TRUE Options History — October 2016

In October 2016, TRUE traded between $9.14 and $10.45. ATM implied volatility averaged 64.0%. The 30-day expected move averaged 19.1%. Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2016-10-31: Highest Volume — 4,317 contracts
  • 2016-10-12: Largest IV spike — 31.0% change
  • 2016-10-31: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.58$9.14$10.45$9.51$9.69
Max Pain$7.14$5.00$7.50$5.00$7.50
ATM IV64.0%47.8%77.8%53.8%77.8%
Expected Move19.1%14.9%22.3%15.4%22.3%
Term Structure-5.7%-13.9%12.7%11.7%-13.9%
VWIV69.7%52.0%90.0%61.5%83.6%
Skew 25d16.7%4.4%29.8%27.9%4.4%
Skew 10d27.1%-6.2%56.8%56.8%6.0%
Call IV 25d64.3%46.7%83.6%51.7%83.6%
Put IV 25d81.1%65.8%95.2%79.5%88.0%
Bid-Ask Spread %67.6122.9196.5928.4066.07
Gamma HHI0.500.440.630.510.51
Net GEX252.0K224.6K298.4K229.0K270.9K
Net DEX-7.0M-9.2M-5.4M-7.4M-6.8M
Net VEX-32.6K-38.5K-27.5K-36.4K-32.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.031.220.980.03
Total Volume1,382.0953394,3173784,317
Total OI26,555.38123,61127,93926,48326,146

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$9.51$5.0053.8%15.4%0.0%0.0%61.5%27.9%11.7%229.0K-7.4M-36.4K0.9828.40N/AN/A19118725,2611,222
2016-10-04$9.57$5.0052.0%14.9%0.0%0.0%83.3%29.8%12.7%239.9K-7.4M-36.1K1.2222.91N/AN/A15318625,2691,224
2016-10-05$9.44$5.0054.9%15.7%0.0%0.0%63.9%7.3%8.2%239.8K-7.1M-35.0K0.1693.55N/AN/A1,17018625,3091,226
2016-10-06$9.51$7.5054.2%18.1%0.0%0.0%62.6%21.5%-3.6%252.1K-7.4M-34.6K0.1380.57N/AN/A1,17015326,2771,226
2016-10-07$9.26$7.5052.1%19.4%0.0%0.0%66.3%20.7%-7.2%229.3K-6.5M-31.4K0.3474.39N/AN/A46215926,2591,224
2016-10-10$9.36$7.5047.8%18.0%0.0%0.0%60.1%26.6%-6.2%250.4K-7.1M-34.3K0.3572.31N/AN/A45815926,5591,229
2016-10-11$9.16$7.5049.8%18.1%0.0%0.0%65.6%6.4%-3.9%233.8K-6.3M-31.0K0.6965.76N/AN/A25817726,5791,229
2016-10-12$9.20$7.5065.2%18.7%0.0%0.0%59.4%26.7%-8.4%231.3K-6.7M-31.2K0.6844.83N/AN/A26017726,6871,228
2016-10-13$9.22$7.5066.5%19.1%0.0%0.0%60.6%22.3%-6.5%229.4K-6.6M-30.8K0.6944.60N/AN/A25517726,6821,228
2016-10-14$9.14$7.5066.5%19.1%0.0%0.0%69.3%5.1%-8.8%224.6K-6.1M-27.5K0.8787.82N/AN/A20217526,7111,228
2016-10-17$9.23$7.5069.9%20.0%0.0%0.0%65.8%20.9%-8.1%233.7K-6.4M-29.1K0.8584.03N/AN/A20717526,6491,228
2016-10-18$9.44$7.5066.7%19.1%0.0%0.0%86.5%7.6%-7.5%272.2K-7.6M-32.6K0.2046.09N/AN/A79715826,6531,225
2016-10-19$9.54$7.5067.1%19.2%0.0%0.0%52.0%6.1%-9.7%292.9K-7.2M-31.5K0.2350.66N/AN/A69715826,2891,225
2016-10-20$9.59$7.5067.1%19.2%0.0%0.0%54.9%17.9%-9.5%298.0K-7.2M-30.6K0.2284.21N/AN/A71916026,3391,225
2016-10-21$9.82$7.5068.9%19.8%0.0%0.0%90.0%17.9%-10.3%237.6K-7.7M-32.6K0.2696.59N/AN/A67317726,3761,230
2016-10-24$10.45$7.5075.8%21.7%0.0%0.0%75.0%13.3%-10.0%284.0K-9.2M-38.3K0.2164.87N/AN/A84217523,451570
2016-10-25$10.45$7.5070.5%20.2%0.0%0.0%65.3%16.0%-8.4%298.4K-9.0M-38.5K0.1577.89N/AN/A1,37120123,724620
2016-10-26$10.06$7.5074.7%21.4%0.0%0.0%81.9%21.2%-11.3%258.4K-7.1M-35.1K0.0679.35N/AN/A3,63520122,983646
2016-10-27$9.87$7.5070.3%20.2%0.0%0.0%77.8%20.9%-6.8%254.6K-5.4M-28.7K0.0380.39N/AN/A3,64412222,955656
2016-10-28$9.62$7.5073.1%20.9%0.0%0.0%79.3%10.9%-11.5%232.7K-5.4M-27.9K0.0374.48N/AN/A4,14014022,956660
2016-10-31$9.69$7.5077.8%22.3%0.0%0.0%83.6%4.4%-13.9%270.9K-6.8M-32.0K0.0366.07N/AN/A4,17714025,486660