TRUE Options History — February 2017

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

In February 2017, TRUE traded between $13.01 and $14.42. ATM implied volatility averaged 46.0%. The 30-day expected move averaged 12.2%. Max pain ranged from $10.00 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.73.

Notable Days

2017-02-17: Highest Volume — 23,862 contracts
2017-02-17: Largest IV drop — 38.8% change
2017-02-01: Largest Expected Move — 17.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.60	$13.01	$14.42	$13.16	$14.10
Max Pain	$11.58	$10.00	$12.50	$12.50	$12.50
ATM IV	46.0%	31.8%	63.6%	60.4%	37.2%
Expected Move	12.2%	9.1%	17.3%	17.3%	10.7%
Term Structure	-6.0%	-11.6%	-0.7%	-11.6%	-7.5%
VWIV	43.3%	30.2%	63.5%	59.9%	30.7%
Skew 25d	3.9%	-10.3%	20.5%	-1.0%	-10.3%
Skew 10d	14.4%	-4.0%	79.6%	-4.0%	12.4%
Call IV 25d	42.5%	31.3%	63.7%	63.7%	37.1%
Put IV 25d	46.3%	26.8%	67.4%	62.7%	26.8%
Bid-Ask Spread %	52.03	9.81	89.66	86.97	43.11
Gamma HHI	0.91	0.86	0.95	0.92	0.88
Net GEX	2.8M	1.9M	3.4M	2.0M	3.2M
Net DEX	-110.7M	-164.2M	-66.6M	-66.6M	-149.7M
Net VEX	-213.3K	-246.3K	-160.4K	-183.7K	-222.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.01	3.88	0.05	0.45
Total Volume	5,075.421	695	23,862	1,441	695
Total OI	120,180.368	84,961	147,830	84,961	147,528

Daily Data (19 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
2017-02-01	$13.16	$12.50	60.4%	17.3%	0.0%	0.0%	59.9%	-1.0%	-11.6%	2.0M	-66.6M	-183.7K	0.05	86.97	N/A	N/A	1,371	70	82,945	2,016
2017-02-02	$13.14	$10.00	61.5%	13.7%	0.0%	0.0%	63.5%	6.4%	-6.8%	1.9M	-66.7M	-182.7K	0.02	89.66	N/A	N/A	6,523	131	82,959	2,031
2017-02-03	$13.25	$10.00	63.4%	13.6%	0.0%	0.0%	55.3%	5.0%	-6.3%	2.1M	-73.6M	-188.9K	0.06	86.35	N/A	N/A	1,359	79	88,110	2,106
2017-02-06	$13.43	$10.00	63.4%	13.0%	0.0%	0.0%	47.7%	20.5%	-7.5%	2.3M	-78.3M	-184.4K	0.01	81.67	N/A	N/A	16,484	144	88,109	2,121
2017-02-07	$13.31	$10.00	63.6%	12.8%	0.0%	0.0%	44.5%	-0.3%	-5.4%	2.7M	-88.3M	-213.6K	0.09	85.25	N/A	N/A	6,299	583	103,169	2,201
2017-02-08	$13.13	$10.00	45.8%	13.1%	0.0%	0.0%	46.2%	7.7%	-6.2%	2.8M	-87.6M	-228.7K	0.55	37.35	N/A	N/A	1,067	584	108,825	2,372
2017-02-09	$13.01	$10.00	44.1%	12.6%	0.0%	0.0%	45.5%	3.8%	-5.2%	2.9M	-84.6M	-226.0K	0.06	48.73	N/A	N/A	702	44	108,894	2,372
2017-02-10	$13.31	$10.00	44.2%	12.7%	0.0%	0.0%	43.9%	-0.8%	-6.8%	2.8M	-93.4M	-220.5K	2.53	30.23	N/A	N/A	554	1,401	109,012	2,373
2017-02-13	$13.12	$12.50	45.0%	12.9%	0.0%	0.0%	45.0%	4.5%	-6.3%	2.9M	-88.6M	-219.8K	0.01	52.99	N/A	N/A	10,733	141	108,977	3,228
2017-02-14	$13.19	$12.50	46.9%	13.4%	0.0%	0.0%	46.5%	-0.3%	-8.8%	3.1M	-98.3M	-234.1K	0.18	32.94	N/A	N/A	1,068	190	119,128	3,267
2017-02-15	$13.35	$12.50	45.6%	13.1%	0.0%	0.0%	45.5%	0.5%	-8.4%	3.3M	-104.0M	-231.8K	0.14	32.16	N/A	N/A	1,238	178	119,533	3,256
2017-02-16	$13.17	$12.50	52.3%	15.0%	0.0%	0.0%	51.5%	14.8%	-11.6%	3.1M	-98.8M	-237.1K	0.59	36.25	N/A	N/A	5,801	3,442	120,419	3,400
2017-02-17	$14.42	$12.50	32.0%	9.2%	0.0%	0.0%	30.2%	7.4%	-0.7%	2.7M	-148.0M	-160.4K	0.10	60.82	N/A	N/A	21,649	2,213	125,103	7,237
2017-02-21	$14.30	$12.50	33.8%	9.7%	0.0%	0.0%	33.0%	8.5%	-2.4%	3.4M	-164.2M	-194.9K	1.47	9.81	N/A	N/A	1,976	2,912	138,951	4,476
2017-02-22	$14.22	$12.50	34.7%	9.9%	0.0%	0.0%	34.0%	8.3%	-4.0%	3.2M	-151.4M	-235.0K	3.88	86.31	N/A	N/A	740	2,871	140,142	6,917
2017-02-23	$14.09	$12.50	33.8%	9.7%	0.0%	0.0%	33.6%	5.6%	-2.3%	3.2M	-147.2M	-246.3K	3.15	63.66	N/A	N/A	252	795	140,079	6,917
2017-02-24	$14.30	$12.50	31.8%	9.1%	0.0%	0.0%	30.8%	-2.7%	-2.3%	3.1M	-155.1M	-230.8K	0.36	11.31	N/A	N/A	603	215	140,079	7,345
2017-02-27	$14.38	$12.50	34.1%	9.8%	0.0%	0.0%	35.1%	-4.1%	-3.8%	3.0M	-158.3M	-212.4K	0.19	13.05	N/A	N/A	1,111	215	140,374	7,456
2017-02-28	$14.10	$12.50	37.2%	10.7%	0.0%	0.0%	30.7%	-10.3%	-7.5%	3.2M	-149.7M	-222.5K	0.45	43.11	N/A	N/A	480	215	140,072	7,456