TRUE Options History — October 2017

In October 2017, TRUE traded between $15.00 and $16.34. ATM implied volatility averaged 51.8%. The 30-day expected move averaged 15.5%. Max pain ranged from $14.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-10-25: Highest Volume — 8,078 contracts
  • 2017-10-11: Largest IV spike — 25.4% change
  • 2017-10-31: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.64$15.00$16.34$15.76$16.14
Max Pain$14.27$14.00$16.00$16.00$14.00
ATM IV51.8%35.7%67.6%39.4%67.6%
Expected Move15.5%11.0%19.4%11.3%19.4%
Term Structure-6.5%-15.2%12.1%11.3%-15.2%
VWIV55.7%37.9%73.3%41.1%73.3%
Skew 25d5.1%2.2%8.2%2.9%5.4%
Skew 10d12.0%-5.2%40.3%8.3%23.2%
Call IV 25d52.2%38.3%66.5%40.3%66.5%
Put IV 25d57.2%41.2%71.9%43.2%71.9%
Bid-Ask Spread %36.8012.2168.6216.1863.23
Gamma HHI0.450.340.640.410.42
Net GEX442.7K230.3K693.5K359.4K451.8K
Net DEX-8.1M-13.5M-3.0M-8.0M-12.4M
Net VEX-46.4K-51.0K-37.5K-49.3K-49.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.154.020.473.04
Total Volume4,174.2271,4578,0781,5135,342
Total OI26,88917,25429,77525,44026,830

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$15.76$16.0039.4%11.3%0.0%0.0%41.1%2.9%11.3%359.4K-8.0M-49.3K0.4716.18N/AN/A1,03048318,1857,255
2017-10-03$15.94$16.0039.9%11.4%0.0%0.0%38.9%2.2%11.4%370.5K-9.3M-49.6K0.4212.70N/AN/A1,02643118,3287,257
2017-10-04$16.06$16.0038.2%11.0%0.0%0.0%37.9%2.9%12.1%383.8K-9.8M-48.5K0.1912.21N/AN/A2,24642518,3347,260
2017-10-05$16.34$14.0038.6%15.0%0.0%0.0%52.5%6.1%-6.9%491.3K-12.7M-50.4K0.1826.96N/AN/A2,07238119,5067,279
2017-10-06$16.11$14.0035.7%14.5%0.0%0.0%51.2%5.5%-4.6%515.1K-11.6M-51.0K0.2723.85N/AN/A2,08355720,1887,297
2017-10-09$16.03$14.0040.5%14.6%0.0%0.0%51.6%6.3%-6.2%519.8K-10.7M-49.7K0.1529.36N/AN/A3,61155520,1887,495
2017-10-10$15.32$14.0041.8%15.1%0.0%0.0%54.2%6.0%-6.2%461.9K-6.1M-48.1K0.2520.05N/AN/A2,86571820,8997,500
2017-10-11$15.26$14.0052.4%15.0%0.0%0.0%53.1%4.9%-6.5%442.6K-4.8M-45.4K0.2220.60N/AN/A2,85262020,6817,608
2017-10-12$15.44$14.0052.8%15.1%0.0%0.0%54.4%6.2%-7.7%498.8K-6.2M-46.8K0.1756.36N/AN/A4,32675120,6787,590
2017-10-13$15.35$14.0053.4%15.3%0.0%0.0%55.0%6.6%-8.4%596.8K-6.4M-45.7K0.2461.39N/AN/A3,06574221,9747,761
2017-10-16$15.12$14.0053.3%15.3%0.0%0.0%55.4%6.3%-8.0%541.4K-4.7M-42.0K0.2266.24N/AN/A3,96588822,0147,761
2017-10-17$15.09$14.0054.3%15.6%0.0%0.0%56.3%8.2%-8.5%385.1K-3.0M-40.3K0.2168.62N/AN/A3,70777520,9817,944
2017-10-18$15.72$14.0055.6%15.9%0.0%0.0%57.0%6.1%-12.3%649.2K-7.5M-42.4K0.6467.64N/AN/A1,8411,17520,4317,897
2017-10-19$15.66$14.0055.0%15.8%0.0%0.0%58.3%4.5%-11.5%693.5K-7.7M-41.5K0.8244.61N/AN/A1,20098120,6217,894
2017-10-20$16.00$14.0056.6%16.2%0.0%0.0%58.8%5.9%-12.5%249.6K-8.9M-40.4K0.2864.75N/AN/A3,53398720,6827,909
2017-10-23$15.29$14.0058.8%16.8%0.0%0.0%58.3%2.6%-8.7%230.3K-5.1M-37.5K0.7824.71N/AN/A4,4043,43212,3244,930
2017-10-24$15.49$14.0057.8%16.6%0.0%0.0%60.8%2.7%-7.1%255.4K-6.4M-45.7K3.6421.68N/AN/A9403,42515,0527,976
2017-10-25$15.00$14.0060.0%17.2%0.0%0.0%61.6%4.5%-9.4%240.6K-4.6M-44.8K0.7525.43N/AN/A4,6163,46215,7587,993
2017-10-26$15.27$14.0060.4%17.3%0.0%0.0%62.5%2.4%-9.5%417.2K-8.2M-50.4K4.0223.78N/AN/A8523,42319,4248,029
2017-10-27$15.72$14.0061.3%17.6%0.0%0.0%63.4%5.5%-13.9%467.4K-10.7M-50.6K1.7623.76N/AN/A1,9513,43719,4368,058
2017-10-30$16.07$14.0065.1%18.7%0.0%0.0%69.9%8.2%-14.3%517.3K-13.5M-50.8K1.1535.51N/AN/A3,1033,55520,2748,077
2017-10-31$16.14$14.0067.6%19.4%0.0%0.0%73.3%5.4%-15.2%451.8K-12.4M-49.0K3.0463.23N/AN/A1,3234,01918,5948,236