TRUE Options History — November 2017

In November 2017, TRUE traded between $10.41 and $16.35. ATM implied volatility averaged 53.1%. The 30-day expected move averaged 14.1%. Max pain ranged from $11.00 to $16.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2017-11-07: Highest Volume — 8,853 contracts
  • 2017-11-07: Largest IV drop — 30.7% change
  • 2017-11-01: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.31$10.41$16.35$16.10$12.16
Max Pain$12.33$11.00$16.00$15.00$11.00
ATM IV53.1%42.2%87.4%70.8%44.1%
Expected Move14.1%12.1%20.3%20.3%12.7%
Term Structure-2.5%-19.4%3.3%-19.4%-3.6%
VWIV50.1%44.3%76.5%76.5%46.5%
Skew 25d6.3%0.0%13.5%4.2%4.5%
Skew 10d20.1%-7.6%34.5%31.0%34.5%
Call IV 25d46.9%38.7%69.8%69.8%43.6%
Put IV 25d53.2%46.9%74.0%74.0%48.1%
Bid-Ask Spread %26.88-14.8578.5342.3116.96
Gamma HHI0.250.160.440.430.24
Net GEX103.5K-34.1K428.4K413.5K3.3K
Net DEX-468.0K-12.3M8.3M-11.3M-428.3K
Net VEX-19.9K-48.7K-9.4K-48.7K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.142.842.840.16
Total Volume4,336.7621,0798,8535,4433,408
Total OI25,900.38118,03632,95827,07619,047

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$16.10$15.0070.8%20.3%0.0%0.0%76.5%4.2%-19.4%413.5K-11.3M-48.7K2.8442.31N/AN/A1,4174,02618,2288,848
2017-11-02$16.30$16.0071.1%14.7%0.0%0.0%51.4%5.1%-6.8%417.4K-12.3M-48.0K0.7817.04N/AN/A60547418,3058,940
2017-11-03$16.12$16.0071.5%14.6%0.0%0.0%52.2%7.6%-5.6%428.4K-11.6M-46.3K0.1459.58N/AN/A2,91741018,1388,996
2017-11-06$16.35$16.0087.4%15.7%0.0%0.0%53.6%7.6%-8.4%363.3K-11.4M-43.8K0.1617.56N/AN/A4,55471917,2449,121
2017-11-07$10.59$16.0060.6%15.5%0.0%0.0%58.2%13.5%-1.3%-34.1K8.3M-9.4K0.81-14.85N/AN/A4,8883,96519,9239,614
2017-11-08$10.41$15.0051.3%14.7%0.0%0.0%49.8%8.0%-3.4%28.6K5.4M-10.1K0.7716.91N/AN/A2,3951,85222,7177,850
2017-11-09$10.92$11.0050.0%14.3%0.0%0.0%45.5%10.0%-2.7%46.1K4.5M-12.2K0.4578.53N/AN/A3,7331,68723,0327,412
2017-11-10$11.24$11.0048.6%13.9%0.0%0.0%47.5%4.6%-0.2%63.9K4.0M-13.6K0.5314.97N/AN/A3,1811,68024,5557,578
2017-11-13$10.98$11.0050.1%14.4%0.0%0.0%51.3%7.5%-1.1%52.1K4.2M-13.2K0.4718.23N/AN/A3,1391,47624,7157,733
2017-11-14$11.13$11.0050.3%14.4%0.0%0.0%49.8%7.7%-0.4%51.2K4.1M-13.2K0.4316.98N/AN/A3,3411,44924,7847,802
2017-11-15$11.30$11.0052.2%15.0%0.0%0.0%50.3%4.0%-0.9%52.9K3.6M-14.8K0.4446.90N/AN/A3,2231,40325,0687,884
2017-11-16$11.29$11.0049.6%14.2%0.0%0.0%47.3%3.4%1.9%46.4K3.6M-14.7K0.4557.64N/AN/A3,1461,41625,0697,889
2017-11-17$11.13$11.0047.8%13.7%0.0%0.0%49.4%0.0%3.3%35.7K3.6M-14.7K0.4251.43N/AN/A3,1901,33225,0657,882
2017-11-20$11.28$11.0046.4%13.3%0.0%0.0%45.8%4.6%-1.2%33.0K77.0K-13.6K0.1615.81N/AN/A3,01047613,7294,307
2017-11-21$11.72$11.0044.5%12.8%0.0%0.0%46.4%6.2%1.4%28.4K-464.5K-14.2K0.2220.88N/AN/A3,20069813,8364,332
2017-11-22$11.70$11.0043.3%12.4%0.0%0.0%46.2%8.3%0.8%33.2K-539.3K-14.5K0.2619.11N/AN/A3,01176914,0644,468
2017-11-24$11.74$11.0043.0%12.3%0.0%0.0%45.9%6.7%1.8%33.7K-568.7K-14.7K0.2122.33N/AN/A3,00762514,0954,627
2017-11-27$11.86$11.0043.2%12.4%0.0%0.0%48.3%7.4%-1.4%31.6K-632.3K-15.1K0.1514.61N/AN/A2,92943914,1144,711
2017-11-28$12.04$11.0042.2%12.1%0.0%0.0%44.3%8.2%-0.2%27.2K-944.3K-14.4K0.3315.41N/AN/A2,91795914,1274,756
2017-11-29$12.17$11.0046.6%13.4%0.0%0.0%46.6%4.0%-6.0%17.4K-1.1M-15.4K0.2016.19N/AN/A3,33367314,1605,143
2017-11-30$12.16$11.0044.1%12.7%0.0%0.0%46.5%4.5%-3.6%3.3K-428.3K-14.4K0.1616.96N/AN/A2,94446413,7395,308