TRUE Options History — September 2016

In September 2016, TRUE traded between $8.37 and $9.90. ATM implied volatility averaged 58.8%. The 30-day expected move averaged 16.2%. Max pain ranged from $5.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2016-09-19: Highest Volume — 2,857 contracts
  • 2016-09-12: Largest IV spike — 94.2% change
  • 2016-09-12: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.02$8.37$9.90$9.90$9.41
Max Pain$5.48$5.00$10.00$10.00$5.00
ATM IV58.8%44.2%112.4%56.6%54.1%
Expected Move16.2%12.7%19.0%16.2%15.5%
Term Structure6.4%-3.6%22.3%-1.5%8.7%
VWIV60.6%51.0%75.7%59.1%55.2%
Skew 25d12.0%-16.4%82.8%10.8%82.8%
Skew 10d25.5%-7.3%96.9%17.3%96.9%
Call IV 25d56.7%51.2%62.2%51.8%60.8%
Put IV 25d68.7%42.9%143.6%62.6%143.6%
Bid-Ask Spread %66.5023.31101.2154.1131.64
Gamma HHI0.530.470.630.480.51
Net GEX196.6K127.3K292.0K290.9K221.4K
Net DEX-5.1M-8.2M-2.4M-8.2M-6.4M
Net VEX-32.7K-47.8K-23.3K-47.8K-33.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.060.450.440.12
Total Volume2,321.3811,8082,8572,4581,808
Total OI26,817.71424,35827,81427,65526,493

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$9.90$10.0056.6%16.2%0.0%0.0%59.1%10.8%-1.5%290.9K-8.2M-47.8K0.4454.11N/AN/A1,70475425,8191,836
2016-09-02$9.68$10.0050.7%14.5%0.0%0.0%51.4%-2.9%1.3%292.0K-7.8M-46.6K0.4226.26N/AN/A1,80575425,8211,839
2016-09-06$9.52$5.0052.5%15.8%0.0%0.0%57.9%-16.4%6.2%283.3K-7.2M-45.0K0.4171.00N/AN/A1,83475425,9241,839
2016-09-07$9.32$5.0058.6%16.0%0.0%0.0%57.1%3.5%4.7%260.9K-6.2M-41.1K0.4462.02N/AN/A1,70475125,9091,839
2016-09-08$9.25$5.0046.9%16.4%0.0%0.0%61.7%4.3%3.3%263.4K-5.7M-38.0K0.4467.72N/AN/A1,69174925,9751,839
2016-09-09$8.89$5.0046.5%16.9%0.0%0.0%51.0%13.6%2.0%199.6K-4.5M-34.5K0.4469.33N/AN/A1,67974025,9771,826
2016-09-12$8.57$5.0090.3%19.0%0.0%0.0%61.5%1.3%-3.6%130.3K-2.9M-27.1K0.4352.46N/AN/A1,71673225,9771,826
2016-09-13$8.51$5.00112.4%18.5%0.0%0.0%60.1%4.5%-0.3%129.9K-2.4M-23.3K0.4325.33N/AN/A1,71674625,9421,719
2016-09-14$8.53$5.0063.6%18.2%0.0%0.0%59.5%4.7%3.7%135.4K-2.6M-23.7K0.4328.01N/AN/A1,69873725,9421,718
2016-09-15$8.47$5.0065.6%18.8%0.0%0.0%59.4%4.7%-3.6%134.1K-3.0M-26.2K0.4587.33N/AN/A1,66774225,9511,685
2016-09-16$8.37$5.0063.1%18.1%0.0%0.0%56.2%7.2%2.9%127.3K-2.5M-24.0K0.4590.11N/AN/A1,66774226,0031,681
2016-09-19$8.81$5.0044.2%12.7%0.0%0.0%64.5%13.5%21.9%155.1K-3.7M-26.9K0.0623.31N/AN/A2,70615123,1571,201
2016-09-20$8.69$5.0059.8%17.1%0.0%0.0%63.9%4.9%22.3%158.8K-4.3M-27.6K0.1053.46N/AN/A1,80718624,2861,207
2016-09-21$8.82$5.0052.3%15.0%0.0%0.0%60.4%10.0%10.7%170.0K-4.7M-28.1K0.1299.69N/AN/A1,63519124,4911,237
2016-09-22$9.03$5.0050.0%14.3%0.0%0.0%57.1%9.9%10.2%187.6K-5.4M-31.7K0.1088.61N/AN/A1,92618924,4941,218
2016-09-23$9.00$5.0053.4%15.3%0.0%0.0%68.6%15.4%8.4%185.4K-5.1M-29.2K0.10101.21N/AN/A1,92618924,8061,222
2016-09-26$8.88$5.0058.2%16.7%0.0%0.0%64.4%10.6%5.9%178.6K-5.3M-30.7K0.1087.97N/AN/A1,92118924,8061,222
2016-09-27$9.05$5.0049.9%14.3%0.0%0.0%55.3%16.8%12.4%192.4K-6.0M-33.6K0.0993.79N/AN/A2,04618924,8061,222
2016-09-28$9.29$5.0052.1%14.9%0.0%0.0%71.9%23.7%10.8%212.8K-6.4M-33.4K0.0992.78N/AN/A2,17318924,8561,222
2016-09-29$9.36$5.0053.3%15.3%0.0%0.0%75.7%28.6%9.1%219.7K-6.5M-34.0K0.0990.29N/AN/A2,05718925,1171,222
2016-09-30$9.41$5.0054.1%15.5%0.0%0.0%55.2%82.8%8.7%221.4K-6.4M-33.3K0.1231.64N/AN/A1,61918925,2711,222