TRUE Options History — March 2016

In March 2016, TRUE traded between $5.23 and $6.42. ATM implied volatility averaged 84.2%. The 30-day expected move averaged 24.2%. Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.29.

Notable Days

  • 2016-03-22: Highest Volume — 961 contracts
  • 2016-03-22: Largest IV spike — 22.2% change
  • 2016-03-24: Largest Expected Move — 29.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.82$5.23$6.42$5.66$5.54
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV84.2%68.9%104.4%100.9%86.0%
Expected Move24.2%19.2%29.9%28.9%24.6%
Term Structure3.4%-33.9%36.1%-24.3%12.5%
VWIV80.4%64.4%97.7%97.7%84.8%
Skew 25d15.1%2.5%25.2%15.8%18.9%
Skew 10d39.3%7.9%69.2%56.2%57.8%
Call IV 25d75.0%54.0%82.7%82.7%73.7%
Put IV 25d90.2%77.9%102.8%98.5%92.6%
Bid-Ask Spread %52.5111.00130.0946.8757.60
Gamma HHI0.600.420.890.550.50
Net GEX5.9K2.4K8.3K7.2K2.4K
Net DEX-83.5K-422.1K342.4K-243.3K254.4K
Net VEX-2.1K-2.9K-1.6K-1.7K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.604.390.924.35
Total Volume626.091401961401594
Total OI4,298.0913,9224,8523,9444,852

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$5.66$5.00100.9%28.9%0.0%0.0%97.7%15.8%-24.3%7.2K-243.3K-1.7K0.9246.87N/AN/A2091922,7871,157
2016-03-02$6.01$5.0090.2%25.9%0.0%0.0%76.7%19.2%11.4%6.1K-316.4K-2.3K0.6083.43N/AN/A3201922,7561,166
2016-03-03$5.97$5.0090.8%19.2%0.0%0.0%66.9%13.0%36.1%7.8K-266.7K-1.7K0.8342.45N/AN/A3883222,7561,166
2016-03-04$6.02$5.0085.2%26.7%0.0%0.0%78.8%10.9%-11.0%8.3K-278.9K-1.8K0.6640.12N/AN/A2831862,7941,265
2016-03-07$6.42$5.0068.9%20.4%0.0%0.0%64.4%22.3%3.2%7.8K-422.1K-2.2K1.0443.13N/AN/A2392482,7981,268
2016-03-08$5.94$5.0076.0%27.9%0.0%0.0%84.4%0.0%-22.9%8.0K-288.6K-1.8K1.10130.09N/AN/A2232452,7871,330
2016-03-09$5.69$5.0082.7%23.7%0.0%0.0%75.0%6.8%6.1%6.8K-190.4K-1.6K1.1041.47N/AN/A2232452,7861,335
2016-03-10$5.90$5.0069.9%20.1%0.0%0.0%67.4%6.3%32.2%5.4K-269.0K-2.2K1.1635.97N/AN/A2132482,7861,335
2016-03-11$5.84$5.0082.1%23.5%0.0%0.0%65.3%5.8%0.2%7.2K-222.2K-1.6K1.2737.09N/AN/A2132702,7901,331
2016-03-14$5.98$5.0087.3%25.0%0.0%0.0%77.8%7.1%-1.6%7.7K-258.8K-1.6K1.6017.93N/AN/A2153452,7901,353
2016-03-15$5.79$5.0082.1%23.5%0.0%0.0%80.7%2.5%2.0%7.5K-154.0K-1.6K1.7811.00N/AN/A1943462,7631,455
2016-03-16$5.66$5.0078.1%22.4%0.0%0.0%77.5%23.9%4.7%7.5K-102.3K-1.6K3.8442.77N/AN/A1947442,7671,476
2016-03-17$5.95$5.0071.3%20.5%0.0%0.0%84.4%20.2%16.0%4.3K13.9K-2.2K3.84100.09N/AN/A1957482,7691,974
2016-03-18$6.05$5.0076.8%22.0%0.0%0.0%71.7%14.1%22.0%5.4K-93.6K-2.7K3.1050.50N/AN/A2277042,7731,973
2016-03-21$6.29$5.0075.4%21.6%0.0%0.0%79.9%9.2%2.3%4.2K-110.4K-2.9K2.7955.13N/AN/A2456842,3601,805
2016-03-22$6.12$5.0092.2%26.4%0.0%0.0%83.5%14.0%1.5%4.4K-58.6K-2.4K2.4769.86N/AN/A2776842,4041,805
2016-03-23$5.66$5.0089.4%25.6%0.0%0.0%89.7%19.4%0.4%4.3K25.1K-2.2K2.9951.01N/AN/A1454342,4091,805
2016-03-24$5.35$5.00104.4%29.9%0.0%0.0%95.4%21.4%-33.9%4.5K235.5K-2.4K2.8389.33N/AN/A1504252,4312,055
2016-03-28$5.23$5.0085.5%24.5%0.0%0.0%87.8%25.2%8.4%5.9K264.1K-2.2K3.6025.24N/AN/A1244462,4382,062
2016-03-29$5.39$5.0089.7%25.7%0.0%0.0%91.3%20.0%0.7%4.2K342.4K-2.5K4.0652.61N/AN/A1194832,4482,352
2016-03-30$5.51$5.0087.9%25.2%0.0%0.0%87.9%21.6%7.9%3.6K303.0K-2.6K4.3931.47N/AN/A1104832,4482,398
2016-03-31$5.54$5.0086.0%24.6%0.0%0.0%84.8%18.9%12.5%2.4K254.4K-2.6K4.3557.60N/AN/A1114832,4542,398