TRX Options History — September 2016

In September 2016, TRX traded between $0.79 and $1.10. ATM implied volatility averaged 148.3%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 45.9%. IV traded above realized volatility by 28.6% (HV 20d: 119.7%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2016-09-02: Highest Volume — 542 contracts
  • 2016-09-06: Largest IV spike — 424.9% change
  • 2016-09-06: Highest IV Rank — 98.7%
  • 2016-09-29: Largest Expected Move — 67.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.93$0.79$1.10$0.79$0.82
Max Pain$1.10$1.00$2.00$2.00$1.00
ATM IV148.3%32.9%285.5%121.8%211.5%
Expected Move45.9%13.7%67.8%34.9%60.6%
HV 20d119.7%89.3%129.9%89.3%104.1%
HV 60d131.0%99.8%138.5%127.9%100.1%
IV Rank49.4%7.9%98.7%39.9%72.1%
IV Percentile46.9%1.6%99.6%15.7%96.4%
Term Structure-60.5%-199.6%186.6%-68.0%-167.0%
VWIV147.7%46.6%211.5%54.4%211.5%
Skew 25d-13.5%-132.6%97.4%-8.6%-132.6%
Skew 10d-4.4%-143.9%162.3%18.1%-143.9%
Call IV 25d127.7%29.4%200.6%165.5%200.6%
Put IV 25d114.2%2.4%205.6%156.9%68.0%
Bid-Ask Spread %103.1531.76146.14126.34117.83
Gamma HHI0.850.661.001.000.77
Net GEX65705.3K0377
Net DEX24.2K-8.4K68.1K-3.0K26.7K
Net VEX600112066
P/C Ratio0.310.100.550.100.26
Total Volume249.381116542514200
Total OI1,666.191,5601,7051,6451,705

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$0.79$2.00121.8%34.9%89.3%39.9%0.0%0.0%0.0%0-3.0K00.10126.34N/AN/A468461,521124
2016-09-02$0.97$2.0054.4%15.6%117.7%15.7%54.4%0.0%0.0%219-2.9K20.16145.01N/AN/A468741,521124
2016-09-06$1.07$1.00285.5%60.9%123.9%98.7%200.4%-8.6%-68.0%65338.5K1080.38114.35N/AN/A193741,521154
2016-09-07$1.10$1.00155.1%60.2%123.3%51.8%0.0%-125.8%-73.1%25468.1K00.39102.75N/AN/A189741,521154
2016-09-08$1.05$1.0032.9%35.8%124.3%7.9%131.0%9.8%-136.6%46643.4K1120.39114.66N/AN/A190741,522154
2016-09-09$0.96$1.0080.2%59.3%127.9%24.9%187.6%-38.1%-64.5%36638.7K1030.3469.23N/AN/A199671,523154
2016-09-12$1.02$1.00129.7%13.7%129.2%42.7%46.6%97.4%70.2%5.3K30.8K830.34114.86N/AN/A199671,533157
2016-09-13$0.99$1.0069.1%57.3%129.6%21.0%168.4%53.4%-68.5%44334.1K940.3490.32N/AN/A199671,533157
2016-09-14$0.99$1.00180.8%51.8%129.3%61.1%170.8%-23.9%-50.5%62742.9K820.3486.07N/AN/A199671,533157
2016-09-15$0.96$1.00107.3%30.8%129.4%34.7%127.7%0.0%186.6%56639.1K870.30138.57N/AN/A192571,544147
2016-09-16$0.93$1.0059.3%17.0%129.8%17.4%59.3%0.0%113.6%1.9K-641440.30146.14N/AN/A192571,544147
2016-09-19$0.90$1.00176.8%50.7%129.9%59.6%167.1%14.8%-25.0%42531.7K870.5531.76N/AN/A75411,441119
2016-09-20$0.89$1.00111.7%32.0%126.7%36.3%117.3%34.1%-61.4%66822.7K790.3399.05N/AN/A125411,443119
2016-09-21$0.95$1.00199.6%57.2%128.4%67.8%188.3%-27.1%-126.3%41232.4K830.25143.00N/AN/A162411,493119
2016-09-22$0.91$1.00186.0%53.3%115.6%63.0%173.1%0.0%-121.9%41531.5K820.2481.89N/AN/A172411,521119
2016-09-23$0.88$1.00101.7%29.1%113.7%32.7%124.0%-15.1%0.9%37031.1K800.2659.34N/AN/A155411,531119
2016-09-26$0.88$1.00205.0%58.8%113.7%69.8%205.0%0.0%-151.1%1-8.4K00.26110.53N/AN/A155411,584119
2016-09-27$0.84$1.00232.0%66.5%114.5%79.5%0.0%0.0%-189.9%0-8.1K00.27119.14N/AN/A154411,584119
2016-09-28$0.86$1.00177.7%50.9%109.8%60.0%177.7%-132.6%-18.0%44227.9K720.3242.28N/AN/A129411,586119
2016-09-29$0.85$1.00236.5%67.8%104.6%81.1%0.0%0.0%-199.6%0-8.2K00.32112.94N/AN/A129411,586119
2016-09-30$0.82$1.00211.5%60.6%104.1%72.1%211.5%0.0%-167.0%37726.7K660.26117.83N/AN/A159411,586119