TRX Options History — December 2013

In December 2013, TRX traded between $1.69 and $1.98. ATM implied volatility averaged 81.5%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 6.2% (HV 20d: 75.3%). Max pain ranged from $1.00 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2013-12-11: Highest Volume — 297 contracts
  • 2013-12-26: Largest IV drop — 25.8% change
  • 2013-12-17: Highest IV Rank — 69.2%
  • 2013-12-17: Largest Expected Move — 27.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.85$1.69$1.98$1.98$1.75
Max Pain$2.67$1.00$3.00$2.00$3.00
ATM IV81.5%63.9%95.1%82.0%69.1%
Expected Move22.9%17.8%27.3%23.5%19.8%
HV 20d75.3%55.0%87.4%57.8%79.6%
HV 60d67.7%63.3%78.3%71.1%64.9%
IV Rank55.1%37.0%69.2%56.0%40.5%
IV Percentile75.8%43.3%91.7%82.9%50.0%
Term Structure4.9%-25.8%40.4%1.2%15.0%
VWIV85.7%57.4%156.8%81.9%90.1%
Skew 25d36.7%10.5%87.1%24.8%17.6%
Skew 10d48.3%0.4%105.7%39.0%22.9%
Call IV 25d79.0%58.9%94.6%80.7%82.4%
Put IV 25d115.7%84.1%155.5%105.6%100.0%
Bid-Ask Spread %41.1817.38118.4820.1217.38
Gamma HHI0.670.451.000.990.98
Net GEX3.7K2685.6K3113.4K
Net DEX-113.8K-181.1K9.6K111-178.5K
Net VEX2731048413119
P/C Ratio0.580.003.330.180.00
Total Volume90.09502976715
Total OI8,971.198,4399,3518,4399,121

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$1.98$2.0082.0%23.5%57.8%56.0%81.9%24.8%1.2%311111130.1820.12N/AN/A57106,3052,134
2013-12-03$1.87$1.0079.1%22.7%55.0%53.1%0.0%30.5%-0.4%2918.1K110.10118.48N/AN/A1016,3612,139
2013-12-04$1.93$1.0082.3%23.6%56.4%56.4%0.0%42.3%16.8%2689.6K120.00114.22N/AN/A6006,3712,140
2013-12-05$1.84$1.0067.5%19.3%56.9%41.4%0.0%16.6%12.6%3246.9K103.3326.06N/AN/A481606,4212,140
2013-12-06$1.78$3.0076.8%22.6%57.3%50.8%0.0%41.3%-13.2%4.7K-121.4K4790.8058.52N/AN/A1086,4672,204
2013-12-09$1.69$3.0092.0%17.8%57.5%66.1%57.4%29.9%17.9%2.9K-181.1K1952.9321.23N/AN/A712086,4762,212
2013-12-10$1.97$3.0090.2%23.4%81.9%64.3%64.5%22.2%-3.6%5.6K-128.3K4840.3935.65N/AN/A179706,4742,316
2013-12-11$1.92$3.0076.4%22.3%81.8%50.4%73.6%42.2%-3.2%5.1K-140.6K4150.1143.72N/AN/A267306,5662,356
2013-12-12$1.92$3.0093.6%26.8%80.7%67.7%82.1%12.7%-12.5%5.2K-123.3K4740.9624.90N/AN/A100966,7312,386
2013-12-13$1.89$3.0086.2%24.7%80.0%60.3%0.0%22.6%-8.1%5.4K-133.9K4450.0026.92N/AN/A006,8142,482
2013-12-16$1.89$3.0088.3%25.3%79.9%62.4%0.0%21.0%-5.0%4.9K-151.3K3880.0030.17N/AN/A006,8142,482
2013-12-17$1.94$3.0095.1%27.3%80.7%69.2%0.0%22.6%-15.1%5.4K-140.1K4420.0034.46N/AN/A10006,8142,482
2013-12-18$1.89$3.0086.5%24.8%81.0%60.6%86.8%22.8%-2.9%5.0K-151.0K3660.0626.28N/AN/A5036,8692,482
2013-12-19$1.76$3.0087.6%25.1%83.9%61.6%156.8%10.5%-25.8%4.6K-107.0K3890.1624.72N/AN/A128206,8172,294
2013-12-20$1.71$3.0084.8%24.3%83.7%58.8%80.8%45.5%-4.5%3.7K-136.0K2630.8347.98N/AN/A72606,8312,309
2013-12-23$1.75$3.0074.4%21.3%84.1%47.9%0.0%80.9%40.4%3.7K-144.2K2560.0039.36N/AN/A2006,8032,310
2013-12-24$1.84$3.0086.0%24.7%86.4%59.7%0.0%78.8%23.7%4.9K-108.5K3990.0039.65N/AN/A406,8132,310
2013-12-26$1.80$3.0063.9%18.3%86.4%37.0%82.7%87.1%36.1%3.8K-161.1K1900.0037.48N/AN/A0166,8172,310
2013-12-27$1.86$3.0073.3%21.0%87.4%44.9%90.1%86.7%24.3%4.4K-142.1K2410.0034.59N/AN/A076,8172,294
2013-12-30$1.80$3.0076.4%21.9%83.8%48.2%0.0%11.5%9.4%3.9K-166.3K1500.0042.85N/AN/A1206,8172,294
2013-12-31$1.75$3.0069.1%19.8%79.6%40.5%0.0%17.6%15.0%3.4K-178.5K1190.0017.38N/AN/A1506,8272,294