TRUE Options History — September 2014

In September 2014, TRUE traded between $16.95 and $24.15. ATM implied volatility averaged 77.1%. The 30-day expected move averaged 21.7%. Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2014-09-11: Highest Volume — 3,288 contracts
  • 2014-09-11: Largest IV drop — 9.9% change
  • 2014-09-15: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.89$16.95$24.15$23.85$17.95
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV77.1%73.0%83.4%77.3%78.1%
Expected Move21.7%19.8%22.9%21.8%22.1%
Term Structure-0.1%-2.8%4.7%-2.2%4.7%
VWIV75.2%71.0%81.0%74.9%81.0%
Skew 25d1.5%-4.7%5.0%2.3%3.6%
Skew 10d1.7%-15.4%23.1%-8.3%1.8%
Call IV 25d78.4%74.5%82.8%79.1%80.8%
Put IV 25d79.8%76.9%86.8%81.5%84.4%
Bid-Ask Spread %53.9043.0370.5760.3551.02
Gamma HHI0.260.190.380.330.21
Net GEX54.5K25.7K85.9K62.6K74.5K
Net DEX-5.1M-11.0M-1.4M-10.3M-3.8M
Net VEX-33.3K-41.6K-28.3K-28.3K-41.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.081.630.310.17
Total Volume1,293.813983,2881,518841
Total OI13,84910,82016,57211,22014,977

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$23.85$20.0077.3%21.8%0.0%0.0%74.9%2.3%-2.2%62.6K-10.3M-28.3K0.3160.35N/AN/A1,1613576,0765,144
2014-09-03$22.50$20.0076.2%20.7%0.0%0.0%72.4%-4.7%-2.3%68.0K-9.2M-30.2K0.9061.13N/AN/A5935336,4305,430
2014-09-04$21.84$20.0074.7%21.0%0.0%0.0%73.8%2.2%0.3%61.9K-8.2M-31.9K0.7062.65N/AN/A4413106,5565,781
2014-09-05$24.15$20.0075.6%21.7%0.0%0.0%74.1%-1.8%0.1%76.1K-11.0M-32.7K0.1254.83N/AN/A1,4741736,8106,001
2014-09-08$23.47$20.0082.5%21.0%0.0%0.0%73.4%1.9%-2.3%85.9K-10.3M-34.1K0.4153.93N/AN/A1,0884417,4126,055
2014-09-09$22.79$20.0080.8%21.3%0.0%0.0%75.3%-3.1%0.1%77.9K-9.4M-35.6K0.3357.22N/AN/A6432127,7326,412
2014-09-10$21.20$20.0082.1%21.0%0.0%0.0%73.9%-2.2%-2.4%59.1K-6.8M-36.0K0.2460.51N/AN/A8622097,9856,559
2014-09-11$20.01$20.0074.0%19.8%0.0%0.0%71.0%0.6%-2.8%39.8K-4.8M-33.0K0.2564.12N/AN/A2,6316577,9896,627
2014-09-12$19.75$20.0074.9%20.5%0.0%0.0%72.4%1.7%-1.2%25.7K-3.9M-32.2K0.1955.29N/AN/A9231718,0057,028
2014-09-15$18.75$20.0077.8%22.9%0.0%0.0%74.3%1.4%-1.8%43.8K-2.5M-30.4K0.9870.57N/AN/A2011978,7067,025
2014-09-16$19.85$20.0076.0%21.7%0.0%0.0%75.1%1.7%-1.3%53.1K-4.2M-31.9K0.9445.34N/AN/A7356938,7377,079
2014-09-17$19.42$20.0075.7%21.7%0.0%0.0%76.6%4.7%-0.3%56.5K-3.7M-33.2K0.1456.37N/AN/A9681359,1707,402
2014-09-18$18.77$20.0074.9%21.8%0.0%0.0%0.0%4.1%-0.8%46.3K-2.3M-32.4K0.1655.19N/AN/A7121139,1107,308
2014-09-19$18.10$20.0073.0%21.8%0.0%0.0%77.1%2.7%2.9%37.0K-1.6M-31.2K1.3850.79N/AN/A5898119,0807,387
2014-09-22$17.65$20.0074.7%21.9%0.0%0.0%75.7%5.0%3.2%34.9K-2.1M-29.7K0.8144.50N/AN/A3412757,0673,753
2014-09-23$16.95$20.0075.5%22.4%0.0%0.0%77.2%-0.2%1.3%33.0K-1.4M-29.5K1.6347.26N/AN/A7441,2167,2933,982
2014-09-24$17.54$20.0075.4%22.6%0.0%0.0%77.6%4.0%2.8%36.4K-2.1M-32.9K0.0843.03N/AN/A883737,6484,274
2014-09-25$17.89$20.0076.7%22.5%0.0%0.0%77.2%2.0%-0.7%48.7K-2.5M-33.4K0.2243.80N/AN/A2,2304858,0264,317
2014-09-26$17.90$20.0079.7%22.2%0.0%0.0%74.8%1.0%0.3%62.1K-3.6M-40.1K0.1450.07N/AN/A512709,3944,661
2014-09-29$17.45$20.0083.4%22.6%0.0%0.0%76.5%3.9%0.5%61.0K-3.1M-39.1K0.5143.96N/AN/A9724959,6924,709
2014-09-30$17.95$20.0078.1%22.1%0.0%0.0%81.0%3.6%4.7%74.5K-3.8M-41.6K0.1751.02N/AN/A72012110,1364,841