TRUE Options History — January 2016

In January 2016, TRUE traded between $5.87 and $9.13. ATM implied volatility averaged 91.5%. The 30-day expected move averaged 27.4%. Max pain ranged from $7.50 to $10.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.23.

Notable Days

  • 2016-01-26: Highest Volume — 924 contracts
  • 2016-01-12: Largest IV spike — 54.4% change
  • 2016-01-19: Largest Expected Move — 32.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.95$5.87$9.13$9.13$6.48
Max Pain$8.42$7.50$10.00$10.00$7.50
ATM IV91.5%60.9%113.4%89.8%93.0%
Expected Move27.4%22.6%32.5%22.6%26.7%
Term Structure-8.7%-29.3%21.7%-0.5%-12.1%
VWIV92.0%73.5%102.7%89.4%94.1%
Skew 25d12.7%-19.0%38.4%11.3%-19.0%
Skew 10d34.5%8.3%65.0%34.0%36.1%
Call IV 25d88.0%58.9%102.6%81.9%85.8%
Put IV 25d100.8%66.8%112.3%93.2%66.8%
Bid-Ask Spread %51.2131.7776.6276.6252.74
Gamma HHI0.530.250.850.730.59
Net GEX-321-16.9K18.7K18.7K4.6K
Net DEX539.6K-286.5K1.6M-286.5K100.2K
Net VEX-2.5K-4.8K-1.4K-4.8K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.003.980.620.00
Total Volume478.3688192446381
Total OI5,333.4212,4047,9277,4773,242

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$9.13$10.0089.8%22.6%0.0%0.0%89.4%11.3%-0.5%18.7K-286.5K-4.8K0.6276.62N/AN/A2861774,0193,458
2016-01-05$8.72$10.0060.9%25.4%0.0%0.0%84.7%2.3%-10.5%18.1K-54.8K-4.6K0.2161.44N/AN/A454974,1583,529
2016-01-06$8.37$10.0063.7%25.8%0.0%0.0%89.3%9.9%-8.6%-2.8K140.2K-2.9K0.3864.98N/AN/A252974,1193,530
2016-01-07$7.66$10.0079.5%25.8%0.0%0.0%91.2%6.5%-7.9%-10.0K717.2K-3.2K0.7363.57N/AN/A2301684,0933,523
2016-01-08$7.59$10.0077.5%25.6%0.0%0.0%87.5%16.9%-14.8%-11.7K875.3K-3.2K1.3146.79N/AN/A2403154,0683,552
2016-01-11$7.15$10.0064.9%27.4%0.0%0.0%97.6%16.2%-11.6%-16.9K926.4K-2.8K2.2851.76N/AN/A2305254,0743,470
2016-01-12$7.02$10.00100.2%24.3%0.0%0.0%85.2%8.8%-7.9%-14.2K1.2M-2.7K0.7944.88N/AN/A3052404,0913,713
2016-01-13$6.56$7.50100.4%28.8%0.0%0.0%100.3%14.3%-25.5%821.6M-2.1K0.8361.72N/AN/A3112584,2093,718
2016-01-14$6.88$7.5095.4%27.3%0.0%0.0%98.0%12.4%-16.4%-701.6M-2.1K3.9844.38N/AN/A1817214,2073,635
2016-01-15$6.53$7.50103.3%29.6%0.0%0.0%102.7%5.5%-15.7%-1071.5M-2.1K2.0760.48N/AN/A1974084,2203,593
2016-01-19$6.23$7.50113.4%32.5%0.0%0.0%90.2%26.2%-29.3%-57225.9K-1.8K1.7653.12N/AN/A1011781,1651,239
2016-01-20$5.87$7.50109.4%31.4%0.0%0.0%93.8%7.3%-13.4%-223333.4K-1.5K1.2135.35N/AN/A1471781,1811,245
2016-01-21$6.22$7.50108.2%31.0%0.0%0.0%93.1%11.8%-7.7%-660295.0K-1.6K1.3432.06N/AN/A1331781,2121,246
2016-01-22$6.46$7.5089.5%25.6%0.0%0.0%81.3%25.9%-2.7%447207.5K-2.0K1.8732.63N/AN/A951781,2571,246
2016-01-25$6.19$7.5095.8%27.5%0.0%0.0%73.5%13.0%21.7%-192299.4K-1.6K1.6657.62N/AN/A771281,2641,246
2016-01-26$6.12$7.50102.4%29.4%0.0%0.0%94.8%15.3%17.3%-184349.9K-1.4K0.1631.77N/AN/A7981261,2661,271
2016-01-27$6.49$7.5095.0%27.2%0.0%0.0%100.9%38.4%-10.5%4.6K86.1K-2.2K1.0745.91N/AN/A2382551,7841,271
2016-01-28$6.43$7.5095.5%27.4%0.0%0.0%101.1%19.1%-9.5%4.4K82.4K-2.3K1.0155.23N/AN/A2522541,8211,400
2016-01-29$6.48$7.5093.0%26.7%0.0%0.0%94.1%-19.0%-12.1%4.6K100.2K-2.2K0.0052.74N/AN/A8101,8391,403