TRUE Options History — January 2017

Name: TRUE Options Analytics - January 2017
Creator: Options Analysis Suite

In January 2017, TRUE traded between $12.51 and $13.19. ATM implied volatility averaged 46.9%. The 30-day expected move averaged 14.1%. Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.23.

Notable Days

2017-01-31: Highest Volume — 9,552 contracts
2017-01-11: Largest IV spike — 26.0% change
2017-01-31: Largest Expected Move — 17.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.92	$12.51	$13.19	$12.51	$13.19
Max Pain	$12.25	$10.00	$12.50	$10.00	$12.50
ATM IV	46.9%	34.8%	61.8%	42.9%	61.8%
Expected Move	14.1%	10.7%	17.7%	12.3%	17.7%
Term Structure	-4.6%	-14.5%	13.2%	11.1%	-14.5%
VWIV	49.3%	37.3%	61.6%	43.1%	61.6%
Skew 25d	6.3%	-2.8%	16.1%	9.8%	0.4%
Skew 10d	15.2%	-3.4%	33.4%	15.4%	0.6%
Call IV 25d	48.1%	30.7%	62.0%	35.1%	62.0%
Put IV 25d	54.4%	37.3%	68.4%	44.9%	62.4%
Bid-Ask Spread %	79.05	20.58	95.86	52.30	85.07
Gamma HHI	0.94	0.89	0.97	0.89	0.91
Net GEX	2.2M	1.6M	4.0M	1.7M	1.6M
Net DEX	-68.7M	-91.3M	-48.9M	-54.7M	-59.3M
Net VEX	-167.2K	-180.2K	-141.9K	-142.1K	-162.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.02	0.71	0.04	0.02
Total Volume	2,254.2	323	9,552	2,229	9,552
Total OI	87,319.35	72,940	103,796	78,594	73,993

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-01-03	$12.51	$10.00	42.9%	12.3%	0.0%	0.0%	43.1%	9.8%	11.1%	1.7M	-54.7M	-142.1K	0.04	52.30	N/A	N/A	2,135	94	75,766	2,828
2017-01-04	$12.84	$10.00	37.3%	10.7%	0.0%	0.0%	37.3%	6.6%	13.2%	2.1M	-61.4M	-141.9K	0.04	49.60	N/A	N/A	6,218	278	77,319	2,828
2017-01-05	$13.00	$12.50	36.9%	14.3%	0.0%	0.0%	52.9%	14.1%	-7.5%	2.0M	-71.9M	-161.8K	0.19	88.56	N/A	N/A	1,516	294	85,204	3,006
2017-01-06	$12.89	$12.50	34.8%	13.6%	0.0%	0.0%	50.0%	6.6%	-4.4%	2.4M	-71.7M	-168.6K	0.39	86.13	N/A	N/A	233	90	88,510	3,137
2017-01-09	$12.99	$12.50	38.7%	13.0%	0.0%	0.0%	45.4%	10.1%	-3.1%	2.3M	-75.0M	-164.5K	0.05	83.29	N/A	N/A	5,774	298	88,516	3,136
2017-01-10	$13.00	$12.50	37.2%	13.9%	0.0%	0.0%	45.9%	13.7%	-6.9%	2.5M	-79.4M	-176.5K	0.17	85.69	N/A	N/A	760	127	93,786	3,259
2017-01-11	$12.97	$12.50	46.8%	13.4%	0.0%	0.0%	48.1%	6.8%	-5.7%	2.8M	-78.9M	-174.6K	0.71	87.97	N/A	N/A	513	362	93,872	3,310
2017-01-12	$12.93	$12.50	47.6%	13.6%	0.0%	0.0%	49.5%	-0.2%	-6.1%	2.6M	-78.1M	-174.8K	0.65	95.86	N/A	N/A	611	400	93,873	3,528
2017-01-13	$12.99	$12.50	47.4%	13.6%	0.0%	0.0%	48.4%	8.7%	-6.3%	2.7M	-80.5M	-172.3K	0.04	93.87	N/A	N/A	6,275	248	93,946	3,646
2017-01-17	$12.84	$12.50	49.4%	14.2%	0.0%	0.0%	49.9%	-2.8%	-7.5%	3.4M	-81.2M	-180.2K	0.13	90.36	N/A	N/A	1,385	184	99,970	3,773
2017-01-18	$12.84	$12.50	48.3%	13.8%	0.0%	0.0%	49.4%	6.5%	-6.1%	4.0M	-83.0M	-177.3K	0.39	72.66	N/A	N/A	413	160	99,970	3,826
2017-01-19	$13.17	$12.50	50.0%	14.3%	0.0%	0.0%	49.3%	-0.0%	-8.9%	1.6M	-91.3M	-171.5K	0.57	93.22	N/A	N/A	247	142	99,092	3,846
2017-01-20	$12.80	$12.50	45.3%	13.0%	0.0%	0.0%	45.5%	-0.3%	-5.4%	1.7M	-84.0M	-170.7K	0.22	93.49	N/A	N/A	993	217	98,421	3,865
2017-01-23	$12.63	$12.50	50.4%	14.4%	0.0%	0.0%	50.3%	5.1%	-4.8%	1.6M	-48.9M	-169.6K	0.16	71.34	N/A	N/A	725	115	71,088	1,852
2017-01-24	$12.99	$12.50	48.0%	13.8%	0.0%	0.0%	48.0%	4.8%	-1.7%	1.6M	-55.4M	-170.2K	0.20	91.17	N/A	N/A	682	134	71,311	1,874
2017-01-25	$12.85	$12.50	49.6%	14.2%	0.0%	0.0%	51.2%	-1.2%	-2.0%	1.6M	-52.8M	-168.0K	0.23	81.48	N/A	N/A	472	109	71,308	1,904
2017-01-26	$12.94	$12.50	50.7%	14.5%	0.0%	0.0%	46.9%	16.1%	-4.7%	1.6M	-54.4M	-167.3K	0.11	85.91	N/A	N/A	1,031	109	71,344	1,914
2017-01-27	$12.92	$12.50	56.9%	16.3%	0.0%	0.0%	57.2%	10.0%	-10.6%	1.6M	-54.2M	-167.6K	0.11	20.58	N/A	N/A	1,031	109	71,869	1,914
2017-01-30	$13.07	$12.50	57.1%	16.4%	0.0%	0.0%	57.0%	11.6%	-9.3%	1.7M	-57.1M	-161.6K	0.24	72.45	N/A	N/A	844	204	71,869	1,914
2017-01-31	$13.19	$12.50	61.8%	17.7%	0.0%	0.0%	61.6%	0.4%	-14.5%	1.6M	-59.3M	-162.1K	0.02	85.07	N/A	N/A	9,348	204	72,043	1,950