A13258,5436,666
2012-12-19$4.45$4.0030.3%8.7%35.0%7.7%27.2%7.0%24.4%51.2K393.3K2.3K0.678.64N/AN/A90608,6116,661
2012-12-20$4.39$4.0026.2%7.5%35.1%2.8%0.0%10.5%35.2%46.6K368.7K2.3K0.0010.81N/AN/A25208,5626,558
2012-12-21$4.21$4.0037.8%10.8%37.6%17.7%42.6%-1.3%3.8%42.2K90.1K1.7K0.6615.51N/AN/A6344168,8146,558
2012-12-24$4.32$4.0027.2%7.8%39.1%4.1%0.0%8.4%27.9%46.3K240.7K1.9K0.329.55N/AN/A31108,9236,498
2012-12-26$4.34$4.0027.6%7.9%39.1%4.5%0.0%10.3%30.0%45.8K298.2K2.0K2.7511.39N/AN/A20558,9546,508
2012-12-27$4.23$4.0033.8%9.7%39.9%12.5%37.5%-1.6%14.1%39.4K12.0K9690.0011.63N/AN/A3608,9546,563
2012-12-28$4.23$4.0048.4%13.9%38.9%31.3%0.0%39.3%4.0%43.0K17.9K1.1K0.1712.48N/AN/A3058,9806,563
2012-12-31$4.41$4.0036.3%10.4%42.2%15.7%75.7%13.9%19.3%50.3K328.1K1.7K0.5511.19N/AN/A22129,0056,563