TIME Options History — November 2015

In November 2015, TIME traded between $15.65 and $19.33. ATM implied volatility averaged 34.8%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 0.9% (HV 20d: 33.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.93.

Notable Days

  • 2015-11-10: Highest Volume — 1,442 contracts
  • 2015-11-12: Largest IV spike — 27.4% change
  • 2015-11-12: Highest IV Rank — 81.8%
  • 2015-11-12: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.79$15.65$19.33$19.33$16.64
Max Pain$17.88$17.50$20.00$20.00$17.50
ATM IV34.8%27.4%40.3%34.3%31.5%
Expected Move9.9%7.9%11.6%9.8%9.0%
HV 20d33.9%26.9%38.1%26.9%37.6%
HV 60d31.9%30.5%34.1%31.1%31.2%
IV Rank60.4%26.8%81.8%60.0%42.6%
IV Percentile68.6%17.1%92.9%70.2%47.6%
Term Structure-1.5%-4.9%0.8%-4.0%-2.8%
VWIV33.7%21.1%44.0%36.2%32.3%
Skew 25d8.8%1.5%13.6%9.2%11.8%
Skew 10d15.2%0.8%30.2%12.8%10.1%
Call IV 25d32.3%26.6%38.7%34.5%32.8%
Put IV 25d41.1%35.1%45.0%43.7%44.6%
Bid-Ask Spread %96.4789.49109.4089.49105.06
Gamma HHI0.530.460.790.770.48
Net GEX17.0K-13.8K103.4K101.1K-7.5K
Net DEX701.4K-1.2M1.5M-1.2M677.7K
Net VEX-3.3K-8.7K-875-8.6K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.005.501.510.00
Total Volume602.101,44219325
Total OI3,466.32,9953,8043,1793,022

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$19.33$20.0034.3%9.8%26.9%60.0%36.2%9.2%-4.0%101.1K-1.2M-8.6K1.5189.49N/AN/A771162,550629
2015-11-03$19.21$20.0036.6%10.5%26.9%68.4%44.0%8.7%-4.9%103.4K-1.1M-8.7K1.4194.52N/AN/A821162,555629
2015-11-04$19.02$20.0036.0%10.3%27.2%66.0%36.2%6.0%-3.6%98.0K-922.5K-8.3K3.19100.36N/AN/A2016412,560629
2015-11-05$18.01$17.5035.7%9.5%31.1%65.1%33.0%8.1%-1.3%34.2K267.7K-7.2K3.39101.89N/AN/A1956622,6431,161
2015-11-06$17.41$17.5031.0%9.0%32.4%48.0%31.2%13.6%0.3%15.7K649.7K-4.9K0.68109.40N/AN/A136932,643950
2015-11-09$17.09$17.5035.7%9.4%32.7%65.2%41.3%10.8%-0.4%9.3K812.5K-4.5K0.6095.60N/AN/A532,7551,017
2015-11-10$16.43$17.5033.6%9.4%34.6%57.5%33.6%8.5%-0.3%5.3K1.1M-3.3K0.9990.70N/AN/A7237192,7551,020
2015-11-11$16.54$17.5031.6%9.1%34.9%50.3%30.5%9.2%-1.4%821.1M-3.3K0.9994.89N/AN/A7237192,7081,020
2015-11-12$15.99$17.5040.3%11.6%36.1%81.8%33.0%9.1%-4.5%8001.3M-2.0K1.0490.15N/AN/A6917192,7081,023
2015-11-13$15.99$17.5037.3%10.7%36.0%70.8%38.1%8.5%0.0%2.1K1.3M-2.0K1.0194.77N/AN/A7097192,7131,023
2015-11-16$16.02$17.5038.9%11.2%36.2%76.8%0.0%8.6%-1.9%4.6K1.4M-1.9K0.0093.15N/AN/A002,6931,023
2015-11-17$15.92$17.5037.4%10.7%35.4%71.2%21.1%1.5%-1.4%1.3K1.4M-1.5K1.0194.10N/AN/A7097192,6931,023
2015-11-18$15.70$17.5036.9%10.6%35.3%69.3%23.1%6.7%-1.6%-5171.4M-1.3K3.2292.27N/AN/A2237192,6931,023
2015-11-19$15.65$17.5035.2%10.1%34.5%63.2%24.9%3.5%-0.5%-1.9K1.4M-1.1K3.2691.10N/AN/A2217202,6881,023
2015-11-20$15.96$17.5035.7%10.2%34.8%65.1%32.8%12.5%-0.9%-1.5K1.5M-1.1K0.5195.16N/AN/A2211132,6911,027
2015-11-23$15.99$17.5035.4%10.1%34.9%63.8%0.0%7.8%0.1%98813.3K-1.1K0.0095.44N/AN/A502,391604
2015-11-24$15.85$17.5036.6%10.5%34.0%68.4%36.6%8.6%-1.9%-1.8K820.9K-8755.50100.29N/AN/A4222,395604
2015-11-25$16.53$17.5027.4%7.9%37.9%26.8%39.2%11.6%-0.2%-8.7K711.7K-1.7K4.28104.55N/AN/A291242,397626
2015-11-27$16.60$17.5028.2%8.1%38.1%28.7%39.7%11.7%0.8%-13.8K724.1K-1.4K4.1596.61N/AN/A271122,394625
2015-11-30$16.64$17.5031.5%9.0%37.6%42.6%32.3%11.8%-2.8%-7.5K677.7K-1.7K0.00105.06N/AN/A2502,396626