TRX Options History — September 2014

In September 2014, TRX traded between $2.03 and $2.40. ATM implied volatility averaged 69.5%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 16.4% (HV 20d: 53.2%). Max pain ranged from $2.00 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2014-09-11: Highest Volume — 695 contracts
  • 2014-09-09: Largest IV spike — 107.3% change
  • 2014-09-10: Highest IV Rank — 85.6%
  • 2014-09-19: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.18$2.03$2.40$2.30$2.11
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV69.5%39.6%153.4%93.9%74.8%
Expected Move16.2%11.1%20.0%16.0%16.0%
HV 20d53.2%25.8%74.8%34.4%74.7%
HV 60d66.7%64.9%68.7%68.4%66.0%
IV Rank28.0%7.4%85.6%44.7%31.6%
IV Percentile26.2%0.4%98.4%69.8%31.7%
Term Structure2.7%-37.5%72.8%-37.5%-4.5%
VWIV51.3%26.0%81.9%50.6%56.1%
Skew 25d7.9%-25.2%27.0%23.7%14.6%
Skew 10d25.6%-31.0%68.3%51.9%13.8%
Call IV 25d66.1%50.6%81.8%77.4%68.7%
Put IV 25d74.0%46.9%101.1%101.1%83.3%
Bid-Ask Spread %91.5249.65142.0758.5092.92
Gamma HHI0.950.860.990.960.99
Net GEX2.4K9024.6K2.3K4.5K
Net DEX104.0K78.7K156.3K102.1K103.1K
Net VEX450288580362469
P/C Ratio0.620.004.000.010.00
Total Volume95.52406950220
Total OI11,558.61910,73612,00910,73612,006

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$2.30$2.0093.9%16.0%34.4%44.7%0.0%23.7%-37.5%2.3K102.1K3620.0058.50N/AN/A009,6781,058
2014-09-03$2.24$2.0085.4%14.6%29.0%38.9%50.6%0.8%-19.9%3.4K98.7K3260.0182.26N/AN/A11019,6781,058
2014-09-04$2.21$2.0067.1%14.0%25.8%26.3%0.0%6.2%-15.6%4.6K98.9K2880.0054.56N/AN/A5009,7881,059
2014-09-05$2.23$2.0068.0%11.1%26.3%26.9%31.6%11.8%3.1%1.5K85.4K3580.0054.98N/AN/A5009,8381,059
2014-09-08$2.12$2.0047.7%17.1%30.7%12.9%59.5%13.0%-6.4%2.2K80.4K3834.0049.65N/AN/A251009,8881,059
2014-09-09$2.03$2.0098.8%18.2%32.1%48.1%81.9%20.4%22.3%1.2K84.5K4392.4098.89N/AN/A15369,9131,159
2014-09-10$2.18$2.00153.4%12.8%41.8%85.6%0.0%5.3%17.3%3.9K95.1K3610.00115.20N/AN/A2009,9131,170
2014-09-11$2.25$2.0050.0%16.4%43.1%14.5%0.0%21.2%-11.2%2.5K102.6K4190.00106.90N/AN/A69509,9231,170
2014-09-12$2.10$2.0052.4%15.1%48.8%16.2%53.2%10.2%13.0%2.2K78.7K4120.0060.06N/AN/A20010,6181,170
2014-09-15$2.22$2.0053.8%18.3%53.6%17.2%0.0%24.9%7.5%4.1K105.1K3520.00101.24N/AN/A5010,6381,170
2014-09-16$2.36$2.0062.2%12.8%58.3%22.9%33.5%15.9%-21.1%1.9K111.2K4041.64131.02N/AN/A7612510,6381,170
2014-09-17$2.36$2.0039.6%16.1%58.3%7.4%26.0%-16.0%17.9%960129.2K4920.04112.67N/AN/A120510,6291,270
2014-09-18$2.40$2.0043.5%16.1%58.4%10.1%0.0%-23.1%-6.1%902156.3K5540.0093.65N/AN/A0010,7451,264
2014-09-19$2.22$2.0066.0%20.0%64.4%25.5%69.8%-25.2%-19.4%1.9K119.8K5330.0290.03N/AN/A62110,7451,264
2014-09-22$2.05$2.0055.8%16.2%70.0%18.5%51.2%11.7%-12.8%1.8K101.8K5400.52107.37N/AN/A1789210,7001,263
2014-09-23$2.11$2.0081.5%14.0%71.0%36.2%0.0%-11.2%72.8%2.9K106.3K5500.00142.07N/AN/A0010,7471,259
2014-09-24$2.04$2.0066.7%18.8%71.8%26.0%0.0%-0.8%23.5%1.7K105.0K5680.00122.24N/AN/A0010,7471,259
2014-09-25$2.15$2.0064.8%20.0%74.7%24.7%0.0%24.2%-11.5%2.5K111.5K5400.0062.11N/AN/A0010,7471,259
2014-09-26$2.10$2.0080.8%19.2%74.8%35.7%0.0%27.0%41.7%1.7K114.7K5800.00134.79N/AN/A0010,7471,259
2014-09-29$2.05$2.0054.1%18.2%74.2%17.3%0.0%11.1%3.2%2.3K94.4K5160.0050.79N/AN/A0010,7471,259
2014-09-30$2.11$2.0074.8%16.0%74.7%31.6%56.1%14.6%-4.5%4.5K103.1K4690.0092.92N/AN/A220010,7471,259