TRUE Options History — November 2016

In November 2016, TRUE traded between $9.22 and $12.71. ATM implied volatility averaged 53.6%. The 30-day expected move averaged 15.2%. Max pain ranged from $7.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2016-11-22: Highest Volume — 15,229 contracts
  • 2016-11-07: Largest IV drop — 26.0% change
  • 2016-11-01: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.63$9.22$12.71$9.80$12.41
Max Pain$10.12$7.50$12.50$7.50$12.50
ATM IV53.6%44.5%78.4%78.4%47.9%
Expected Move15.2%12.8%22.5%22.5%13.7%
Term Structure-3.1%-17.2%2.7%-17.2%-2.8%
VWIV54.8%44.6%89.4%89.4%54.4%
Skew 25d10.6%1.7%33.7%8.3%19.1%
Skew 10d24.3%-2.1%57.5%20.2%30.4%
Call IV 25d51.1%41.5%69.7%64.4%41.9%
Put IV 25d61.6%51.0%103.3%72.7%61.0%
Bid-Ask Spread %62.1914.1790.7667.3214.35
Gamma HHI0.610.470.710.510.71
Net GEX552.8K222.5K832.0K279.3K832.0K
Net DEX-20.3M-33.1M-4.7M-7.0M-31.5M
Net VEX-55.6K-91.0K-24.8K-33.6K-87.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.021.280.031.08
Total Volume2,158.33348715,2294,319642
Total OI34,946.28626,21747,46026,21747,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$9.80$7.5078.4%22.5%0.0%0.0%89.4%8.3%-17.2%279.3K-7.0M-33.6K0.0367.32N/AN/A4,17914025,557660
2016-11-02$9.52$7.5077.0%22.1%0.0%0.0%82.6%33.7%-12.0%251.3K-6.3M-30.8K0.0886.15N/AN/A1,77214025,563660
2016-11-03$9.22$10.0073.2%18.2%0.0%0.0%64.9%9.8%-4.8%222.5K-4.7M-24.8K0.0578.29N/AN/A2,26811425,667660
2016-11-04$10.57$10.0067.4%17.5%0.0%0.0%53.6%16.6%-4.9%405.4K-8.7M-32.6K1.2470.99N/AN/A69485926,048679
2016-11-07$10.99$10.0049.9%15.1%0.0%0.0%53.0%8.2%-0.6%411.2K-12.3M-43.5K0.5472.43N/AN/A1,9211,02926,5581,446
2016-11-08$11.17$10.0054.3%15.5%0.0%0.0%53.4%10.6%-4.0%434.7K-14.0M-46.2K1.2777.97N/AN/A35745427,7851,769
2016-11-09$11.00$10.0054.5%15.6%0.0%0.0%52.9%4.8%-3.4%448.4K-12.6M-44.1K0.6480.79N/AN/A38524827,9291,819
2016-11-10$11.24$10.0057.4%16.5%0.0%0.0%56.6%6.9%-2.4%450.9K-14.4M-44.7K0.1681.49N/AN/A1,84929427,9851,829
2016-11-11$11.87$10.0047.9%13.7%0.0%0.0%45.1%6.7%-1.9%535.6K-17.9M-50.0K0.3890.76N/AN/A1,41254229,0971,874
2016-11-14$11.72$10.0051.3%14.7%0.0%0.0%54.2%3.4%-1.8%517.1K-17.9M-50.4K0.1080.10N/AN/A2,69926929,8862,230
2016-11-15$12.10$10.0047.6%13.7%0.0%0.0%56.6%6.8%-1.7%571.7K-23.3M-55.1K0.2236.31N/AN/A1,73037432,8542,351
2016-11-16$12.46$10.0047.3%13.6%0.0%0.0%55.1%6.6%0.0%591.2K-26.5M-55.5K1.1846.48N/AN/A33339433,9562,568
2016-11-17$12.59$10.0048.7%14.0%0.0%0.0%49.1%9.1%-1.3%569.8K-26.0M-55.0K0.5853.54N/AN/A58734033,1652,705
2016-11-18$12.60$10.0045.0%12.9%0.0%0.0%46.0%10.8%2.7%571.9K-26.5M-54.7K0.6631.24N/AN/A53635333,3072,776
2016-11-21$12.71$10.0047.1%13.5%0.0%0.0%47.5%9.5%-1.4%603.4K-25.1M-52.5K0.3655.92N/AN/A54019531,5182,620
2016-11-22$12.60$10.0045.7%13.1%0.0%0.0%45.9%5.6%-2.5%623.4K-24.6M-50.8K0.0279.92N/AN/A14,91431531,4212,711
2016-11-23$12.62$10.0044.5%12.8%0.0%0.0%44.6%6.4%1.2%817.5K-33.1M-91.0K1.0982.24N/AN/A24526744,2162,839
2016-11-25$12.57$10.0046.7%13.4%0.0%0.0%46.7%21.8%-1.8%825.0K-32.8M-90.5K1.2858.75N/AN/A21427344,3292,894
2016-11-28$12.39$12.5046.3%13.3%0.0%0.0%47.2%15.5%-3.0%829.4K-31.6M-88.2K0.8446.77N/AN/A29824944,3292,929
2016-11-29$12.17$12.5047.6%13.6%0.0%0.0%51.1%1.7%-2.6%817.5K-29.5M-86.7K0.4714.17N/AN/A61528644,2882,935
2016-11-30$12.41$12.5047.9%13.7%0.0%0.0%54.4%19.1%-2.8%832.0K-31.5M-87.4K1.0814.35N/AN/A30933344,4942,966