TRUE Options History — November 2014 In November 2014, TRUE traded between $16.33 and $19.50. ATM implied volatility averaged 77.2%. The 30-day expected move averaged 22.6%. Max pain ranged from $17.50 to $20.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.26.
Notable Days 2014-11-06 : Highest Volume — 5,406 contracts2014-11-06 : Largest IV drop — 16.4% change2014-11-03 : Largest Expected Move — 25.0%Monthly Statistics Metric Avg Min Max Open Close Price $17.63 $16.33 $19.50 $17.45 $19.16 Max Pain $18.16 $17.50 $20.00 $20.00 $20.00 ATM IV 77.2% 61.6% 96.9% 96.0% 63.5% Expected Move 22.6% 20.7% 25.0% 25.0% 20.7% Term Structure -1.7% -11.1% 5.1% -4.9% 3.7% VWIV 78.0% 72.2% 84.8% 83.8% 72.2% Skew 25d 3.1% -7.6% 11.4% -1.1% 4.5% Skew 10d 14.3% -7.3% 62.4% 8.8% 17.2% Call IV 25d 77.4% 63.0% 100.4% 99.0% 63.0% Put IV 25d 80.5% 65.2% 101.8% 97.8% 67.4% Bid-Ask Spread % 48.77 41.43 57.52 52.13 53.33 Gamma HHI 0.28 0.18 0.38 0.18 0.34 Net GEX 70.7K -54.6K 255.3K -10.5K 156.8K Net DEX 1.5M -8.4M 6.5M 3.9M -6.6M Net VEX -45.8K -49.8K -40.8K -46.3K -49.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.22 2.58 2.58 0.62 Total Volume 2,668.421 154 5,406 2,973 154 Total OI 27,166.263 20,070 32,097 24,029 22,359
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-11-03 $17.45 $20.00 96.0% 25.0% 0.0% 0.0% 83.8% -1.1% -4.9% -10.5K 3.9M -46.3K 2.58 52.13 N/A N/A 831 2,142 12,907 11,122 2014-11-04 $17.19 $20.00 96.9% 24.0% 0.0% 0.0% 79.9% 0.5% -8.8% -6.2K 4.2M -46.0K 1.58 44.34 N/A N/A 1,335 2,103 13,359 11,092 2014-11-05 $16.54 $20.00 96.1% 23.9% 0.0% 0.0% 84.8% 6.6% -11.1% -12.2K 5.8M -41.3K 2.01 47.93 N/A N/A 1,529 3,077 13,216 11,145 2014-11-06 $16.33 $17.50 80.4% 23.6% 0.0% 0.0% 81.3% 2.7% 0.0% -22.9K 6.5M -40.8K 1.16 54.92 N/A N/A 2,501 2,905 13,506 11,695 2014-11-07 $16.37 $17.50 80.2% 22.9% 0.0% 0.0% 79.2% -7.6% -7.0% -53.8K 6.4M -45.7K 1.14 57.06 N/A N/A 1,557 1,779 14,685 13,023 2014-11-10 $16.57 $17.50 81.8% 22.6% 0.0% 0.0% 80.8% 4.5% -2.1% -54.6K 6.1M -45.8K 2.29 53.42 N/A N/A 489 1,122 15,103 13,243 2014-11-11 $17.38 $17.50 80.2% 22.7% 0.0% 0.0% 77.2% 3.7% -1.1% -42.4K 4.2M -45.6K 1.25 45.15 N/A N/A 1,720 2,142 15,130 12,838 2014-11-12 $17.26 $17.50 72.9% 21.9% 0.0% 0.0% 72.6% 3.6% -1.4% -46.3K 5.6M -48.2K 1.63 52.35 N/A N/A 1,285 2,091 16,088 14,304 2014-11-13 $16.78 $17.50 75.2% 22.2% 0.0% 0.0% 76.4% 1.0% -3.2% -36.3K 5.0M -47.8K 2.15 46.13 N/A N/A 952 2,046 16,437 13,631 2014-11-14 $17.75 $17.50 75.9% 21.5% 0.0% 0.0% 78.1% 3.4% -3.1% -9.8K 3.2M -46.9K 0.22 48.20 N/A N/A 1,934 429 16,728 13,667 2014-11-17 $17.54 $17.50 75.0% 22.9% 0.0% 0.0% 77.6% -0.8% 1.6% 125.4K 1.9M -46.1K 1.27 48.21 N/A N/A 903 1,146 18,329 13,545 2014-11-18 $17.42 $17.50 73.9% 23.0% 0.0% 0.0% 76.1% 3.5% 2.4% 187.7K 2.3M -45.7K 1.02 42.41 N/A N/A 823 843 18,443 13,541 2014-11-19 $17.58 $17.50 71.1% 23.3% 0.0% 0.0% 81.0% 11.4% 3.4% 179.0K 2.3M -44.0K 0.78 57.52 N/A N/A 330 256 18,532 13,565 2014-11-20 $18.02 $17.50 72.9% 22.8% 0.0% 0.0% 78.7% 7.3% -3.4% 243.3K 8.4K -43.4K 1.38 51.11 N/A N/A 1,139 1,567 17,849 13,510 2014-11-21 $18.03 $17.50 75.4% 22.5% 0.0% 0.0% 77.8% 2.7% -0.7% 255.3K -215.1K -43.6K 0.51 45.73 N/A N/A 2,722 1,380 17,864 13,726 2014-11-24 $19.00 $17.50 71.0% 21.2% 0.0% 0.0% 73.9% 6.2% -2.4% 144.6K -6.8M -46.2K 0.58 41.43 N/A N/A 626 363 13,591 6,479 2014-11-25 $19.50 $17.50 66.6% 21.5% 0.0% 0.0% 74.6% 5.8% 1.3% 166.9K -8.4M -47.6K 0.77 43.42 N/A N/A 1,491 1,151 13,928 6,532 2014-11-26 $19.14 $20.00 61.6% 20.7% 0.0% 0.0% 75.0% 1.4% 5.1% 178.5K -7.7M -49.8K 1.09 41.86 N/A N/A 881 956 14,602 6,845 2014-11-28 $19.16 $20.00 63.5% 20.7% 0.0% 0.0% 72.2% 4.5% 3.7% 156.8K -6.6M -49.5K 0.62 53.33 N/A N/A 95 59 14,689 7,670
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