TRX Options History — March 2013

In March 2013, TRX traded between $3.22 and $4.17. ATM implied volatility averaged 52.5%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 44.0% (HV 20d: 96.5%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.09.

Notable Days

  • 2013-03-28: Highest Volume — 2,523 contracts
  • 2013-03-06: Largest IV spike — 62.4% change
  • 2013-03-26: Highest IV Rank — 49.3%
  • 2013-03-04: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.84$3.22$4.17$3.22$3.90
Max Pain$3.95$3.00$4.00$3.00$4.00
ATM IV52.5%32.8%61.6%60.9%56.0%
Expected Move16.5%14.1%18.0%17.4%16.0%
HV 20d96.5%80.4%108.3%91.6%81.0%
HV 60d77.5%69.8%79.8%70.4%79.2%
IV Rank37.3%11.5%49.3%48.3%41.9%
IV Percentile49.5%4.8%72.6%69.4%57.5%
Term Structure0.7%-4.7%29.2%2.3%0.8%
VWIV61.0%49.1%108.8%61.0%56.0%
Skew 25d20.7%-15.1%60.7%7.5%8.8%
Skew 10d34.1%1.6%103.7%9.8%14.9%
Call IV 25d44.3%32.0%53.5%53.5%48.5%
Put IV 25d65.0%38.4%99.1%61.0%57.2%
Bid-Ask Spread %15.9511.3037.0515.1312.29
Gamma HHI0.760.600.920.920.86
Net GEX40.9K45251.7K45251.7K
Net DEX-363.7K-859.3K1.1K1.1K-407.8K
Net VEX2.1K102.9K101.8K
P/C Ratio3.090.0035.290.230.05
Total Volume259.2502,5231082,523
Total OI13,284.7512,46813,83312,46813,833

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$3.22$3.0060.9%17.4%91.6%48.3%61.0%7.5%2.3%4521.1K100.2315.13N/AN/A88206,1846,284
2013-03-04$3.22$4.0032.8%18.0%90.9%11.5%64.6%36.9%-2.7%20.3K-837.3K1.6K35.2912.73N/AN/A144946,2286,304
2013-03-05$3.22$4.0034.3%17.3%90.0%13.4%0.0%32.6%-2.8%20.5K-859.3K1.4K0.0016.74N/AN/A006,2426,782
2013-03-06$3.73$4.0055.7%15.5%104.6%41.6%108.8%37.0%29.2%31.4K-378.5K2.9K3.9037.05N/AN/A522036,2426,782
2013-03-07$3.63$4.0041.2%17.2%104.1%22.5%60.3%-15.1%-2.7%34.0K-601.1K2.3K0.1319.37N/AN/A4056,1766,967
2013-03-08$3.77$4.0048.4%14.8%104.9%31.9%51.8%-2.7%5.2%42.1K-539.0K2.3K0.1621.60N/AN/A4476,2166,970
2013-03-11$4.00$4.0059.8%14.1%104.8%46.9%49.1%51.6%6.7%49.2K-323.5K2.5K0.0315.00N/AN/A29396,2606,972
2013-03-12$4.17$4.0038.9%15.8%104.9%19.4%55.2%13.5%-3.0%48.4K-74.3K2.8K0.0012.45N/AN/A9006,3866,981
2013-03-13$3.87$4.0039.7%16.7%108.3%20.6%58.1%0.9%0.7%42.6K-381.5K2.5K0.0613.99N/AN/A15596,4126,981
2013-03-14$4.10$4.0053.1%15.2%105.6%38.2%53.2%51.3%2.0%48.5K-191.3K2.5K0.1517.89N/AN/A3456,3406,970
2013-03-15$4.07$4.0056.4%16.2%105.0%42.5%0.0%53.9%-2.4%48.1K-251.7K2.4K0.0012.64N/AN/A006,3496,972
2013-03-18$4.00$4.0057.1%16.4%104.5%43.4%57.1%11.6%0.4%46.8K-299.4K2.3K0.0517.78N/AN/A10556,3486,932
2013-03-19$4.00$4.0060.9%17.5%101.8%48.4%0.0%14.0%-4.7%45.5K-263.0K2.3K0.1711.46N/AN/A3056,4026,937
2013-03-20$4.00$4.0059.2%17.0%96.7%46.2%0.0%14.7%-2.6%46.3K-247.0K2.3K5.0011.76N/AN/A10506,4326,942
2013-03-21$4.11$4.0056.1%16.1%92.3%42.1%56.1%60.7%0.0%49.7K-159.0K2.2K3.5011.30N/AN/A702456,4426,942
2013-03-22$4.01$4.0055.5%15.9%92.2%41.3%0.0%13.4%-2.0%49.8K-275.2K2.2K0.0016.35N/AN/A056,4027,081
2013-03-25$3.88$4.0061.4%17.6%86.3%49.1%61.4%7.3%-3.4%45.7K-407.6K2.0K3.7414.42N/AN/A572136,4027,086
2013-03-26$3.86$4.0061.6%17.7%80.4%49.3%61.6%4.5%-4.5%46.3K-459.9K1.8K0.0013.27N/AN/A26706,4067,286
2013-03-27$3.98$4.0061.0%17.5%80.5%48.5%61.0%12.0%-2.7%49.9K-319.0K1.9K0.0315.68N/AN/A3716,5367,286
2013-03-28$3.90$4.0056.0%16.0%81.0%41.9%56.0%8.8%0.8%51.7K-407.8K1.8K0.0512.29N/AN/A2,4131106,5467,287