TRUE Options History — December 2017

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

In December 2017, TRUE traded between $10.97 and $12.05. ATM implied volatility averaged 43.5%. The 30-day expected move averaged 12.0%. Max pain ranged from $11.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.45.

Notable Days

2017-12-06: Highest Volume — 4,499 contracts
2017-12-11: Largest IV spike — 25.0% change
2017-12-04: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.32	$10.97	$12.05	$12.05	$11.21
Max Pain	$13.55	$11.00	$14.00	$11.00	$12.50
ATM IV	43.5%	38.2%	53.3%	45.1%	38.8%
Expected Move	12.0%	11.0%	13.4%	12.9%	11.1%
Term Structure	12.0%	-3.5%	19.2%	-3.5%	17.3%
VWIV	42.4%	39.9%	45.9%	45.9%	39.9%
Skew 25d	6.7%	0.5%	16.2%	5.0%	16.2%
Skew 10d	19.0%	-3.3%	34.5%	11.5%	33.9%
Call IV 25d	38.5%	27.5%	42.8%	42.1%	27.5%
Put IV 25d	45.2%	40.8%	49.8%	47.1%	43.7%
Bid-Ask Spread %	13.42	7.50	38.44	17.80	10.34
Gamma HHI	0.25	0.19	0.30	0.23	0.29
Net GEX	35.7K	9.7K	45.0K	9.7K	42.1K
Net DEX	-175.6K	-757.6K	770.9K	-309.6K	-677.3K
Net VEX	-14.9K	-16.6K	-13.1K	-14.3K	-14.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.11	0.88	0.25	0.61
Total Volume	2,399.95	1,101	4,499	2,498	1,420
Total OI	18,933.05	17,387	21,348	19,050	17,400

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
2017-12-01	$12.05	$11.00	45.1%	12.9%	0.0%	0.0%	45.9%	5.0%	-3.5%	9.7K	-309.6K	-14.3K	0.25	17.80	N/A	N/A	1,999	499	13,756	5,294
2017-12-04	$11.53	$14.00	50.4%	13.4%	0.0%	0.0%	44.1%	7.0%	4.6%	14.6K	400.8K	-14.0K	0.20	38.44	N/A	N/A	2,150	439	13,797	5,356
2017-12-05	$11.29	$14.00	51.7%	12.9%	0.0%	0.0%	44.4%	6.2%	8.0%	21.1K	770.9K	-13.1K	0.11	11.32	N/A	N/A	3,944	415	13,931	5,364
2017-12-06	$11.31	$14.00	48.2%	12.3%	0.0%	0.0%	42.6%	8.3%	10.9%	39.5K	114.9K	-15.7K	0.13	11.36	N/A	N/A	3,973	526	15,090	5,312
2017-12-07	$11.77	$14.00	42.5%	11.5%	0.0%	0.0%	41.3%	14.5%	11.7%	40.6K	-726.5K	-16.3K	0.15	10.41	N/A	N/A	3,918	569	15,090	5,314
2017-12-08	$11.74	$14.00	42.7%	12.7%	0.0%	0.0%	41.7%	12.9%	6.6%	43.4K	-757.6K	-15.9K	0.15	9.47	N/A	N/A	3,916	570	15,115	5,226
2017-12-11	$11.08	$14.00	53.3%	12.4%	0.0%	0.0%	41.6%	5.7%	9.1%	35.6K	432.6K	-14.3K	0.30	15.02	N/A	N/A	1,900	579	15,084	5,207
2017-12-12	$11.00	$14.00	50.2%	12.4%	0.0%	0.0%	43.4%	5.0%	8.9%	33.3K	520.4K	-14.2K	0.27	12.82	N/A	N/A	1,900	514	15,101	5,194
2017-12-13	$11.35	$14.00	42.6%	12.2%	0.0%	0.0%	43.0%	4.3%	9.1%	36.1K	17.0K	-14.0K	0.24	11.08	N/A	N/A	2,246	531	15,101	5,299
2017-12-14	$11.10	$14.00	43.1%	12.4%	0.0%	0.0%	44.6%	2.6%	11.2%	36.1K	303.7K	-14.1K	0.14	11.61	N/A	N/A	3,574	495	15,113	5,275
2017-12-15	$11.19	$14.00	42.4%	12.1%	0.0%	0.0%	40.6%	5.0%	10.7%	36.9K	-490.9K	-16.6K	0.27	16.23	N/A	N/A	1,932	519	16,094	5,254
2017-12-18	$11.43	$14.00	42.0%	12.0%	0.0%	0.0%	42.2%	7.4%	15.6%	32.5K	-694.4K	-16.3K	0.73	11.49	N/A	N/A	635	466	12,719	4,668
2017-12-19	$11.34	$14.00	40.6%	11.6%	0.0%	0.0%	41.0%	2.5%	16.9%	37.8K	-475.5K	-15.6K	0.74	11.60	N/A	N/A	695	515	12,711	4,684
2017-12-20	$11.44	$14.00	39.3%	11.3%	0.0%	0.0%	40.1%	3.8%	17.3%	39.9K	-540.6K	-15.5K	0.88	19.80	N/A	N/A	676	592	12,735	4,721
2017-12-21	$11.33	$14.00	39.5%	11.3%	0.0%	0.0%	42.0%	0.5%	13.4%	39.0K	-454.5K	-15.7K	0.71	13.22	N/A	N/A	715	505	12,791	4,772
2017-12-22	$11.27	$14.00	38.2%	11.0%	0.0%	0.0%	40.7%	4.6%	19.2%	42.7K	-421.9K	-15.2K	0.71	12.35	N/A	N/A	733	520	12,859	4,783
2017-12-26	$11.10	$12.50	39.7%	11.4%	0.0%	0.0%	42.7%	6.5%	19.2%	45.0K	-305.5K	-14.4K	0.75	7.59	N/A	N/A	649	489	12,883	4,602
2017-12-27	$10.97	$12.50	40.8%	11.7%	0.0%	0.0%	41.8%	2.1%	16.7%	44.6K	-143.5K	-14.2K	0.79	7.50	N/A	N/A	647	508	12,875	4,627
2017-12-28	$10.97	$12.50	39.5%	11.3%	0.0%	0.0%	44.7%	14.6%	17.0%	42.4K	-74.4K	-14.1K	0.80	8.92	N/A	N/A	625	501	12,884	4,580
2017-12-29	$11.21	$12.50	38.8%	11.1%	0.0%	0.0%	39.9%	16.2%	17.3%	42.1K	-677.3K	-14.0K	0.61	10.34	N/A	N/A	881	539	12,889	4,511