TRX Options History — August 2013

In August 2013, TRX traded between $2.94 and $4.06. ATM implied volatility averaged 71.1%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 17.8% (HV 20d: 88.8%). Max pain ranged from $2.00 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2013-08-15: Highest Volume — 1,120 contracts
  • 2013-08-13: Largest IV spike — 124.3% change
  • 2013-08-13: Highest IV Rank — 96.9%
  • 2013-08-27: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.52$2.94$4.06$3.20$3.32
Max Pain$3.05$2.00$4.00$2.00$3.00
ATM IV71.1%43.6%97.9%73.0%71.6%
Expected Move19.0%16.3%27.1%20.9%20.5%
HV 20d88.8%77.7%103.2%81.5%103.2%
HV 60d93.5%90.5%96.0%93.7%96.0%
IV Rank61.7%25.7%96.9%64.2%62.4%
IV Percentile78.4%25.0%99.6%87.3%81.0%
Term Structure-0.9%-77.4%45.1%-34.4%17.1%
VWIV61.2%44.1%72.4%64.2%72.4%
Skew 25d13.6%-25.1%61.5%0.1%21.7%
Skew 10d22.3%-4.1%107.7%17.7%25.5%
Call IV 25d50.8%37.8%68.6%57.8%50.6%
Put IV 25d64.5%41.3%123.6%57.9%72.4%
Bid-Ask Spread %28.5015.4663.5621.4225.00
Gamma HHI0.930.821.000.980.82
Net GEX24.7K8.6K42.7K9.5K23.0K
Net DEX477.1K89.7K955.3K352.1K206.2K
Net VEX1.4K3962.0K403915
P/C Ratio0.670.003.180.002.32
Total Volume277.04511,120200219
Total OI12,696.13611,75313,98611,78413,977

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$3.20$2.0073.0%20.9%81.5%64.2%0.0%0.1%-34.4%9.5K352.1K4030.0021.42N/AN/A200010,5271,257
2013-08-02$3.05$2.0066.0%18.9%84.1%55.1%0.0%61.5%-4.4%15.3K283.0K3960.0025.85N/AN/A65010,4961,257
2013-08-05$3.00$4.0074.6%18.4%81.4%66.3%64.2%13.5%5.2%9.4K113.0K7790.0018.49N/AN/A01010,5161,257
2013-08-06$2.94$4.0078.3%18.7%78.7%71.2%0.0%10.2%5.2%8.6K97.5K6900.0026.56N/AN/A1010,5161,267
2013-08-07$3.01$4.0068.9%17.9%77.7%58.9%62.4%11.2%4.1%8.8K89.7K7120.4421.14N/AN/A1004410,5161,267
2013-08-08$3.43$3.0075.3%17.6%89.0%67.3%0.0%44.4%5.8%15.5K395.7K1.5K0.0043.57N/AN/A20010,6161,282
2013-08-09$3.41$3.0072.3%19.6%87.9%63.4%0.0%16.0%0.5%18.1K334.8K1.3K0.0018.51N/AN/A02010,6221,282
2013-08-12$3.62$3.0043.6%17.1%88.8%25.7%0.0%-11.3%1.7%23.2K427.4K1.5K0.0119.30N/AN/A1,095910,6221,299
2013-08-13$3.45$3.0097.9%16.3%88.1%96.9%54.0%7.5%18.2%20.4K268.8K1.2K0.3631.19N/AN/A2428611,5531,290
2013-08-14$3.65$3.0093.8%17.4%86.4%91.6%61.2%11.2%3.0%23.5K429.6K1.5K0.0934.72N/AN/A1171011,5941,331
2013-08-15$4.06$3.0063.4%18.2%92.3%51.7%63.4%15.0%14.1%26.5K783.2K1.7K0.0147.26N/AN/A1,1091111,6551,305
2013-08-16$3.83$3.0059.0%16.9%94.7%45.8%0.0%-2.1%6.4%35.9K728.5K2.0K0.0021.23N/AN/A216012,6711,315
2013-08-19$3.75$3.0058.1%16.7%86.3%44.8%55.1%-3.8%8.4%36.5K676.5K1.9K0.1427.81N/AN/A36511,2651,072
2013-08-20$3.97$3.0063.6%18.2%86.3%52.0%63.6%7.5%5.7%36.9K899.5K2.0K1.0623.35N/AN/A27128811,2951,077
2013-08-21$3.73$3.0059.8%17.1%87.3%46.9%60.2%0.4%8.1%36.5K673.3K1.8K0.1033.43N/AN/A82811,5351,131
2013-08-22$3.88$3.0059.5%17.1%87.1%46.6%62.7%28.8%7.8%39.8K771.5K1.9K1.2818.20N/AN/A23530011,6051,139
2013-08-23$4.04$3.0069.0%19.8%87.7%59.0%70.1%31.5%2.8%38.1K955.3K1.9K3.1825.07N/AN/A9530211,8351,381
2013-08-26$3.87$3.0060.3%17.3%88.6%47.5%69.9%28.3%8.4%42.7K732.3K1.7K2.6115.46N/AN/A4612011,8121,562
2013-08-27$3.50$3.0094.6%27.1%96.4%92.6%50.1%-25.1%-77.4%30.7K320.8K1.3K0.6033.20N/AN/A33620211,8531,651
2013-08-28$3.27$3.0094.0%26.9%99.5%91.8%64.3%-10.0%-70.4%15.8K478.1K1.5K1.2963.56N/AN/A597612,0291,852
2013-08-29$3.55$3.0067.2%19.3%101.7%56.6%44.1%42.9%45.1%28.6K479.6K1.5K0.0232.76N/AN/A59112,0501,881
2013-08-30$3.32$3.0071.6%20.5%103.2%62.4%72.4%21.7%17.1%23.0K206.2K9152.3225.00N/AN/A6615312,0961,881