TRUE Options History — June 2017

In June 2017, TRUE traded between $17.77 and $19.90. ATM implied volatility averaged 35.6%. The 30-day expected move averaged 10.1%. Max pain ranged from $12.50 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2017-06-09: Highest Volume — 6,478 contracts
  • 2017-06-12: Largest IV spike — 20.9% change
  • 2017-06-12: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.67$17.77$19.90$17.77$19.90
Max Pain$12.91$12.50$17.00$17.00$12.50
ATM IV35.6%31.7%41.4%32.1%36.6%
Expected Move10.1%9.1%10.6%9.2%10.5%
Term Structure7.7%1.4%10.6%1.4%9.2%
VWIV36.0%30.4%40.4%32.2%36.2%
Skew 25d3.0%0.1%5.4%3.0%3.0%
Skew 10d12.5%-0.0%20.0%13.7%20.0%
Call IV 25d34.3%31.1%36.4%32.2%35.1%
Put IV 25d37.3%32.3%39.6%35.2%38.0%
Bid-Ask Spread %18.3114.7722.5814.7717.24
Gamma HHI0.180.150.220.200.15
Net GEX109.5K33.8K226.8K226.8K73.4K
Net DEX-15.5M-21.1M-12.0M-16.2M-18.3M
Net VEX-48.6K-55.7K-38.8K-43.5K-53.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.203.490.351.17
Total Volume3,184.4091,1546,4781,7282,345
Total OI21,699.90919,12124,61619,12124,616

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$17.77$17.0032.1%9.2%0.0%0.0%32.2%3.0%1.4%226.8K-16.2M-43.5K0.3514.77N/AN/A1,28044813,8795,242
2017-06-02$17.82$17.0031.7%9.1%0.0%0.0%30.4%0.1%3.2%221.9K-16.4M-42.7K0.3415.93N/AN/A1,47449913,8905,412
2017-06-05$18.55$12.5033.7%9.8%0.0%0.0%34.1%5.4%6.1%206.0K-18.8M-41.7K0.3817.90N/AN/A1,32350414,1425,391
2017-06-06$19.25$12.5034.9%9.9%0.0%0.0%32.1%3.3%6.3%181.6K-21.1M-38.9K0.2016.12N/AN/A2,68853814,2635,418
2017-06-07$19.20$12.5037.0%9.9%0.0%0.0%34.6%4.3%6.8%203.4K-20.2M-39.5K0.3620.35N/AN/A1,27045314,1365,394
2017-06-08$19.20$12.5033.6%9.7%0.0%0.0%33.3%1.6%8.4%196.3K-20.3M-38.8K0.2518.21N/AN/A2,05150914,1505,403
2017-06-09$18.90$12.5034.2%10.2%0.0%0.0%35.4%2.1%7.8%196.8K-18.3M-40.1K1.7618.99N/AN/A2,3484,13013,6325,507
2017-06-12$18.52$12.5041.4%10.6%0.0%0.0%36.0%4.2%6.5%100.8K-13.6M-55.4K1.7917.88N/AN/A2,2994,11313,7899,107
2017-06-13$18.76$12.5040.9%10.6%0.0%0.0%32.3%3.0%6.6%109.7K-14.8M-55.7K1.7516.05N/AN/A2,0633,61814,1109,173
2017-06-14$18.49$12.5036.7%10.5%0.0%0.0%37.9%1.3%6.3%132.9K-14.0M-53.6K3.4920.80N/AN/A1,0433,63514,1119,151
2017-06-15$18.64$12.5036.1%10.3%0.0%0.0%39.9%2.9%7.4%120.1K-14.5M-54.8K3.3717.08N/AN/A1,0763,62914,2379,132
2017-06-16$18.70$12.5036.0%10.3%0.0%0.0%40.4%3.0%7.2%49.8K-14.6M-53.7K3.1516.44N/AN/A1,1383,57914,1049,119
2017-06-19$18.89$12.5035.1%10.1%0.0%0.0%37.7%3.2%9.0%44.6K-13.9M-52.2K3.3517.28N/AN/A1,0513,51813,1288,900
2017-06-20$18.11$12.5035.9%10.3%0.0%0.0%36.8%1.0%8.6%52.4K-12.0M-51.1K3.3618.71N/AN/A1,0653,58113,2428,929
2017-06-21$18.52$12.5034.8%10.0%0.0%0.0%38.5%3.1%9.0%48.3K-12.8M-51.1K0.4722.58N/AN/A1,05249613,1368,911
2017-06-22$18.24$12.5036.1%10.4%0.0%0.0%36.3%2.4%9.6%49.2K-12.3M-51.5K0.4919.13N/AN/A1,00349613,2388,915
2017-06-23$18.29$12.5035.0%10.0%0.0%0.0%36.0%1.9%10.1%50.8K-12.6M-51.6K0.8119.18N/AN/A1,01782513,2908,920
2017-06-26$18.43$12.5034.7%9.9%0.0%0.0%37.4%2.9%10.0%33.8K-12.9M-50.3K0.8018.39N/AN/A1,02582513,3139,202
2017-06-27$18.28$12.5035.6%10.2%0.0%0.0%38.4%4.4%10.6%35.6K-12.4M-50.1K0.7720.00N/AN/A1,05181313,3169,205
2017-06-28$19.24$12.5034.3%9.8%0.0%0.0%37.2%5.3%9.6%37.5K-15.3M-49.0K1.1617.97N/AN/A53462013,3609,204
2017-06-29$19.06$12.5036.8%10.6%0.0%0.0%38.4%4.1%8.8%38.0K-15.0M-49.4K0.7321.83N/AN/A1,7561,27613,4569,225
2017-06-30$19.90$12.5036.6%10.5%0.0%0.0%36.2%3.0%9.2%73.4K-18.3M-53.6K1.1717.24N/AN/A1,0821,26314,7679,849