TRUE Options History — March 2015

In March 2015, TRUE traded between $16.50 and $19.24. ATM implied volatility averaged 61.9%. The 30-day expected move averaged 17.6%. 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 19 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2015-03-13: Highest Volume — 4,355 contracts
  • 2015-03-11: Largest IV drop — 5.4% change
  • 2015-03-04: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.70$16.50$19.24$19.14$17.89
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV61.9%58.2%66.4%63.9%60.9%
Expected Move17.6%16.7%19.0%18.3%17.5%
Term Structure2.5%-5.6%10.9%-4.3%4.1%
VWIV62.2%55.3%66.1%64.3%63.7%
Skew 25d-0.1%-15.4%4.0%0.2%-0.3%
Skew 10d-0.6%-40.0%23.5%-8.9%-7.2%
Call IV 25d63.6%59.0%69.4%67.6%62.2%
Put IV 25d63.5%50.0%69.2%67.8%61.9%
Bid-Ask Spread %34.1715.4469.4051.4836.21
Gamma HHI0.370.250.560.290.54
Net GEX163.5K102.8K253.1K237.1K218.5K
Net DEX-1.7M-6.4M1.6M-6.4M-3.9M
Net VEX-39.8K-55.7K-27.8K-55.7K-38.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.073.080.860.52
Total Volume1,433.3181174,3551,8072,014
Total OI23,590.63618,02526,52223,72122,859

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$19.14$20.0063.9%18.3%0.0%0.0%64.3%0.2%-4.3%237.1K-6.4M-55.7K0.8651.48N/AN/A96983816,9186,803
2015-03-03$17.65$20.0066.0%18.9%0.0%0.0%65.2%-15.4%-5.6%169.2K-1.9M-48.6K0.4634.90N/AN/A1,66375717,1156,939
2015-03-04$17.07$20.0066.4%19.0%0.0%0.0%66.1%-0.3%-2.8%141.3K-231.5K-44.5K1.3721.91N/AN/A8781,20017,4077,098
2015-03-05$17.19$20.0063.4%17.6%0.0%0.0%60.4%1.1%4.3%145.4K-372.8K-45.5K1.3521.73N/AN/A71496417,5757,317
2015-03-06$16.81$20.0063.4%17.8%0.0%0.0%59.8%0.1%3.5%129.0K296.2K-44.1K0.9923.34N/AN/A71871317,6217,346
2015-03-09$16.97$20.0066.0%17.8%0.0%0.0%62.4%-0.2%2.7%126.1K398.2K-42.5K0.8530.20N/AN/A17014517,7357,464
2015-03-10$16.50$20.0065.8%17.7%0.0%0.0%63.8%1.3%2.8%102.8K1.5M-39.3K3.0869.40N/AN/A4391,35217,8247,524
2015-03-11$17.06$20.0062.2%17.8%0.0%0.0%63.0%1.5%1.7%128.5K113.7K-43.2K0.5933.82N/AN/A32519218,1118,131
2015-03-12$17.28$20.0061.8%17.7%0.0%0.0%62.1%1.7%3.5%142.0K-320.0K-43.6K0.8125.03N/AN/A13310818,2498,197
2015-03-13$17.41$20.0061.4%17.6%0.0%0.0%63.9%0.7%1.0%142.1K-126.7K-43.9K0.3325.79N/AN/A3,2851,07018,3008,222
2015-03-16$17.47$20.0062.4%17.9%0.0%0.0%64.7%-0.9%1.5%106.8K153.7K-32.2K0.3027.32N/AN/A33410015,4687,649
2015-03-17$17.56$20.0062.0%17.8%0.0%0.0%64.2%2.0%1.5%110.9K83.0K-30.9K0.4634.98N/AN/A803715,3847,674
2015-03-18$17.83$20.0061.1%17.5%0.0%0.0%62.6%4.0%2.1%126.1K-447.3K-30.4K1.7548.92N/AN/A6711715,3527,668
2015-03-19$17.91$20.0059.3%17.0%0.0%0.0%60.6%3.3%2.5%133.1K-752.9K-29.5K2.0321.23N/AN/A12625615,3947,685
2015-03-20$17.37$20.0059.6%17.1%0.0%0.0%55.3%-0.5%3.5%104.6K1.6M-27.8K1.3518.27N/AN/A56175915,4087,660
2015-03-23$19.24$20.0058.2%16.7%0.0%0.0%59.2%1.0%10.9%192.2K-4.1M-32.5K0.1515.44N/AN/A3,64153012,2645,761
2015-03-24$19.10$20.0059.6%17.1%0.0%0.0%59.9%-1.4%5.7%253.1K-5.9M-40.2K0.0761.11N/AN/A2,53116914,5705,973
2015-03-25$18.29$20.0059.7%17.1%0.0%0.0%59.8%2.5%4.6%240.8K-4.9M-42.8K0.3631.63N/AN/A32111716,3816,089
2015-03-26$18.23$20.0059.4%17.0%0.0%0.0%60.2%-0.9%4.0%234.9K-4.9M-42.5K0.8248.82N/AN/A80265816,4046,131
2015-03-27$17.78$20.0059.6%17.1%0.0%0.0%63.1%-0.0%4.2%209.0K-3.8M-40.2K0.4223.66N/AN/A1717116,4586,136
2015-03-30$17.64$20.0060.1%17.2%0.0%0.0%63.1%-2.0%4.0%203.8K-3.2M-38.1K1.1946.60N/AN/A65678216,5856,145
2015-03-31$17.89$20.0060.9%17.5%0.0%0.0%63.7%-0.3%4.1%218.5K-3.9M-38.5K0.5236.21N/AN/A1,32968516,6556,204