TRUE Options History — May 2015

In May 2015, TRUE traded between $13.51 and $15.51. ATM implied volatility averaged 68.3%. The 30-day expected move averaged 17.6%. Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-05-07: Highest Volume — 7,433 contracts
  • 2015-05-08: Largest IV drop — 43.6% change
  • 2015-05-01: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.41$13.51$15.51$15.51$13.85
Max Pain$15.38$15.00$17.50$15.00$15.00
ATM IV68.3%52.9%103.1%84.8%57.4%
Expected Move17.6%15.2%24.3%24.3%16.5%
Term Structure-1.6%-14.8%3.2%-14.8%-3.1%
VWIV62.3%52.7%84.1%84.1%64.8%
Skew 25d0.7%-8.9%15.6%15.6%-1.7%
Skew 10d6.1%-20.4%62.7%13.1%9.2%
Call IV 25d62.4%52.2%76.7%76.7%62.0%
Put IV 25d63.1%52.4%92.2%92.2%60.2%
Bid-Ask Spread %48.8618.1178.4630.4518.25
Gamma HHI0.280.210.380.380.26
Net GEX135.2K15.3K377.8K336.4K37.7K
Net DEX-174.4K-6.2M5.1M-5.6M745.0K
Net VEX-23.6K-35.4K-17.5K-35.4K-17.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.051.710.481.15
Total Volume2,018.255077,4331,8791,034
Total OI21,651.0513,62130,21422,34316,620

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$15.51$15.0084.8%24.3%0.0%0.0%84.1%15.6%-14.8%336.4K-5.6M-35.4K0.4830.45N/AN/A1,26661318,1754,168
2015-05-04$15.30$17.5095.7%20.2%0.0%0.0%73.4%-1.9%-1.6%329.2K-5.9M-34.6K0.1333.19N/AN/A6117818,1014,304
2015-05-05$15.18$17.5098.7%20.5%0.0%0.0%72.8%-1.1%-5.1%332.6K-5.7M-33.5K0.2231.85N/AN/A2,45152918,5334,325
2015-05-06$15.29$17.5097.0%19.8%0.0%0.0%70.5%1.7%-3.0%377.8K-6.2M-34.2K0.2039.03N/AN/A2,75654219,6514,411
2015-05-07$14.99$15.00103.1%20.7%0.0%0.0%76.1%2.0%-3.6%351.0K-5.3M-32.6K1.1533.91N/AN/A3,4533,98019,7794,531
2015-05-08$14.11$15.0058.2%17.3%0.0%0.0%61.3%2.4%0.7%164.3K1.3M-26.4K0.1253.14N/AN/A4,77558521,9677,155
2015-05-11$13.51$15.0079.7%17.6%0.0%0.0%61.8%-8.9%-0.3%15.3K5.1M-17.5K0.6578.46N/AN/A86856521,5477,130
2015-05-12$13.86$15.0067.9%17.3%0.0%0.0%60.6%0.8%-0.1%95.5K4.4M-19.7K0.4669.10N/AN/A1,11650921,8927,281
2015-05-13$14.06$15.0059.7%17.1%0.0%0.0%59.6%0.2%-0.4%146.1K2.4M-21.7K1.4047.50N/AN/A65491522,1247,302
2015-05-14$14.12$15.0058.5%16.8%0.0%0.0%57.2%0.2%0.8%41.6K4.7M-19.8K1.4067.29N/AN/A7681,07822,1797,588
2015-05-15$14.24$15.0052.9%15.2%0.0%0.0%52.7%-2.5%3.2%47.9K4.8M-20.1K1.7133.21N/AN/A49584422,3127,902
2015-05-18$14.90$15.0055.1%15.8%0.0%0.0%55.4%6.6%-1.0%62.0K-171.8K-21.2K0.2167.78N/AN/A1,7843779,4664,155
2015-05-19$15.03$15.0054.4%15.6%0.0%0.0%54.3%2.5%0.6%91.6K-898.3K-22.6K0.0569.85N/AN/A9395010,1424,333
2015-05-20$13.98$15.0059.7%17.1%0.0%0.0%57.4%-3.0%-2.2%51.3K510.0K-19.2K1.0647.24N/AN/A1,1071,17610,3374,364
2015-05-21$14.03$15.0054.6%15.7%0.0%0.0%55.1%2.9%1.0%47.3K465.2K-19.4K0.6262.69N/AN/A78248510,8825,106
2015-05-22$14.17$15.0055.1%15.8%0.0%0.0%54.6%1.7%1.4%46.9K349.5K-19.2K0.5071.50N/AN/A59830110,7775,224
2015-05-26$13.95$15.0058.0%16.6%0.0%0.0%59.1%-2.3%-1.1%39.6K545.6K-18.4K0.6435.91N/AN/A70345310,9575,279
2015-05-27$14.05$15.0058.8%16.8%0.0%0.0%59.0%1.1%-1.7%45.3K386.5K-19.4K0.5168.79N/AN/A41020811,0145,432
2015-05-28$14.04$15.0056.6%16.2%0.0%0.0%56.1%-3.0%-1.9%44.3K380.8K-18.7K0.5518.11N/AN/A32718011,1225,454
2015-05-29$13.85$15.0057.4%16.5%0.0%0.0%64.8%-1.7%-3.1%37.7K745.0K-17.9K1.1518.25N/AN/A48055411,1365,484