TRUE Options History — August 2016

In August 2016, TRUE traded between $9.11 and $10.91. ATM implied volatility averaged 62.5%. The 30-day expected move averaged 17.7%. Max pain ranged from $7.50 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.51.

Notable Days

  • 2016-08-10: Highest Volume — 11,884 contracts
  • 2016-08-09: Largest IV drop — 33.8% change
  • 2016-08-01: Largest Expected Move — 24.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.27$9.11$10.91$9.75$9.61
Max Pain$9.78$7.50$12.50$7.50$10.00
ATM IV62.5%49.8%86.9%86.0%53.4%
Expected Move17.7%14.3%24.6%24.6%15.3%
Term Structure-1.7%-15.5%7.6%-15.5%1.0%
VWIV58.3%41.6%90.8%81.1%56.3%
Skew 25d5.3%-14.2%14.7%10.5%6.7%
Skew 10d11.6%-23.3%43.0%43.0%10.6%
Call IV 25d56.6%39.3%70.8%70.8%51.9%
Put IV 25d61.9%44.0%81.3%81.3%58.6%
Bid-Ask Spread %73.1327.4397.4051.5343.35
Gamma HHI0.640.470.940.770.47
Net GEX188.7K25.0K281.6K25.0K271.9K
Net DEX-7.8M-12.6M-1.9M-1.9M-7.5M
Net VEX-35.5K-54.6K-4.2K-4.2K-46.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.087.650.570.44
Total Volume2,199.0433611,8841,8872,457
Total OI19,390.2615,54427,6555,54427,655

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$9.75$7.5086.0%24.6%0.0%0.0%81.1%10.5%-15.5%25.0K-1.9M-4.2K0.5751.53N/AN/A1,2046833,8231,721
2016-08-02$9.11$7.5083.0%23.8%0.0%0.0%84.0%11.4%-12.3%31.0K-1.9M-6.0K0.6155.23N/AN/A1,0426394,6211,773
2016-08-03$9.26$7.5084.1%24.1%0.0%0.0%90.8%11.2%-13.3%34.1K-1.9M-5.9K0.6727.43N/AN/A9836564,6991,800
2016-08-04$9.90$12.5086.9%20.5%0.0%0.0%69.2%9.6%-2.4%39.4K-2.5M-5.7K0.5456.91N/AN/A1,6348824,7011,820
2016-08-05$10.22$10.0065.1%18.3%0.0%0.0%50.0%10.4%-3.9%77.6K-3.5M-7.2K2.9376.22N/AN/A2898475,8301,976
2016-08-08$10.69$10.0079.3%19.1%0.0%0.0%61.5%12.2%-3.2%48.7K-4.6M-5.5K0.5988.35N/AN/A1,3738125,8141,999
2016-08-09$10.91$10.0052.5%18.2%0.0%0.0%60.2%7.0%-3.5%78.4K-4.5M-5.9K0.1887.00N/AN/A5,1869205,8161,999
2016-08-10$10.90$10.0060.3%17.3%0.0%0.0%50.6%14.7%-1.3%147.2K-7.3M-23.9K0.0884.22N/AN/A11,01487012,2192,212
2016-08-11$10.85$10.0058.6%16.8%0.0%0.0%41.6%4.2%2.0%262.4K-11.8M-54.2K3.6386.62N/AN/A24087022,6882,468
2016-08-12$10.72$10.0056.8%16.3%0.0%0.0%54.5%3.3%0.9%262.2K-11.6M-54.6K0.7288.41N/AN/A1,13882222,6982,468
2016-08-15$10.87$10.0060.1%17.2%0.0%0.0%52.6%5.0%-1.1%281.6K-12.6M-54.2K2.4984.76N/AN/A32681223,7022,473
2016-08-16$10.81$10.0057.6%16.5%0.0%0.0%44.1%2.8%1.0%279.6K-12.6M-53.9K7.6587.66N/AN/A10882623,8522,473
2016-08-17$10.81$10.0058.6%16.8%0.0%0.0%57.6%7.9%-0.5%266.1K-12.3M-53.3K0.1991.04N/AN/A571123,7572,493
2016-08-18$10.70$10.0056.7%16.3%0.0%0.0%53.0%5.9%1.7%247.7K-12.3M-51.9K0.1691.66N/AN/A1252023,7602,502
2016-08-19$10.77$10.0058.6%16.8%0.0%0.0%49.5%5.2%-0.6%242.9K-12.4M-52.8K3.6797.40N/AN/A23084423,6632,522
2016-08-22$10.57$10.0055.7%16.0%0.0%0.0%56.8%-4.5%1.3%254.0K-9.2M-49.4K4.0186.69N/AN/A20682621,8241,754
2016-08-23$10.83$10.0051.2%14.7%0.0%0.0%45.2%11.9%7.1%256.2K-10.5M-51.8K3.2783.31N/AN/A20868021,8591,753
2016-08-24$10.62$10.0049.8%14.3%0.0%0.0%47.0%-0.9%7.6%257.9K-10.0M-50.4K0.5776.41N/AN/A231321,8731,753
2016-08-25$9.71$10.0052.1%14.9%0.0%0.0%52.4%-14.2%1.1%223.0K-6.7M-44.2K0.5668.22N/AN/A1,20567721,7671,756
2016-08-26$9.28$10.0056.7%16.3%0.0%0.0%63.3%-12.1%-0.7%215.1K-5.7M-38.6K0.2560.65N/AN/A3,09776722,7061,772
2016-08-29$9.54$10.0057.4%16.5%0.0%0.0%62.0%3.4%-2.4%257.6K-7.2M-46.2K0.4445.95N/AN/A1,71975525,7131,842
2016-08-30$9.73$10.0056.2%16.1%0.0%0.0%57.5%9.5%-1.8%280.3K-8.3M-50.1K0.4462.85N/AN/A1,72775525,7711,836
2016-08-31$9.61$10.0053.4%15.3%0.0%0.0%56.3%6.7%1.0%271.9K-7.5M-46.3K0.4443.35N/AN/A1,70275525,8191,836