TRUE Options History — October 2014

In October 2014, TRUE traded between $16.41 and $23.10. ATM implied volatility averaged 91.5%. The 30-day expected move averaged 23.8%. Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.31.

Notable Days

  • 2014-10-08: Highest Volume — 9,640 contracts
  • 2014-10-10: Largest IV spike — 37.7% change
  • 2014-10-15: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.20$16.41$23.10$18.43$16.70
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV91.5%77.7%108.9%82.3%93.5%
Expected Move23.8%21.6%25.8%23.0%24.3%
Term Structure-5.8%-16.4%2.4%-6.8%-2.3%
VWIV80.5%70.1%87.2%78.3%79.9%
Skew 25d4.5%-5.7%24.5%3.6%4.0%
Skew 10d10.6%-5.9%38.3%7.5%15.0%
Call IV 25d90.9%76.6%105.7%78.4%95.8%
Put IV 25d95.4%80.5%112.7%82.0%99.9%
Bid-Ask Spread %52.4843.5962.9447.2046.90
Gamma HHI0.220.180.310.210.18
Net GEX61.6K-16.8K169.3K85.0K-14.6K
Net DEX-2.5M-13.0M5.9M-4.8M5.3M
Net VEX-53.2K-65.6K-43.3K-43.5K-44.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.094.040.192.86
Total Volume2,578.4784839,6401,0732,977
Total OI21,885.21715,35125,79815,35123,794

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$18.43$20.0082.3%23.0%0.0%0.0%78.3%3.6%-6.8%85.0K-4.8M-43.5K0.1947.20N/AN/A90117210,4474,904
2014-10-02$20.07$20.0077.7%23.3%0.0%0.0%79.2%4.5%2.4%115.1K-7.8M-46.5K0.1543.59N/AN/A99714510,8025,013
2014-10-03$21.10$20.0078.1%22.4%0.0%0.0%78.2%2.9%2.4%136.0K-10.3M-48.3K0.5248.59N/AN/A2,1771,13911,0235,111
2014-10-06$20.85$20.0077.8%21.6%0.0%0.0%75.5%-2.2%-6.0%146.4K-9.9M-50.6K0.4145.95N/AN/A66527411,9015,784
2014-10-07$20.76$20.0080.3%22.7%0.0%0.0%78.1%8.3%-0.5%150.3K-8.9M-49.3K0.8654.36N/AN/A1,13497711,9285,883
2014-10-08$23.10$20.0081.2%22.1%0.0%0.0%79.9%4.6%-4.6%169.3K-13.0M-55.9K1.0847.48N/AN/A4,6424,99812,3746,790
2014-10-09$21.75$20.0079.1%21.7%0.0%0.0%78.0%2.4%-7.2%102.5K-7.5M-65.6K0.3161.48N/AN/A1,41044313,3919,906
2014-10-10$19.67$20.00108.9%22.6%0.0%0.0%85.3%6.6%-11.2%59.2K-3.5M-63.9K1.1361.81N/AN/A1,2411,40114,28310,185
2014-10-13$18.51$20.00105.4%24.3%0.0%0.0%82.9%1.7%-12.1%37.9K-470.1K-56.7K1.4848.53N/AN/A65096014,66510,362
2014-10-14$18.81$20.00100.3%24.4%0.0%0.0%82.0%0.6%-16.4%21.0K-992.3K-54.4K1.1562.94N/AN/A9121,05214,55510,561
2014-10-15$20.78$20.0090.6%25.8%0.0%0.0%87.2%24.5%-13.4%94.3K-6.0M-60.8K1.0657.77N/AN/A1,2341,31014,63010,572
2014-10-16$20.39$20.0093.5%25.1%0.0%0.0%86.2%6.4%-4.6%94.0K-5.5M-59.9K0.8547.50N/AN/A1,14797414,00410,457
2014-10-17$20.32$20.0099.9%24.6%0.0%0.0%85.2%6.9%-12.7%115.9K-4.7M-58.8K0.0944.80N/AN/A6485614,44811,350
2014-10-20$19.82$20.0095.5%25.1%0.0%0.0%86.8%5.0%-5.8%41.9K-1.9M-56.8K0.9947.10N/AN/A87186211,8998,678
2014-10-21$18.82$20.0097.6%24.1%0.0%0.0%79.7%2.3%-4.4%38.2K-1.0M-55.9K0.6154.18N/AN/A1,61298512,1188,814
2014-10-22$17.77$20.00102.0%25.0%0.0%0.0%83.2%3.7%-10.7%44.7K45.6K-54.2K3.8850.64N/AN/A9353,63112,7588,948
2014-10-23$18.35$20.0095.9%24.5%0.0%0.0%75.7%6.7%-3.0%7.2K2.0M-56.1K3.7860.81N/AN/A5912,23212,79110,515
2014-10-24$17.97$20.0093.4%25.0%0.0%0.0%78.2%4.0%-4.7%8.9K2.0M-56.3K4.0460.81N/AN/A5202,10212,93410,646
2014-10-27$17.14$20.0095.8%24.5%0.0%0.0%70.1%4.3%-4.7%2.4K4.0M-48.9K0.4252.10N/AN/A1,05544012,92310,572
2014-10-28$17.26$20.0093.3%24.1%0.0%0.0%84.9%4.2%-3.4%-9.4K4.2M-48.5K0.4861.89N/AN/A32615712,59210,760
2014-10-29$16.88$20.0091.8%23.9%0.0%0.0%78.2%4.2%-1.4%-11.5K5.4M-43.8K2.0049.53N/AN/A1,5763,15712,61410,881
2014-10-30$16.41$20.0091.3%23.9%0.0%0.0%78.9%-5.7%-2.8%-16.8K5.9M-43.3K1.7751.17N/AN/A1,3062,31112,65511,139
2014-10-31$16.70$20.0093.5%24.3%0.0%0.0%79.9%4.0%-2.3%-14.6K5.3M-44.7K2.8646.90N/AN/A7722,20512,73311,061