TRUE Options History — September 2015 In September 2015, TRUE traded between $5.04 and $6.43. ATM implied volatility averaged 88.4%. The 30-day expected move averaged 25.4%. Max pain ranged from $5.00 to $12.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.77.
Notable Days 2015-09-25 : Highest Volume — 1,122 contracts2015-09-02 : Largest IV drop — 29.6% change2015-09-01 : Largest Expected Move — 33.2%Monthly Statistics Metric Avg Min Max Open Close Price $5.77 $5.04 $6.43 $5.60 $5.20 Max Pain $11.79 $5.00 $12.50 $5.00 $12.50 ATM IV 88.4% 68.6% 115.6% 115.6% 92.9% Expected Move 25.4% 19.7% 33.2% 33.2% 26.6% Term Structure 8.0% -40.3% 58.2% -40.3% 3.4% VWIV 87.0% 64.3% 99.8% 97.4% 91.6% Skew 25d 13.0% -21.8% 38.8% -21.8% 38.8% Skew 10d 35.0% -8.8% 60.7% 22.8% 60.6% Call IV 25d 87.0% 65.5% 178.7% 116.4% 73.0% Put IV 25d 100.0% 87.5% 173.6% 94.6% 111.8% Bid-Ask Spread % 23.08 9.17 64.09 64.09 12.01 Gamma HHI 0.40 0.32 0.48 0.48 0.39 Net GEX 2.0K -283 3.6K 2.0K 212 Net DEX 949.8K 789.7K 1.1M 911.5K 1.1M Net VEX -3.5K -4.3K -2.7K -3.8K -2.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.38 1.80 0.56 1.37 Total Volume 683.714 61 1,122 726 743 Total OI 8,327.286 7,314 8,757 8,750 8,333
Daily Data (21 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 2015-09-01 $5.60 $5.00 115.6% 33.2% 0.0% 0.0% 97.4% -21.8% -40.3% 2.0K 911.5K -3.8K 0.56 64.09 N/A N/A 464 262 5,270 3,480 2015-09-02 $5.99 $5.00 81.4% 23.3% 0.0% 0.0% 64.3% -5.1% 35.8% 1.4K 789.7K -4.3K 0.62 18.82 N/A N/A 455 282 5,277 3,480 2015-09-03 $6.09 $12.50 104.1% 26.2% 0.0% 0.0% 91.1% 4.9% 10.0% 3.6K 851.1K -4.1K 0.64 27.10 N/A N/A 419 269 5,248 3,450 2015-09-04 $6.05 $12.50 88.0% 25.7% 0.0% 0.0% 90.9% 5.5% 15.7% 3.4K 873.5K -3.8K 0.71 62.52 N/A N/A 398 281 5,274 3,432 2015-09-08 $5.83 $12.50 80.8% 27.3% 0.0% 0.0% 93.1% 5.7% 6.0% 1.8K 813.6K -4.0K 0.52 13.51 N/A N/A 42 22 5,282 3,450 2015-09-09 $5.84 $12.50 96.5% 27.7% 0.0% 0.0% 91.1% 9.6% 5.0% 2.1K 919.4K -3.5K 0.44 25.42 N/A N/A 557 244 5,272 3,461 2015-09-10 $6.00 $12.50 82.9% 23.8% 0.0% 0.0% 93.6% 15.7% 19.5% 1.8K 874.3K -3.9K 0.41 15.70 N/A N/A 564 231 5,273 3,461 2015-09-11 $5.89 $12.50 94.0% 27.0% 0.0% 0.0% 87.9% 5.5% 0.2% 2.4K 943.2K -3.5K 0.39 46.47 N/A N/A 564 222 5,223 3,471 2015-09-14 $5.75 $12.50 94.3% 27.0% 0.0% 0.0% 73.2% -12.9% 4.0% 772 911.9K -3.0K 0.38 18.59 N/A N/A 564 217 5,223 3,472 2015-09-15 $6.00 $12.50 76.4% 21.9% 0.0% 0.0% 67.8% 16.0% 25.1% 2.4K 896.5K -3.7K 0.56 20.15 N/A N/A 39 22 5,223 3,474 2015-09-16 $5.96 $12.50 78.0% 22.4% 0.0% 0.0% 89.4% 10.5% 22.9% 2.2K 986.1K -3.6K 0.45 19.09 N/A N/A 486 221 5,079 3,492 2015-09-17 $6.35 $12.50 75.9% 21.8% 0.0% 0.0% 92.4% 26.3% 3.0% 2.4K 971.4K -3.9K 0.46 18.37 N/A N/A 518 240 5,089 3,492 2015-09-18 $6.43 $12.50 77.2% 22.1% 0.0% 0.0% 82.9% 26.7% -2.4% 2.5K 990.3K -4.0K 0.51 27.67 N/A N/A 497 254 5,086 3,496 2015-09-21 $6.10 $12.50 68.6% 19.7% 0.0% 0.0% 67.9% 1.7% 58.2% 2.8K 957.0K -3.8K 0.55 21.08 N/A N/A 345 191 4,278 3,099 2015-09-22 $5.64 $12.50 87.6% 25.1% 0.0% 0.0% 85.2% -1.9% 5.3% 2.4K 1.0M -3.0K 0.66 18.71 N/A N/A 345 227 4,295 3,125 2015-09-23 $5.51 $12.50 86.8% 24.9% 0.0% 0.0% 86.1% 19.8% 2.6% 2.3K 1.0M -2.9K 1.37 9.90 N/A N/A 291 398 4,307 3,007 2015-09-24 $5.53 $12.50 90.4% 25.9% 0.0% 0.0% 89.4% 25.7% 4.0% -283 1.1M -2.9K 1.37 9.17 N/A N/A 291 400 4,310 3,349 2015-09-25 $5.10 $12.50 84.8% 24.3% 0.0% 0.0% 94.4% 31.4% 1.5% -58 1.1M -2.7K 0.57 12.32 N/A N/A 713 409 4,310 3,314 2015-09-28 $5.31 $12.50 101.5% 29.1% 0.0% 0.0% 99.8% 37.2% -6.5% 2.7K 998.6K -2.8K 1.80 13.48 N/A N/A 298 536 4,745 3,314 2015-09-29 $5.04 $12.50 98.4% 28.2% 0.0% 0.0% 98.4% 33.4% -6.1% 2.2K 981.5K -2.8K 1.74 10.47 N/A N/A 306 531 4,740 3,417 2015-09-30 $5.20 $12.50 92.9% 26.6% 0.0% 0.0% 91.6% 38.8% 3.4% 212 1.1M -2.7K 1.37 12.01 N/A N/A 314 429 4,746 3,587
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