TRUE Options History — June 2015

In June 2015, TRUE traded between $11.95 and $13.97. ATM implied volatility averaged 56.5%. The 30-day expected move averaged 16.3%. Max pain ranged from $12.50 to $17.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2015-06-18: Highest Volume — 2,388 contracts
  • 2015-06-08: Largest IV spike — 23.0% change
  • 2015-06-01: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.91$11.95$13.97$13.73$12.00
Max Pain$15.00$12.50$17.50$15.00$15.00
ATM IV56.5%47.9%62.0%61.3%59.5%
Expected Move16.3%15.3%17.6%17.6%17.1%
Term Structure2.7%-0.9%5.9%-0.9%1.3%
VWIV56.4%48.0%61.2%61.2%57.8%
Skew 25d0.4%-22.8%62.7%-1.4%-21.4%
Skew 10d4.6%-22.8%97.6%-17.4%-2.0%
Call IV 25d58.7%50.1%65.3%63.6%65.3%
Put IV 25d59.2%42.2%118.8%62.2%43.9%
Bid-Ask Spread %28.1611.6165.8432.9965.84
Gamma HHI0.370.230.720.270.26
Net GEX-11.2K-86.9K45.1K30.6K-7.0K
Net DEX2.0M407.4K3.5M838.0K2.7M
Net VEX-14.5K-17.6K-12.4K-17.3K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.501.780.771.22
Total Volume1,364.3643892,3881,434972
Total OI17,809.27315,15920,62517,06516,487

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$13.73$15.0061.3%17.6%0.0%0.0%61.2%-1.4%-0.9%30.6K838.0K-17.3K0.7732.99N/AN/A80862611,2495,816
2015-06-02$13.97$12.5055.7%16.0%0.0%0.0%55.7%6.9%0.5%39.8K1.0M-17.3K0.6332.95N/AN/A23915011,3635,898
2015-06-03$13.97$12.5056.3%16.1%0.0%0.0%48.0%7.3%0.7%45.1K847.3K-17.6K0.6331.28N/AN/A93158711,4645,958
2015-06-04$13.52$17.5053.0%16.5%0.0%0.0%57.2%0.7%1.2%18.3K1.2M-14.8K1.2124.06N/AN/A43152112,0165,971
2015-06-05$13.59$17.5047.9%16.8%0.0%0.0%55.6%4.0%1.9%29.8K1.2M-15.1K1.2334.81N/AN/A61475512,0136,015
2015-06-08$13.00$15.0058.9%16.5%0.0%0.0%59.4%0.2%1.3%-6.0K2.0M-13.6K1.2517.55N/AN/A62177412,1296,030
2015-06-09$13.18$15.0062.0%16.7%0.0%0.0%57.7%5.3%2.0%-31.6K2.1M-14.2K1.7824.63N/AN/A41573712,0556,567
2015-06-10$12.77$15.0055.8%16.0%0.0%0.0%56.2%0.6%4.6%-54.4K2.7M-13.6K1.1222.86N/AN/A57964912,0776,437
2015-06-11$12.46$15.0056.0%16.1%0.0%0.0%59.1%2.0%3.9%-60.2K3.3M-12.4K0.7823.24N/AN/A1,3111,02212,1256,460
2015-06-12$12.41$15.0056.0%16.1%0.0%0.0%55.7%1.5%5.5%-47.4K3.0M-12.5K0.7920.08N/AN/A1,23797212,6446,454
2015-06-15$12.64$15.0058.0%16.6%0.0%0.0%58.2%2.7%3.2%-86.9K2.7M-13.0K0.7617.23N/AN/A1,08081912,6386,710
2015-06-16$12.39$15.0057.8%16.6%0.0%0.0%57.8%-0.6%3.0%-81.3K3.0M-13.1K0.6318.31N/AN/A1,21876212,8526,833
2015-06-17$12.19$15.0056.8%16.3%0.0%0.0%54.5%0.8%2.4%-77.6K3.5M-13.2K1.1727.07N/AN/A76188913,1306,997
2015-06-18$13.51$15.0058.1%16.7%0.0%0.0%58.0%6.5%2.5%11.0K407.4K-13.7K0.6741.24N/AN/A1,43495413,1506,920
2015-06-19$13.00$15.0055.3%15.8%0.0%0.0%56.8%-10.0%2.3%19.5K560.8K-15.4K0.7438.05N/AN/A69451713,4287,197
2015-06-22$12.91$15.0056.5%16.2%0.0%0.0%56.9%-8.0%2.6%1.8K1.9M-14.1K0.5025.56N/AN/A94647710,0725,087
2015-06-23$12.95$15.0055.4%15.9%0.0%0.0%55.9%-7.8%3.2%3.6K1.9M-14.5K0.7317.39N/AN/A59042810,4465,203
2015-06-24$12.83$15.0053.4%15.3%0.0%0.0%54.6%-10.5%4.4%6762.0M-14.6K0.6929.01N/AN/A52236110,5055,275
2015-06-25$12.62$15.0053.8%15.4%0.0%0.0%53.9%62.7%5.9%11.4K1.9M-15.6K0.6717.03N/AN/A52935710,6065,361
2015-06-26$12.49$15.0055.4%15.9%0.0%0.0%53.0%-8.9%4.3%-1.7K2.2M-14.6K0.7211.61N/AN/A44631910,6765,383
2015-06-29$11.95$15.0059.8%17.1%0.0%0.0%57.9%-22.8%3.5%-4.8K2.6M-13.7K1.5846.80N/AN/A37358910,7045,403
2015-06-30$12.00$15.0059.5%17.1%0.0%0.0%57.8%-21.4%1.3%-7.0K2.7M-14.5K1.2265.84N/AN/A43753510,7525,735