TRUE Options History — October 2015

In October 2015, TRUE traded between $5.13 and $6.91. ATM implied volatility averaged 84.2%. The 30-day expected move averaged 24.6%. Max pain ranged from $5.00 to $12.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.55.

Notable Days

  • 2015-10-07: Highest Volume — 1,917 contracts
  • 2015-10-12: Largest IV spike — 149.6% change
  • 2015-10-12: Largest Expected Move — 30.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.22$5.13$6.91$5.13$6.11
Max Pain$5.68$5.00$12.50$12.50$5.00
ATM IV84.2%53.5%144.6%87.3%85.0%
Expected Move24.6%21.9%30.9%25.0%24.4%
Term Structure0.2%-29.5%27.0%6.6%21.4%
VWIV85.4%70.5%108.6%87.3%82.1%
Skew 25d22.3%5.3%74.8%34.3%9.7%
Skew 10d39.4%11.3%96.2%59.9%28.6%
Call IV 25d68.5%48.2%90.0%73.6%78.1%
Put IV 25d90.8%62.7%162.3%107.9%87.8%
Bid-Ask Spread %41.589.2676.8410.2059.14
Gamma HHI0.520.360.620.420.56
Net GEX3.0K-3.2K5.4K-4184.0K
Net DEX628.2K184.6K1.1M1.1M345.7K
Net VEX-3.7K-4.7K-2.5K-2.5K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.551.064.781.542.75
Total Volume941.6362081,917735933
Total OI7,524.9095,2609,7628,4995,550

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$5.13$12.5087.3%25.0%0.0%0.0%87.3%34.3%6.6%-4181.1M-2.5K1.5410.20N/AN/A2894464,7473,752
2015-10-02$5.39$12.5085.2%24.4%0.0%0.0%85.2%16.1%5.2%-3.2K1.0M-3.0K1.559.26N/AN/A2914514,7623,906
2015-10-05$5.91$5.0056.9%24.7%0.0%0.0%86.1%11.5%-5.6%105893.7K-3.4K4.7819.44N/AN/A361724,7884,081
2015-10-06$6.43$5.0053.5%23.1%0.0%0.0%90.9%74.8%-9.6%286910.9K-3.9K1.0632.13N/AN/A2722894,8104,226
2015-10-07$6.91$5.0064.1%23.2%0.0%0.0%83.5%13.6%-3.7%2.9K813.2K-4.3K2.0526.72N/AN/A6281,2894,8534,209
2015-10-08$6.45$5.0081.9%24.0%0.0%0.0%92.3%72.3%3.8%3.4K738.8K-4.7K3.9772.90N/AN/A3231,2825,1564,301
2015-10-09$6.40$5.0058.0%23.4%0.0%0.0%92.1%11.3%-3.3%2.6K875.6K-4.0K2.4476.84N/AN/A3488505,2004,304
2015-10-12$6.11$5.00144.6%30.9%0.0%0.0%108.6%5.3%-29.5%2.4K890.4K-3.6K1.5672.88N/AN/A3425325,2034,317
2015-10-13$6.15$5.00116.0%25.2%0.0%0.0%85.9%7.3%-9.6%2.7K930.3K-3.6K1.6519.15N/AN/A3555875,2004,327
2015-10-14$6.17$5.0095.4%27.4%0.0%0.0%92.6%21.7%5.4%3.0K950.6K-3.6K1.2156.55N/AN/A4855895,2424,390
2015-10-15$6.35$5.0076.3%21.9%0.0%0.0%73.9%30.2%-8.1%3.3K880.1K-4.0K1.0636.06N/AN/A5235555,3724,390
2015-10-16$6.27$5.0080.8%23.2%0.0%0.0%84.8%20.6%-6.8%3.7K854.0K-3.7K1.7450.76N/AN/A3245635,3794,294
2015-10-19$6.26$5.0081.1%23.3%0.0%0.0%88.2%17.2%-2.1%3.6K402.8K-3.8K1.3332.44N/AN/A2273012,8062,738
2015-10-20$6.45$5.0077.5%22.2%0.0%0.0%80.1%32.3%-1.7%3.6K288.4K-4.3K1.4439.56N/AN/A4726802,8812,739
2015-10-21$6.39$5.0083.7%24.0%0.0%0.0%85.6%20.2%-5.2%4.0K235.8K-3.9K4.3929.75N/AN/A1617072,6912,569
2015-10-22$6.54$5.0085.8%24.6%0.0%0.0%87.0%10.4%-8.0%4.4K184.6K-4.1K4.6344.90N/AN/A1537092,7282,589
2015-10-23$6.56$5.0081.6%23.4%0.0%0.0%83.6%10.1%-3.1%4.6K212.7K-3.9K3.5844.14N/AN/A1987092,7232,593
2015-10-26$6.43$5.0085.7%24.6%0.0%0.0%87.4%27.1%-9.4%4.9K241.5K-3.8K4.1246.07N/AN/A1727092,8102,593
2015-10-27$6.15$5.0082.8%23.7%0.0%0.0%76.8%8.5%27.0%4.9K352.8K-2.8K3.0351.17N/AN/A2337072,8442,593
2015-10-28$6.22$5.00104.7%30.0%0.0%0.0%75.3%15.2%15.8%5.3K313.5K-3.4K3.0043.51N/AN/A2336992,8572,593
2015-10-29$6.16$5.0084.2%24.1%0.0%0.0%70.5%20.1%24.6%5.4K336.9K-3.3K3.2941.26N/AN/A2086842,8572,585
2015-10-30$6.11$5.0085.0%24.4%0.0%0.0%82.1%9.7%21.4%4.0K345.7K-2.8K2.7559.14N/AN/A2496842,8702,680