TRUE Options History — December 2016

In December 2016, TRUE traded between $11.98 and $13.01. ATM implied volatility averaged 43.0%. The 30-day expected move averaged 11.8%. Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2016-12-08: Highest Volume — 9,329 contracts
  • 2016-12-12: Largest IV spike — 20.2% change
  • 2016-12-01: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.57$11.98$13.01$11.98$12.43
Max Pain$10.12$10.00$12.50$12.50$10.00
ATM IV43.0%37.5%52.4%49.8%37.5%
Expected Move11.8%10.8%14.3%14.3%10.8%
Term Structure7.8%-4.3%14.5%-4.3%13.3%
VWIV41.7%36.9%57.4%57.4%37.6%
Skew 25d4.0%-4.4%20.2%20.2%1.4%
Skew 10d7.6%-6.4%36.5%36.5%2.5%
Call IV 25d41.4%31.7%48.9%48.9%32.1%
Put IV 25d45.4%33.3%69.0%69.0%33.5%
Bid-Ask Spread %57.9517.3187.5969.6436.98
Gamma HHI0.820.690.890.690.87
Net GEX1.4M798.4K1.8M798.4K1.8M
Net DEX-49.1M-62.9M-27.7M-27.7M-52.5M
Net VEX-133.1K-158.5K-85.7K-85.7K-146.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.041.240.060.18
Total Volume2,805.3812499,3295,778611
Total OI68,942.57147,50778,57747,50778,577

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$11.98$12.5049.8%14.3%0.0%0.0%57.4%20.2%-4.3%798.4K-27.7M-85.7K0.0669.64N/AN/A5,44533344,6162,891
2016-12-02$12.33$10.0047.8%13.7%0.0%0.0%47.5%4.1%-1.9%994.6K-36.7M-111.8K0.0617.31N/AN/A5,44730353,6452,891
2016-12-05$12.44$10.0047.6%12.6%0.0%0.0%44.8%-0.6%6.0%981.6K-35.2M-98.5K0.0780.16N/AN/A4,55531049,6262,899
2016-12-06$12.45$10.0045.4%11.7%0.0%0.0%41.8%5.1%8.7%1.1M-38.1M-104.1K0.4743.23N/AN/A51724553,2002,916
2016-12-07$12.54$10.0047.7%12.0%0.0%0.0%41.4%5.6%6.4%1.1M-39.2M-107.7K0.0948.89N/AN/A2,75323853,5062,926
2016-12-08$13.01$10.0049.0%11.9%0.0%0.0%41.8%7.1%6.3%1.1M-47.0M-111.2K0.0475.74N/AN/A9,00132855,6463,013
2016-12-09$12.93$10.0043.6%12.2%0.0%0.0%41.6%7.8%5.1%1.2M-51.4M-133.5K0.1927.84N/AN/A1,48828263,1513,211
2016-12-12$12.29$10.0052.4%11.8%0.0%0.0%47.5%0.4%6.3%1.3M-42.8M-128.4K0.1132.85N/AN/A3,40736463,2963,333
2016-12-13$12.53$10.0049.4%11.8%0.0%0.0%45.1%4.9%5.2%1.3M-48.1M-133.4K0.1134.18N/AN/A3,18935465,2803,417
2016-12-14$12.30$10.0040.8%11.7%0.0%0.0%40.8%1.9%6.3%1.3M-44.7M-130.4K0.1231.84N/AN/A2,42529965,3813,417
2016-12-15$12.52$10.0041.4%11.9%0.0%0.0%40.1%6.5%5.7%1.4M-48.2M-129.7K0.0484.45N/AN/A6,81729965,3883,418
2016-12-16$12.59$10.0039.4%11.3%0.0%0.0%38.4%6.7%7.2%1.4M-54.6M-148.6K0.0582.95N/AN/A6,03631471,8713,418
2016-12-19$12.92$10.0039.1%11.2%0.0%0.0%36.9%-2.2%11.8%1.5M-62.2M-158.5K1.2422.02N/AN/A20024775,7342,782
2016-12-20$13.01$10.0039.9%11.4%0.0%0.0%38.8%0.8%10.6%1.6M-62.9M-155.5K0.8954.20N/AN/A19917875,5082,782
2016-12-21$12.78$10.0039.6%11.3%0.0%0.0%40.1%-2.5%10.1%1.6M-59.7M-155.9K0.7987.28N/AN/A20115975,5012,798
2016-12-22$12.56$10.0038.1%10.9%0.0%0.0%38.1%-4.4%12.5%1.7M-55.0M-154.9K0.2287.59N/AN/A4569975,4952,798
2016-12-23$12.63$10.0038.6%11.1%0.0%0.0%38.6%8.5%10.8%1.6M-56.4M-154.4K0.4786.11N/AN/A21710275,4952,803
2016-12-27$12.86$10.0039.0%11.2%0.0%0.0%39.0%9.0%14.5%1.6M-60.8M-149.5K0.7285.31N/AN/A14510475,4932,806
2016-12-28$12.53$10.0039.9%11.4%0.0%0.0%41.0%2.1%11.8%1.7M-54.8M-149.2K0.2264.84N/AN/A4349475,4852,808
2016-12-29$12.42$10.0037.8%10.8%0.0%0.0%38.2%1.6%10.9%1.7M-53.1M-148.2K0.1463.62N/AN/A6289075,7612,812
2016-12-30$12.43$10.0037.5%10.8%0.0%0.0%37.6%1.4%13.3%1.8M-52.5M-146.4K0.1836.98N/AN/A5179475,7542,823