TRUE Options History — January 2015

Name: TRUE Options Analytics - January 2015
Creator: Options Analysis Suite

In January 2015, TRUE traded between $17.60 and $21.80. ATM implied volatility averaged 76.2%. The 30-day expected move averaged 22.0%. Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2015-01-06: Highest Volume — 5,887 contracts
2015-01-09: Largest IV spike — 20.6% change
2015-01-16: Largest Expected Move — 22.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.35	$17.60	$21.80	$21.80	$17.60
Max Pain	$19.63	$17.50	$20.00	$20.00	$17.50
ATM IV	76.2%	67.5%	85.1%	67.5%	75.9%
Expected Move	22.0%	20.4%	22.8%	20.4%	21.8%
Term Structure	-1.4%	-5.7%	4.7%	3.3%	-2.1%
VWIV	76.7%	71.5%	81.1%	72.2%	76.7%
Skew 25d	1.2%	-3.5%	7.6%	0.3%	2.4%
Skew 10d	-5.0%	-23.8%	19.2%	6.2%	-13.1%
Call IV 25d	75.9%	66.8%	79.8%	69.2%	76.1%
Put IV 25d	77.1%	69.4%	81.7%	69.4%	78.5%
Bid-Ask Spread %	49.39	33.75	61.98	52.45	44.56
Gamma HHI	0.32	0.26	0.41	0.27	0.32
Net GEX	239.8K	101.4K	426.8K	260.2K	221.0K
Net DEX	-6.1M	-11.0M	-1.3M	-8.0M	-5.9M
Net VEX	-45.5K	-56.8K	-31.2K	-42.5K	-53.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.02	1.37	1.37	0.47
Total Volume	2,118.9	222	5,887	1,934	946
Total OI	20,916.65	12,550	25,796	20,279	20,860

Daily Data (20 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
2015-01-02	$21.80	$20.00	67.5%	20.4%	0.0%	0.0%	72.2%	0.3%	3.3%	260.2K	-8.0M	-42.5K	1.37	52.45	N/A	N/A	815	1,119	13,645	6,634
2015-01-05	$21.63	$20.00	69.9%	21.0%	0.0%	0.0%	71.5%	6.1%	-4.2%	256.5K	-7.7M	-41.9K	0.17	48.90	N/A	N/A	408	69	13,642	6,812
2015-01-06	$21.67	$20.00	77.1%	21.8%	0.0%	0.0%	76.4%	7.6%	-0.3%	247.5K	-8.7M	-44.6K	0.02	57.83	N/A	N/A	5,778	109	13,848	6,865
2015-01-07	$20.94	$20.00	73.6%	22.1%	0.0%	0.0%	76.3%	-0.8%	-3.0%	370.1K	-10.9M	-56.8K	0.26	45.89	N/A	N/A	195	50	18,294	6,899
2015-01-08	$20.31	$20.00	70.5%	22.2%	0.0%	0.0%	75.7%	-1.2%	-3.0%	332.4K	-8.1M	-53.3K	0.83	48.29	N/A	N/A	1,236	1,032	18,364	6,949
2015-01-09	$21.28	$20.00	85.1%	22.5%	0.0%	0.0%	77.7%	7.1%	-5.7%	396.4K	-11.0M	-55.8K	0.88	47.19	N/A	N/A	1,158	1,018	18,375	6,992
2015-01-12	$20.75	$20.00	80.9%	21.8%	0.0%	0.0%	78.4%	-2.0%	0.9%	389.6K	-9.8M	-51.5K	0.88	52.85	N/A	N/A	1,166	1,031	18,429	7,081
2015-01-13	$21.02	$20.00	70.6%	21.6%	0.0%	0.0%	77.4%	0.3%	0.2%	426.8K	-10.7M	-52.1K	1.28	54.70	N/A	N/A	884	1,133	18,553	7,193
2015-01-14	$19.54	$20.00	77.6%	22.3%	0.0%	0.0%	76.2%	-1.7%	-2.4%	280.1K	-5.3M	-46.2K	0.71	51.20	N/A	N/A	1,202	851	18,584	7,212
2015-01-15	$18.51	$20.00	76.5%	21.9%	0.0%	0.0%	77.8%	-3.5%	1.4%	101.4K	-1.4M	-40.3K	0.56	46.51	N/A	N/A	1,626	910	18,352	7,317
2015-01-16	$18.74	$20.00	79.7%	22.8%	0.0%	0.0%	79.0%	0.5%	-2.7%	139.4K	-1.3M	-40.2K	0.22	41.54	N/A	N/A	2,640	583	18,082	7,346
2015-01-20	$18.03	$20.00	79.6%	22.8%	0.0%	0.0%	77.5%	-2.0%	-1.2%	104.6K	-2.1M	-32.0K	0.11	54.09	N/A	N/A	802	85	9,698	2,852
2015-01-21	$17.66	$20.00	75.2%	21.6%	0.0%	0.0%	75.6%	1.3%	4.7%	109.5K	-1.8M	-31.2K	0.08	56.64	N/A	N/A	205	17	10,276	2,921
2015-01-22	$18.11	$20.00	79.1%	22.7%	0.0%	0.0%	77.3%	5.0%	-3.3%	123.6K	-2.2M	-31.6K	0.06	33.75	N/A	N/A	4,462	272	10,265	2,929
2015-01-23	$17.92	$20.00	75.7%	21.7%	0.0%	0.0%	81.1%	-3.5%	-1.0%	182.1K	-4.7M	-41.6K	0.30	52.19	N/A	N/A	991	302	13,491	3,013
2015-01-26	$18.16	$20.00	77.8%	22.3%	0.0%	0.0%	76.6%	2.1%	1.1%	199.3K	-5.0M	-42.2K	0.49	45.20	N/A	N/A	234	114	14,022	3,087
2015-01-27	$17.62	$20.00	78.0%	22.3%	0.0%	0.0%	78.0%	0.9%	-2.8%	180.6K	-4.9M	-42.0K	0.12	46.20	N/A	N/A	3,362	406	14,188	3,191
2015-01-28	$17.89	$17.50	77.2%	22.1%	0.0%	0.0%	74.6%	2.7%	-1.7%	239.2K	-6.7M	-56.7K	0.07	61.98	N/A	N/A	3,904	263	17,478	3,595
2015-01-29	$17.79	$17.50	77.3%	22.2%	0.0%	0.0%	77.4%	3.2%	-5.5%	236.0K	-6.3M	-54.2K	0.39	45.75	N/A	N/A	717	283	17,422	3,577
2015-01-30	$17.60	$17.50	75.9%	21.8%	0.0%	0.0%	76.7%	2.4%	-2.1%	221.0K	-5.9M	-53.5K	0.47	44.56	N/A	N/A	643	303	17,238	3,622