TRUE Options History — May 2017

In May 2017, TRUE traded between $17.00 and $18.09. ATM implied volatility averaged 43.0%. The 30-day expected move averaged 11.3%. Max pain ranged from $15.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-05-09: Highest Volume — 6,595 contracts
  • 2017-05-10: Largest IV drop — 49.8% change
  • 2017-05-03: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.48$17.00$18.09$17.64$17.53
Max Pain$16.50$15.00$17.00$15.00$17.00
ATM IV43.0%31.1%73.0%59.3%32.6%
Expected Move11.3%8.9%17.2%17.0%9.3%
Term Structure-3.0%-17.0%2.5%-14.8%2.5%
VWIV38.3%30.6%63.1%49.8%32.2%
Skew 25d3.1%0.2%5.8%4.8%2.7%
Skew 10d8.7%-1.0%26.9%13.4%6.0%
Call IV 25d38.6%30.5%61.1%58.7%34.1%
Put IV 25d41.7%32.7%65.3%63.5%36.9%
Bid-Ask Spread %22.5113.3656.6018.4717.62
Gamma HHI0.290.180.660.270.20
Net GEX342.8K189.1K1.1M254.3K233.0K
Net DEX-18.1M-24.0M-13.9M-19.7M-15.4M
Net VEX-43.3K-48.4K-39.9K-40.3K-44.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.111.590.830.14
Total Volume2,770.0451,4556,5952,5482,441
Total OI23,471.13617,60429,21321,39419,030

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$17.64$15.0059.3%17.0%0.0%0.0%49.8%4.8%-14.8%254.3K-19.7M-40.3K0.8318.47N/AN/A1,3911,15715,8685,526
2017-05-02$17.52$15.0058.9%16.9%0.0%0.0%51.1%5.5%-14.7%256.5K-19.3M-40.4K0.7219.58N/AN/A1,4321,03515,9035,776
2017-05-03$17.19$15.0059.9%17.2%0.0%0.0%63.1%4.2%-17.0%271.0K-18.1M-42.6K0.6047.32N/AN/A1,40684815,9465,886
2017-05-04$17.22$16.0061.5%12.8%0.0%0.0%43.6%4.3%-5.1%263.7K-18.1M-40.7K0.6156.60N/AN/A1,35282015,9485,922
2017-05-05$17.45$16.0061.1%12.8%0.0%0.0%42.5%2.4%-3.2%261.3K-18.9M-40.2K1.5928.70N/AN/A1,4702,34215,9765,936
2017-05-08$17.15$16.0071.1%13.3%0.0%0.0%45.9%4.0%-6.1%241.1K-17.7M-46.6K0.7524.98N/AN/A1,4041,05216,1047,505
2017-05-09$17.16$16.0073.0%14.1%0.0%0.0%48.2%5.8%-8.4%240.1K-17.5M-47.9K1.5243.53N/AN/A2,6223,97316,2867,851
2017-05-10$17.88$16.0036.6%10.5%0.0%0.0%35.7%3.3%-2.9%433.8K-23.5M-44.8K0.8518.75N/AN/A2,6622,27418,40710,359
2017-05-11$17.30$17.0033.9%9.7%0.0%0.0%34.5%2.8%0.1%353.3K-18.5M-47.5K1.0219.52N/AN/A1,7341,77517,57811,069
2017-05-12$17.24$17.0033.4%9.6%0.0%0.0%33.7%2.1%-0.4%392.2K-18.1M-48.4K0.6618.10N/AN/A1,6951,12517,97211,008
2017-05-15$17.55$17.0033.4%9.6%0.0%0.0%32.5%3.3%0.2%481.5K-20.7M-45.1K0.7015.63N/AN/A1,6631,16717,94311,043
2017-05-16$18.09$17.0033.3%9.5%0.0%0.0%33.8%2.1%-0.0%427.9K-24.0M-41.0K0.8816.91N/AN/A1,2861,13117,95011,066
2017-05-17$17.00$17.0036.0%10.3%0.0%0.0%35.7%1.7%-0.7%319.5K-17.1M-45.3K0.8420.57N/AN/A1,3281,11818,01511,083
2017-05-18$17.51$17.0033.5%9.6%0.0%0.0%35.1%2.0%0.7%788.1K-20.6M-43.8K0.8216.77N/AN/A1,3571,10718,02611,097
2017-05-19$17.48$17.0034.5%9.9%0.0%0.0%35.3%2.6%0.5%1.1M-20.9M-42.0K0.7714.68N/AN/A1,4191,08918,15011,063
2017-05-22$17.61$17.0031.8%9.1%0.0%0.0%30.6%3.9%1.1%189.1K-14.7M-40.6K0.2113.36N/AN/A1,20325212,7835,036
2017-05-23$17.48$17.0033.8%9.7%0.0%0.0%31.2%3.9%-0.4%195.7K-13.9M-41.2K0.2017.09N/AN/A1,27025012,5595,045
2017-05-24$17.45$17.0032.3%9.2%0.0%0.0%32.0%2.3%0.3%195.8K-14.1M-39.9K0.1618.75N/AN/A1,51524612,6255,055
2017-05-25$17.77$17.0031.7%9.1%0.0%0.0%31.6%2.0%1.6%204.0K-15.2M-39.9K0.1416.00N/AN/A2,23430312,8975,062
2017-05-26$17.87$17.0031.1%8.9%0.0%0.0%31.2%2.2%1.6%228.0K-16.4M-44.5K0.1414.39N/AN/A2,27931213,8895,130
2017-05-30$17.45$17.0033.9%9.7%0.0%0.0%33.6%0.2%-0.9%228.9K-15.3M-44.8K0.1117.89N/AN/A2,15824413,8625,130
2017-05-31$17.53$17.0032.6%9.3%0.0%0.0%32.2%2.7%2.5%233.0K-15.4M-44.7K0.1417.62N/AN/A2,14130013,8835,147