TRX Options History — September 2013

In September 2013, TRX traded between $2.53 and $3.83. ATM implied volatility averaged 84.8%, placing in the 71.1% IV rank vs the trailing year. The 30-day expected move averaged 25.0%. IV traded below realized volatility by 16.7% (HV 20d: 101.5%). 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 6 of 20 days. Put/call ratio averaged 3.83.

Notable Days

  • 2013-09-12: Highest Volume — 6,010 contracts
  • 2013-09-11: Largest IV spike — 135.0% change
  • 2013-09-11: Highest IV Rank — 100.0%
  • 2013-09-12: Largest Expected Move — 29.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.24$2.53$3.83$3.46$2.53
Max Pain$3.85$3.00$4.00$3.00$4.00
ATM IV84.8%44.7%111.9%63.9%87.9%
Expected Move25.0%13.6%29.1%18.3%25.2%
HV 20d101.5%86.7%113.3%103.7%100.3%
HV 60d96.6%93.7%101.8%95.2%95.8%
IV Rank71.1%27.2%100.0%52.3%72.6%
IV Percentile85.7%25.8%100.0%71.4%93.3%
Term Structure-1.2%-21.5%37.9%37.9%23.3%
VWIV88.9%46.0%122.4%46.0%120.8%
Skew 25d35.3%-7.5%76.3%38.3%76.3%
Skew 10d62.3%-1.5%110.0%32.8%86.7%
Call IV 25d69.9%43.9%93.1%44.7%60.5%
Put IV 25d105.2%42.4%142.8%83.0%136.8%
Bid-Ask Spread %21.3812.4642.0214.4520.58
Gamma HHI0.520.340.990.870.44
Net GEX29.7K41464.0K28.4K16.2K
Net DEX-513.7K-1.3M389.9K323.0K-1.2M
Net VEX2.0K04.1K1.1K1.0K
P/C Ratio3.830.0025.820.001.04
Total Volume1,088.366,010694
Total OI20,207.9514,17527,87914,17521,157

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$3.46$3.0063.9%18.3%103.7%52.3%0.0%38.3%37.9%28.4K323.0K1.1K0.0014.45N/AN/A6012,1442,031
2013-09-04$3.46$3.0047.5%13.6%103.3%30.8%46.0%6.1%31.4%28.3K330.3K1.0K2.1212.46N/AN/A173612,1452,031
2013-09-05$3.32$3.0081.3%23.3%104.5%75.2%0.0%-1.5%-5.0%41410.0K025.8219.71N/AN/A1128412,1542,055
2013-09-06$3.58$4.0044.7%21.2%97.3%27.2%0.0%23.3%-1.9%26.1K314.1K2.2K2.8715.83N/AN/A3810912,1642,286
2013-09-09$3.69$4.0077.6%22.3%97.8%70.3%84.0%24.6%-7.5%27.1K389.9K2.2K9.0942.02N/AN/A1561,41812,1872,395
2013-09-10$3.57$4.0047.6%23.0%96.3%30.9%81.7%24.1%-1.0%29.7K139.3K2.5K4.8313.97N/AN/A20297612,2993,727
2013-09-11$3.46$4.00111.9%27.6%95.4%100.0%92.0%17.7%-6.0%26.4K35.0K2.4K3.8814.43N/AN/A4091,58612,4054,670
2013-09-12$3.18$4.00101.7%29.1%97.4%88.3%122.4%37.9%3.3%23.6K-278.1K2.3K0.9121.52N/AN/A3,1392,87112,6406,022
2013-09-13$3.24$4.0094.8%27.2%88.5%80.5%86.7%27.4%-12.6%34.5K-951.7K2.9K0.5235.06N/AN/A55728915,4738,853
2013-09-16$3.21$4.0098.4%28.2%86.7%84.6%103.2%46.6%6.7%35.2K-823.1K3.1K1.1325.79N/AN/A849515,7468,808
2013-09-17$3.72$4.0081.1%23.2%102.7%64.9%79.8%17.9%-5.6%52.4K-619.1K2.3K0.2621.73N/AN/A1,79647415,8308,862
2013-09-18$3.83$4.0096.7%27.7%101.1%82.6%101.8%49.0%-21.4%64.0K-150.4K4.1K0.8219.35N/AN/A1,2691,04116,8678,924
2013-09-19$3.53$4.0096.5%27.7%102.8%82.4%83.4%36.6%-21.4%51.7K-570.9K3.7K0.9025.17N/AN/A50645417,3669,794
2013-09-20$3.05$4.0099.5%28.5%113.3%85.9%77.8%34.9%-21.5%35.1K-1.0M2.7K2.3518.67N/AN/A4391,03217,74110,138
2013-09-23$3.00$4.0096.5%27.7%111.6%82.4%95.6%70.6%-6.0%30.9K-1.2M1.9K14.9415.37N/AN/A3552312,5568,535
2013-09-24$2.93$4.0095.3%27.3%111.2%81.1%76.8%71.4%-6.9%28.0K-1.2M1.8K0.8514.95N/AN/A22319012,5678,237
2013-09-25$2.85$4.0091.2%26.1%106.5%76.4%82.8%68.2%-0.9%24.3K-1.2M1.4K0.7530.96N/AN/A34325612,7908,170
2013-09-26$2.63$4.0086.3%24.7%107.5%70.8%90.7%44.3%9.4%16.5K-1.3M8642.4824.20N/AN/A21453013,0478,186
2013-09-27$2.62$4.0096.2%27.6%101.8%82.0%85.9%-7.5%-18.9%15.9K-1.3M9170.9421.44N/AN/A333113,1188,039
2013-09-30$2.53$4.0087.9%25.2%100.3%72.6%120.8%76.3%23.3%16.2K-1.2M1.0K1.0420.58N/AN/A464813,1188,039