TRUE Options History — December 2015

In December 2015, TRUE traded between $7.39 and $9.66. ATM implied volatility averaged 78.2%. The 30-day expected move averaged 21.8%. Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.46.

Notable Days

  • 2015-12-10: Highest Volume — 5,530 contracts
  • 2015-12-21: Largest IV drop — 19.3% change
  • 2015-12-01: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.47$7.39$9.66$7.75$9.49
Max Pain$9.77$7.50$10.00$7.50$10.00
ATM IV78.2%66.2%95.9%86.8%70.6%
Expected Move21.8%19.0%24.9%24.9%20.3%
Term Structure5.1%-9.0%46.3%-9.0%9.7%
VWIV75.2%64.3%86.9%86.9%73.3%
Skew 25d6.8%-15.7%26.5%-9.4%23.0%
Skew 10d17.4%-15.5%75.4%-13.4%36.2%
Call IV 25d71.8%54.3%81.1%79.4%63.1%
Put IV 25d78.7%64.7%96.0%70.1%86.1%
Bid-Ask Spread %48.2019.9982.6422.8874.53
Gamma HHI0.590.430.810.470.80
Net GEX16.1K-2.7K39.7K4.4K24.1K
Net DEX139.9K-1.4M2.5M2.0M-780.6K
Net VEX-8.4K-15.6K-3.7K-15.1K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.0514.070.360.71
Total Volume858.0912275,530560291
Total OI11,253.0916,55415,86815,5837,444

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$7.75$7.5086.8%24.9%0.0%0.0%86.9%-9.4%-9.0%4.4K2.0M-15.1K0.3622.88N/AN/A4111497,0738,510
2015-12-02$7.89$7.5084.3%24.2%0.0%0.0%84.5%8.7%-4.2%2.3K1.6M-15.6K0.7038.78N/AN/A5303736,9378,514
2015-12-03$7.39$10.0085.9%22.1%0.0%0.0%69.9%-15.7%-0.4%-1.4K2.5M-13.6K1.6150.11N/AN/A2323736,9278,512
2015-12-04$7.88$10.0087.5%21.3%0.0%0.0%74.1%8.6%2.7%7.7K1.5M-15.2K0.8427.66N/AN/A2462077,1798,505
2015-12-07$7.63$10.0087.8%21.8%0.0%0.0%75.0%-7.7%3.7%5.9K2.1M-14.0K0.0536.64N/AN/A217107,2228,510
2015-12-08$7.82$10.0095.9%22.8%0.0%0.0%77.8%-2.2%3.2%5.0K2.0M-13.7K0.5235.32N/AN/A3972057,1048,520
2015-12-09$7.81$10.0079.2%22.7%0.0%0.0%77.3%-4.4%1.7%6.3K1.9M-13.6K0.4933.48N/AN/A3881927,1358,536
2015-12-10$8.04$10.0080.8%23.2%0.0%0.0%78.9%-1.1%2.0%-2.7K949.0K-13.2K14.0733.38N/AN/A3675,1637,3348,534
2015-12-11$7.87$10.0081.2%23.3%0.0%0.0%78.7%0.4%-3.5%39.7K-649.4K-5.2K1.0982.57N/AN/A2763027,3503,798
2015-12-14$8.03$10.0081.7%23.4%0.0%0.0%77.3%3.1%-0.1%36.0K-830.9K-4.6K0.5679.75N/AN/A5453067,3623,931
2015-12-15$8.20$10.0080.0%22.9%0.0%0.0%79.8%21.1%-0.6%24.0K-1.3M-3.7K2.8281.37N/AN/A2627387,0883,936
2015-12-16$8.48$10.0074.8%21.5%0.0%0.0%72.6%2.8%6.1%20.6K-1.4M-4.0K0.7481.82N/AN/A5303917,0684,366
2015-12-17$8.41$10.0079.3%22.7%0.0%0.0%77.5%3.5%0.3%17.9K-1.1M-4.3K0.5182.64N/AN/A7653916,7884,477
2015-12-18$8.34$10.0082.1%23.5%0.0%0.0%80.6%6.0%-0.2%13.4K-1.0M-4.0K0.6278.14N/AN/A6303916,4594,477
2015-12-21$8.78$10.0066.3%19.0%0.0%0.0%72.4%1.5%46.3%14.9K-202.9K-5.5K0.6624.83N/AN/A2181433,7312,823
2015-12-22$8.92$10.0066.2%19.0%0.0%0.0%65.8%15.8%7.5%17.6K-357.5K-5.5K0.7058.48N/AN/A1991403,7552,818
2015-12-23$9.43$10.0066.5%19.1%0.0%0.0%67.4%17.4%12.0%21.9K-705.9K-5.7K0.3625.29N/AN/A4001453,7702,818
2015-12-24$9.66$10.0066.4%19.0%0.0%0.0%64.3%24.3%12.3%26.2K-950.5K-5.8K0.6922.43N/AN/A2952053,9022,841
2015-12-28$9.28$10.0071.8%20.6%0.0%0.0%72.0%5.0%7.7%21.7K-520.8K-5.4K2.3139.19N/AN/A3447943,8582,845
2015-12-29$9.63$10.0070.8%20.3%0.0%0.0%71.7%23.1%10.0%23.9K-805.7K-5.7K1.0931.14N/AN/A1801973,9533,458
2015-12-30$9.64$10.0074.3%21.3%0.0%0.0%76.6%26.5%5.1%23.9K-912.9K-5.6K0.6519.99N/AN/A2061343,9523,448
2015-12-31$9.49$10.0070.6%20.3%0.0%0.0%73.3%23.0%9.7%24.1K-780.6K-5.4K0.7174.53N/AN/A1701213,9863,458