TRUE Options History — March 2017

In March 2017, TRUE traded between $14.37 and $15.85. ATM implied volatility averaged 30.4%. The 30-day expected move averaged 8.6%. Max pain ranged from $12.50 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-03-06: Highest Volume — 3,267 contracts
  • 2017-03-10: Largest IV spike — 29.1% change
  • 2017-03-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.96$14.37$15.85$14.63$15.49
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV30.4%25.4%37.6%33.9%27.4%
Expected Move8.6%7.9%9.7%9.7%7.9%
Term Structure8.2%-3.0%15.1%-3.0%15.1%
VWIV30.8%24.8%36.8%31.7%29.2%
Skew 25d2.5%-8.2%12.8%0.0%6.4%
Skew 10d4.1%-13.1%20.3%1.6%9.2%
Call IV 25d28.8%21.3%36.2%32.0%21.3%
Put IV 25d31.2%25.1%37.9%32.0%27.7%
Bid-Ask Spread %24.5810.1871.7412.0571.40
Gamma HHI0.690.430.840.840.43
Net GEX2.2M364.5K3.2M2.8M772.6K
Net DEX-184.4M-211.7M-160.2M-165.8M-202.1M
Net VEX-118.1K-194.7K-31.2K-193.8K-41.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.094.280.800.10
Total Volume1,306.6093723,2673,1301,017
Total OI148,403.391144,068151,356147,565144,105

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$14.63$12.5033.9%9.7%0.0%0.0%31.7%0.0%-3.0%2.8M-165.8M-193.8K0.8012.05N/AN/A1,7431,387140,1097,456
2017-03-02$14.74$12.5033.0%9.5%0.0%0.0%36.8%2.2%-2.1%2.7M-170.1M-194.7K0.6160.64N/AN/A1,146700140,5538,407
2017-03-03$14.77$12.5030.1%8.6%0.0%0.0%33.2%3.6%0.6%2.7M-171.7M-177.7K2.5811.86N/AN/A271700140,6678,657
2017-03-06$14.91$12.5033.5%8.6%0.0%0.0%31.1%3.1%7.9%2.1M-194.0M-80.1K0.2971.74N/AN/A2,536731140,6638,657
2017-03-07$14.79$12.5029.3%8.9%0.0%0.0%32.7%2.6%6.7%2.3M-188.7M-107.4K4.2817.07N/AN/A173740141,8668,665
2017-03-08$14.70$12.5031.2%8.7%0.0%0.0%33.1%11.0%7.5%2.8M-171.0M-186.9K0.6319.60N/AN/A1,181740141,8978,679
2017-03-09$14.47$12.5025.4%8.7%0.0%0.0%32.4%6.6%7.4%3.1M-163.7M-188.3K0.5219.67N/AN/A1,426740142,6668,679
2017-03-10$14.53$12.5032.7%8.7%0.0%0.0%36.4%8.6%7.2%3.0M-165.9M-186.7K0.4117.60N/AN/A1,232508142,4628,679
2017-03-13$14.37$12.5037.6%8.9%0.0%0.0%34.4%5.3%7.2%3.2M-160.2M-192.4K0.3311.73N/AN/A1,532508142,4248,679
2017-03-14$14.51$12.5032.6%8.7%0.0%0.0%29.3%9.1%8.3%3.1M-164.2M-177.3K0.5419.66N/AN/A426228142,4428,679
2017-03-15$14.90$12.5030.2%8.7%0.0%0.0%24.8%2.2%7.9%2.0M-195.2M-74.6K0.2611.96N/AN/A819213142,5638,689
2017-03-16$14.99$12.5028.5%8.2%0.0%0.0%28.5%0.9%9.7%3.2M-188.8M-113.3K0.7910.18N/AN/A270213142,5938,717
2017-03-17$14.93$12.5029.6%8.5%0.0%0.0%29.6%-8.2%8.4%2.5M-183.9M-120.0K0.0910.88N/AN/A2,266212142,6398,717
2017-03-20$14.89$12.5029.5%8.5%0.0%0.0%29.2%1.7%10.7%2.5M-183.4M-113.0K0.6210.75N/AN/A229143139,9236,725
2017-03-21$14.67$12.5028.7%8.2%0.0%0.0%28.2%12.8%10.9%2.7M-174.9M-138.5K0.5412.59N/AN/A476259139,9226,725
2017-03-22$14.81$12.5028.7%8.2%0.0%0.0%26.5%0.8%10.4%2.7M-182.4M-106.5K0.5511.50N/AN/A354194140,0986,879
2017-03-23$15.10$12.5028.7%8.2%0.0%0.0%29.8%2.5%10.8%2.1M-191.5M-90.7K0.5729.78N/AN/A338194140,1046,882
2017-03-24$15.23$12.5029.5%8.5%0.0%0.0%30.0%4.2%9.5%1.9M-195.9M-77.3K0.2934.42N/AN/A31691139,7216,882
2017-03-27$15.49$12.5029.8%8.5%0.0%0.0%31.6%-5.1%10.9%1.2M-204.8M-49.8K0.1747.58N/AN/A55997139,7316,897
2017-03-28$15.85$12.5030.2%8.6%0.0%0.0%30.2%-3.1%11.8%364.5K-211.7M-31.2K0.1219.63N/AN/A78096138,6546,900
2017-03-29$15.73$12.5030.3%8.7%0.0%0.0%30.6%-2.9%11.4%385.9K-207.0M-33.6K0.1013.21N/AN/A1,00698137,2586,900
2017-03-30$15.58$12.5028.5%8.2%0.0%0.0%29.6%-7.7%14.0%833.1K-203.5M-40.9K0.0919.86N/AN/A1,064100137,1556,913
2017-03-31$15.49$12.5027.4%7.9%0.0%0.0%29.2%6.4%15.1%772.6K-202.1M-41.1K0.1071.40N/AN/A92691137,1816,924