TRUE Options History — December 2014

In December 2014, TRUE traded between $18.92 and $23.96. ATM implied volatility averaged 64.6%. The 30-day expected move averaged 20.4%. Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2014-12-02: Highest Volume — 3,324 contracts
  • 2014-12-08: Largest IV spike — 16.1% change
  • 2014-12-18: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.68$18.92$23.96$18.92$22.90
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV64.6%56.0%73.4%68.8%62.1%
Expected Move20.4%19.3%22.4%21.0%19.9%
Term Structure5.6%-1.1%18.1%-1.1%6.8%
VWIV67.5%53.9%73.2%70.8%66.2%
Skew 25d2.7%-4.3%7.4%4.7%5.6%
Skew 10d16.0%1.4%35.3%17.3%10.5%
Call IV 25d65.3%60.8%74.9%67.4%62.9%
Put IV 25d68.0%64.4%74.2%72.1%68.5%
Bid-Ask Spread %53.6948.3468.1848.9350.93
Gamma HHI0.310.270.400.340.30
Net GEX250.0K151.7K325.8K151.7K272.7K
Net DEX-12.8M-17.9M-6.1M-6.1M-11.7M
Net VEX-49.9K-53.7K-45.7K-48.4K-47.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.112.790.930.11
Total Volume1,806.2272913,3242,007303
Total OI22,414.81819,98124,65922,40420,152

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$18.92$20.0068.8%21.0%0.0%0.0%70.8%4.7%-1.1%151.7K-6.1M-48.4K0.9348.93N/AN/A1,04196614,7047,700
2014-12-02$20.20$20.0065.9%20.2%0.0%0.0%68.9%4.8%0.1%192.6K-9.6M-49.7K0.4750.74N/AN/A2,2611,06314,8927,737
2014-12-03$20.98$20.0064.9%20.3%0.0%0.0%67.8%5.6%0.4%215.1K-12.0M-53.7K0.7857.62N/AN/A1,3281,03815,5527,910
2014-12-04$20.94$20.0062.9%19.9%0.0%0.0%70.0%6.3%2.2%224.2K-11.9M-51.7K0.2950.28N/AN/A54715815,3417,834
2014-12-05$21.54$20.0057.0%19.6%0.0%0.0%68.1%5.3%4.8%237.6K-13.4M-53.0K0.9052.21N/AN/A1,06495315,4547,940
2014-12-08$20.76$20.0066.2%19.9%0.0%0.0%60.4%5.1%3.4%219.8K-10.6M-50.3K1.4653.08N/AN/A62991915,2017,975
2014-12-09$21.57$20.0066.8%20.3%0.0%0.0%53.9%4.8%7.2%233.0K-13.0M-51.2K1.2348.34N/AN/A8431,03515,2027,986
2014-12-10$22.03$20.0064.8%20.3%0.0%0.0%68.8%4.1%7.3%245.2K-14.6M-51.2K2.7950.71N/AN/A6361,77215,4358,198
2014-12-11$23.02$20.0062.6%20.5%0.0%0.0%60.9%5.6%11.2%257.7K-17.9M-51.1K1.0552.03N/AN/A83588015,5367,279
2014-12-12$21.30$20.0064.4%20.3%0.0%0.0%71.1%-0.4%6.9%261.1K-13.5M-52.0K1.1555.05N/AN/A75686715,6347,358
2014-12-15$20.96$20.0063.3%20.9%0.0%0.0%72.9%1.8%9.4%262.4K-11.7M-48.1K1.4853.31N/AN/A62692415,5897,439
2014-12-16$19.41$20.0073.4%21.2%0.0%0.0%73.2%-3.0%0.7%236.7K-7.2M-45.7K0.5054.11N/AN/A1,98398915,5747,436
2014-12-17$20.99$20.0069.7%21.1%0.0%0.0%56.6%7.4%3.5%325.8K-12.7M-49.2K0.5352.26N/AN/A1,72692117,0987,561
2014-12-18$21.23$20.0069.5%22.4%0.0%0.0%68.2%-4.3%7.3%300.2K-13.4M-49.0K1.5658.27N/AN/A59092116,6937,504
2014-12-19$21.29$20.0065.1%21.4%0.0%0.0%72.0%0.3%8.9%236.1K-14.1M-49.6K0.6154.10N/AN/A22513716,7727,508
2014-12-22$22.18$0.0063.4%20.0%0.0%0.0%66.7%-0.2%7.5%256.0K-12.9M-46.3K1.1868.18N/AN/A68380514,2675,980
2014-12-23$23.25$20.0065.2%19.3%0.0%0.0%68.9%0.5%-0.0%269.3K-15.6M-49.5K0.9150.68N/AN/A1,5081,37314,3816,087
2014-12-24$23.50$20.0061.9%20.3%0.0%0.0%72.3%1.1%9.4%280.2K-16.7M-53.4K1.6451.32N/AN/A8141,33714,6576,484
2014-12-26$23.96$20.0063.3%20.1%0.0%0.0%70.0%0.2%6.3%264.9K-17.8M-51.9K0.9749.05N/AN/A99296714,6126,475
2014-12-29$22.77$20.0064.7%19.8%0.0%0.0%69.9%0.1%3.0%270.3K-11.9M-48.3K1.0060.88N/AN/A1,0141,01713,4176,564
2014-12-30$23.36$20.0056.0%19.7%0.0%0.0%66.2%3.2%18.1%288.0K-12.7M-47.9K0.1359.00N/AN/A2583313,3906,618
2014-12-31$22.90$20.0062.1%19.9%0.0%0.0%0.0%5.6%6.8%272.7K-11.7M-47.7K0.1150.93N/AN/A2733013,5226,630