TRUE Options History — August 2017

In August 2017, TRUE traded between $15.74 and $19.70. ATM implied volatility averaged 47.3%. The 30-day expected move averaged 12.7%. Max pain ranged from $17.00 to $20.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.06.

Notable Days

  • 2017-08-02: Highest Volume — 7,880 contracts
  • 2017-08-09: Largest IV drop — 46.2% change
  • 2017-08-02: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.14$15.74$19.70$18.78$16.95
Max Pain$17.57$17.00$20.00$20.00$17.00
ATM IV47.3%36.4%78.8%63.6%36.4%
Expected Move12.7%10.4%19.0%18.2%10.4%
Term Structure-0.1%-13.9%4.2%-13.7%2.9%
VWIV43.9%34.5%69.2%63.3%36.6%
Skew 25d5.4%2.2%8.8%5.6%2.2%
Skew 10d13.6%1.4%27.9%27.9%21.3%
Call IV 25d42.3%35.5%63.7%61.6%36.1%
Put IV 25d47.8%38.3%72.4%67.2%38.3%
Bid-Ask Spread %19.399.5751.1227.5614.77
Gamma HHI0.340.180.730.230.35
Net GEX-135.4K-843.2K238.4K-68.5K238.4K
Net DEX2.7M-4.2M15.0M-595.5K-4.2M
Net VEX-39.4K-52.3K-32.5K-46.9K-37.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.166.180.460.28
Total Volume3,088.7391,2967,8801,2962,429
Total OI22,304.34814,94528,63321,60716,811

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$18.78$20.0063.6%18.2%0.0%0.0%63.3%5.6%-13.7%-68.5K-595.5K-46.9K0.4627.56N/AN/A88840811,8169,791
2017-08-02$18.28$20.0066.4%19.0%0.0%0.0%69.2%8.8%-13.9%-75.4K878.5K-44.5K6.1828.68N/AN/A1,0976,78311,8749,791
2017-08-03$18.76$17.0065.2%15.0%0.0%0.0%53.4%6.5%-4.1%-242.1K1.5M-51.3K5.4826.98N/AN/A6443,52812,03314,236
2017-08-04$19.13$17.0067.0%14.7%0.0%0.0%53.1%7.1%-3.8%-264.4K533.3K-52.3K2.8221.08N/AN/A7512,11912,12915,582
2017-08-07$19.70$17.0072.8%14.9%0.0%0.0%54.0%8.4%-4.1%-120.8K-3.6M-48.1K0.7620.37N/AN/A88967612,23514,232
2017-08-08$19.39$18.0078.8%15.7%0.0%0.0%51.8%5.4%-5.5%-149.4K-2.2M-48.1K1.0351.12N/AN/A2,0082,06212,35314,497
2017-08-09$16.75$19.0042.4%12.2%0.0%0.0%53.0%6.1%2.3%-718.4K11.7M-40.2K2.029.57N/AN/A1,9974,03812,29316,296
2017-08-10$15.74$18.0041.9%12.0%0.0%0.0%34.5%4.7%4.2%-360.9K13.6M-34.9K0.4119.62N/AN/A2,18090112,39915,437
2017-08-11$15.94$18.0040.5%11.6%0.0%0.0%43.1%8.1%3.7%-386.3K14.3M-34.1K0.3217.86N/AN/A2,31473212,51615,531
2017-08-14$16.04$18.0039.6%11.4%0.0%0.0%36.8%4.6%3.0%-273.1K15.0M-32.5K0.3318.20N/AN/A2,08469712,95315,529
2017-08-15$16.51$18.0039.0%11.2%0.0%0.0%38.8%4.2%3.2%-693.3K12.5M-35.0K0.1615.79N/AN/A3,51654712,85415,338
2017-08-16$16.67$17.0040.4%11.6%0.0%0.0%40.6%6.1%1.7%-843.2K8.0M-38.7K0.7619.38N/AN/A3,3092,50414,72213,911
2017-08-17$16.41$17.0042.0%12.1%0.0%0.0%38.6%4.0%0.7%-334.7K6.4M-36.8K0.7719.99N/AN/A1,9631,51714,84812,083
2017-08-18$16.71$17.0041.1%11.8%0.0%0.0%37.4%6.4%1.3%119.1K7.7M-37.4K0.2818.74N/AN/A1,93353215,21212,033
2017-08-21$16.60$17.0039.5%11.3%0.0%0.0%39.4%6.4%4.1%120.1K-2.5M-36.2K0.2417.46N/AN/A1,6023889,3175,628
2017-08-22$16.71$17.0039.3%11.3%0.0%0.0%38.1%3.5%2.1%124.5K-2.9M-36.8K0.2611.28N/AN/A1,6014189,3045,687
2017-08-23$16.41$17.0041.2%11.8%0.0%0.0%38.5%4.1%0.4%117.2K-2.0M-35.3K0.3012.63N/AN/A1,3724069,2995,774
2017-08-24$16.47$17.0039.9%11.4%0.0%0.0%37.9%5.3%1.2%124.4K-2.3M-35.9K0.3413.45N/AN/A1,1854079,4325,774
2017-08-25$16.34$17.0039.3%11.3%0.0%0.0%36.9%4.6%1.3%126.4K-1.9M-35.1K0.3016.86N/AN/A1,3674079,4355,776
2017-08-28$16.58$17.0037.7%10.8%0.0%0.0%39.2%5.9%3.6%141.6K-2.6M-36.1K0.3714.06N/AN/A1,2024469,6215,776
2017-08-29$16.80$17.0037.4%10.7%0.0%0.0%38.6%3.8%2.5%150.0K-3.1M-36.3K0.3915.77N/AN/A1,2054749,6285,800
2017-08-30$16.66$17.0037.0%10.6%0.0%0.0%37.0%3.2%4.1%155.2K-2.7M-35.7K0.2214.84N/AN/A2,8826339,5985,816
2017-08-31$16.95$17.0036.4%10.4%0.0%0.0%36.6%2.2%2.9%238.4K-4.2M-37.5K0.2814.77N/AN/A1,89953010,8076,004