TRUE Options History — September 2017

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

In September 2017, TRUE traded between $14.71 and $17.04. ATM implied volatility averaged 38.3%. The 30-day expected move averaged 11.1%. Max pain ranged from $16.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.36.

Notable Days

2017-09-15: Highest Volume — 6,294 contracts
2017-09-07: Largest IV drop — 10.0% change
2017-09-26: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.25	$14.71	$17.04	$16.93	$15.78
Max Pain	$16.88	$16.00	$17.50	$17.00	$16.00
ATM IV	38.3%	34.8%	40.6%	36.7%	38.3%
Expected Move	11.1%	10.5%	11.7%	10.5%	11.0%
Term Structure	7.6%	1.8%	10.8%	1.8%	10.6%
VWIV	37.6%	33.6%	43.5%	36.3%	34.7%
Skew 25d	4.3%	-0.2%	6.5%	5.2%	3.2%
Skew 10d	7.2%	-16.0%	18.9%	5.4%	9.8%
Call IV 25d	37.2%	32.3%	40.2%	32.3%	37.6%
Put IV 25d	41.5%	37.6%	44.5%	37.6%	40.9%
Bid-Ask Spread %	13.83	9.06	20.40	16.05	16.39
Gamma HHI	0.42	0.30	0.58	0.40	0.41
Net GEX	350.0K	72.6K	925.3K	285.0K	353.7K
Net DEX	-3.8M	-8.1M	-452.6K	-4.5M	-8.1M
Net VEX	-40.1K	-50.5K	-36.9K	-37.5K	-50.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.09	0.86	0.21	0.25
Total Volume	2,877.6	1,100	6,294	2,858	2,361
Total OI	20,416.95	17,111	25,345	17,111	25,345

Daily Data (20 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
2017-09-01	$16.93	$17.00	36.7%	10.5%	0.0%	0.0%	36.3%	5.2%	1.8%	285.0K	-4.5M	-37.5K	0.21	16.05	N/A	N/A	2,357	501	11,123	5,988
2017-09-05	$16.97	$16.00	40.1%	11.6%	0.0%	0.0%	36.5%	5.4%	5.3%	344.5K	-5.4M	-38.4K	0.28	13.45	N/A	N/A	1,832	514	12,051	5,964
2017-09-06	$16.98	$16.00	38.7%	11.2%	0.0%	0.0%	35.6%	5.5%	6.3%	386.8K	-5.6M	-38.0K	0.30	15.03	N/A	N/A	1,621	492	12,080	5,965
2017-09-07	$16.95	$17.50	34.8%	11.1%	0.0%	0.0%	33.6%	5.8%	6.6%	456.2K	-5.5M	-39.0K	0.36	11.88	N/A	N/A	1,349	489	12,364	5,975
2017-09-08	$16.80	$17.50	36.5%	10.9%	0.0%	0.0%	39.5%	5.5%	7.1%	463.8K	-4.7M	-38.3K	0.63	20.40	N/A	N/A	2,401	1,503	12,402	5,979
2017-09-11	$16.95	$17.50	38.6%	11.0%	0.0%	0.0%	36.0%	5.2%	6.6%	564.8K	-5.5M	-40.8K	0.29	15.29	N/A	N/A	1,840	526	13,410	6,961
2017-09-12	$16.70	$17.50	38.3%	11.6%	0.0%	0.0%	37.3%	4.2%	6.0%	535.6K	-4.1M	-39.8K	0.22	13.54	N/A	N/A	2,334	502	13,347	6,958
2017-09-13	$17.02	$17.50	36.7%	10.5%	0.0%	0.0%	37.7%	3.6%	7.5%	659.7K	-5.7M	-39.3K	0.45	12.88	N/A	N/A	1,275	571	13,016	6,958
2017-09-14	$17.04	$17.50	37.2%	10.7%	0.0%	0.0%	36.8%	3.3%	7.4%	925.3K	-5.6M	-38.9K	0.46	12.79	N/A	N/A	1,275	591	13,056	7,036
2017-09-15	$16.69	$17.50	38.8%	11.1%	0.0%	0.0%	36.5%	2.5%	5.5%	72.6K	-2.3M	-36.9K	0.09	14.61	N/A	N/A	5,777	517	13,056	7,094
2017-09-18	$16.54	$17.50	38.2%	10.9%	0.0%	0.0%	38.2%	3.9%	8.6%	194.6K	-3.4M	-39.5K	0.79	15.31	N/A	N/A	702	554	11,345	6,448
2017-09-19	$16.63	$17.50	38.3%	11.0%	0.0%	0.0%	36.8%	4.6%	6.5%	202.8K	-3.8M	-39.5K	0.75	15.49	N/A	N/A	847	638	11,320	6,551
2017-09-20	$16.34	$17.50	38.3%	11.0%	0.0%	0.0%	37.0%	6.5%	8.9%	182.6K	-2.8M	-40.4K	0.86	13.84	N/A	N/A	590	510	11,653	6,808
2017-09-21	$15.84	$17.50	36.9%	10.6%	0.0%	0.0%	36.3%	3.5%	10.8%	119.7K	-1.1M	-37.5K	0.13	12.19	N/A	N/A	5,426	702	11,699	6,909
2017-09-22	$15.43	$16.00	39.4%	11.3%	0.0%	0.0%	38.6%	4.4%	9.5%	299.9K	-3.0M	-44.9K	0.23	12.66	N/A	N/A	3,191	739	16,537	6,933
2017-09-25	$15.11	$16.00	40.4%	11.6%	0.0%	0.0%	40.2%	3.2%	9.1%	256.6K	-2.1M	-42.5K	0.14	10.40	N/A	N/A	3,055	428	16,760	6,890
2017-09-26	$14.77	$16.00	40.6%	11.7%	0.0%	0.0%	43.5%	4.8%	9.4%	205.9K	-452.6K	-39.0K	0.38	13.46	N/A	N/A	1,388	521	16,800	6,911
2017-09-27	$14.71	$16.00	38.7%	11.1%	0.0%	0.0%	41.0%	-0.2%	9.9%	237.9K	-1.1M	-39.8K	0.29	11.86	N/A	N/A	1,703	490	17,347	6,923
2017-09-28	$14.92	$16.00	40.0%	11.5%	0.0%	0.0%	40.1%	5.4%	9.5%	251.6K	-1.6M	-40.9K	0.09	9.06	N/A	N/A	5,001	439	17,448	6,929
2017-09-29	$15.78	$16.00	38.3%	11.0%	0.0%	0.0%	34.7%	3.2%	10.6%	353.7K	-8.1M	-50.5K	0.25	16.39	N/A	N/A	1,892	469	18,073	7,272