TRUE Options History — January 2018

In January 2018, TRUE traded between $11.40 and $12.28. ATM implied volatility averaged 62.6%. The 30-day expected move averaged 18.8%. Max pain ranged from $12.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2018-01-25: Highest Volume — 18,067 contracts
  • 2018-01-10: Largest IV spike — 39.8% change
  • 2018-01-30: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.81$11.40$12.28$11.40$11.80
Max Pain$12.19$12.00$14.00$14.00$12.00
ATM IV62.6%38.2%89.9%43.4%89.1%
Expected Move18.8%11.7%25.8%12.4%25.5%
Term Structure-9.5%-26.3%17.3%17.3%-26.3%
VWIV66.2%36.8%89.4%36.8%86.8%
Skew 25d8.3%-4.0%11.2%6.6%8.8%
Skew 10d31.9%-10.0%52.4%15.5%14.2%
Call IV 25d63.0%40.2%86.0%40.2%84.8%
Put IV 25d71.3%38.6%93.5%46.8%93.5%
Bid-Ask Spread %24.547.2442.167.2442.16
Gamma HHI0.410.270.680.280.63
Net GEX115.1K26.0K426.2K36.3K408.4K
Net DEX-3.2M-9.9M-830.2K-830.2K-8.2M
Net VEX-18.4K-38.5K-13.1K-13.9K-34.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.021.160.810.19
Total Volume2,521.42952718,0671,4822,165
Total OI17,695.0957,43427,27817,13927,272

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$11.40$14.0043.4%12.4%0.0%0.0%36.8%6.6%17.3%36.3K-830.2K-13.9K0.817.24N/AN/A81766512,6654,474
2018-01-03$11.41$14.0040.8%11.7%0.0%0.0%37.4%-4.0%17.0%32.0K-849.6K-13.6K1.1625.56N/AN/A8911,03112,6744,602
2018-01-04$11.59$12.0040.9%16.2%0.0%0.0%56.4%9.6%-5.0%28.6K-966.2K-14.5K0.5817.30N/AN/A1,04260212,7254,950
2018-01-05$11.72$12.0038.2%16.0%0.0%0.0%58.2%10.3%-5.3%28.3K-1.3M-14.3K0.6817.01N/AN/A90561312,8294,954
2018-01-08$11.54$12.0039.4%16.3%0.0%0.0%61.0%10.3%-4.3%26.0K-1.1M-13.7K0.6617.21N/AN/A89158412,8584,953
2018-01-09$11.64$12.0041.3%16.3%0.0%0.0%59.6%10.6%-6.2%26.3K-1.2M-13.6K0.9029.12N/AN/A65659012,8784,960
2018-01-10$11.67$12.0057.6%16.5%0.0%0.0%61.7%11.1%-6.9%27.9K-1.3M-13.7K0.8733.89N/AN/A65656912,9134,981
2018-01-11$12.16$12.0059.5%17.0%0.0%0.0%58.4%11.2%-7.9%34.6K-2.1M-14.2K0.6226.13N/AN/A78248712,8845,004
2018-01-12$11.73$12.0058.6%16.8%0.0%0.0%62.1%6.6%-7.8%36.9K-1.4M-13.8K0.5925.34N/AN/A1,00659313,1024,995
2018-01-16$11.80$12.0062.2%17.8%0.0%0.0%63.9%9.9%-11.2%45.0K-1.6M-13.3K0.7426.66N/AN/A1,03776713,5185,106
2018-01-17$11.89$12.0061.3%17.6%0.0%0.0%62.5%9.9%-8.4%56.5K-1.7M-13.1K0.6229.74N/AN/A1,03764713,5405,051
2018-01-18$11.73$12.0070.1%20.1%0.0%0.0%72.2%8.1%-14.5%45.5K-1.7M-13.2K0.3126.56N/AN/A2,09965713,5605,055
2018-01-19$11.71$12.0066.3%19.0%0.0%0.0%68.4%7.7%-13.0%58.9K-2.0M-14.5K0.3418.01N/AN/A1,60353814,5075,072
2018-01-22$11.77$12.0068.2%19.6%0.0%0.0%72.2%11.2%-9.6%59.8K-2.7M-14.3K0.8921.66N/AN/A2792485,7651,669
2018-01-23$11.91$12.0072.6%20.8%0.0%0.0%73.5%9.3%-12.9%61.0K-2.9M-14.5K0.6128.78N/AN/A5973625,7741,669
2018-01-24$12.28$12.0074.7%21.4%0.0%0.0%71.8%9.3%-16.4%72.4K-3.5M-15.3K0.3724.69N/AN/A9453486,1031,785
2018-01-25$12.08$12.0075.3%21.6%0.0%0.0%74.2%4.7%-17.1%66.3K-3.1M-14.5K0.0223.91N/AN/A17,7143535,9381,798
2018-01-26$12.25$12.0079.2%22.7%0.0%0.0%78.4%8.7%-18.6%425.1K-9.9M-38.5K0.2226.08N/AN/A1,85740923,3491,804
2018-01-29$12.07$12.0085.6%24.5%0.0%0.0%85.9%6.1%-19.4%426.2K-9.3M-37.6K0.1320.63N/AN/A2,65234824,7311,852
2018-01-30$11.89$12.0089.9%25.8%0.0%0.0%89.4%7.5%-23.4%415.4K-8.9M-36.9K0.1327.70N/AN/A2,57433425,4281,850
2018-01-31$11.80$12.0089.1%25.5%0.0%0.0%86.8%8.8%-26.3%408.4K-8.2M-34.9K0.1942.16N/AN/A1,82633925,4211,851