TIME Options History — December 2015

In December 2015, TIME traded between $14.95 and $17.00. ATM implied volatility averaged 34.4%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 0.5% (HV 20d: 33.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.25.

Notable Days

  • 2015-12-08: Highest Volume — 4,372 contracts
  • 2015-12-09: Largest IV spike — 28.9% change
  • 2015-12-14: Highest IV Rank — 81.4%
  • 2015-12-14: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.84$14.95$17.00$17.00$15.76
Max Pain$19.77$17.50$20.00$17.50$20.00
ATM IV34.4%27.8%41.0%30.0%32.7%
Expected Move9.9%8.3%11.8%8.6%9.4%
HV 20d33.9%25.6%38.5%35.5%35.4%
HV 60d32.8%30.6%35.0%31.3%32.6%
IV Rank52.7%24.1%81.4%33.6%45.0%
IV Percentile62.6%17.5%95.6%35.7%49.2%
Term Structure1.2%-2.5%10.8%-0.2%10.8%
VWIV35.5%31.7%45.9%32.7%45.9%
Skew 25d6.4%-1.6%14.9%-1.6%8.0%
Skew 10d15.1%-8.8%76.3%-6.8%76.3%
Call IV 25d33.1%28.9%41.5%34.4%30.7%
Put IV 25d39.5%32.8%50.1%32.8%38.7%
Bid-Ask Spread %100.1889.31121.64100.89121.64
Gamma HHI0.820.480.990.480.97
Net GEX137.9K-14.9K274.0K-4.6K274.0K
Net DEX-1.9M-4.7M869.2K563.0K-4.7M
Net VEX-18.6K-36.5K-750-2.0K-36.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.005.820.000.25
Total Volume714.18204,3723985
Total OI8,443.5453,02713,2723,02913,272

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$17.00$17.5030.0%8.6%35.5%33.6%0.0%-1.6%-0.2%-4.6K563.0K-2.0K0.00100.89N/AN/A302,403626
2015-12-02$16.90$17.5030.8%8.8%35.5%36.8%32.7%-1.2%-0.6%-7.3K613.0K-1.8K3.22107.47N/AN/A361162,401626
2015-12-03$16.63$20.0027.8%8.7%35.6%24.1%33.2%7.9%1.1%-11.4K704.3K-1.6K3.22102.80N/AN/A361162,401646
2015-12-04$16.41$20.0029.3%8.3%31.0%30.2%31.9%6.0%2.6%-14.9K804.3K-1.1K2.8992.28N/AN/A361042,401646
2015-12-07$16.23$20.0035.8%10.4%29.1%58.8%0.0%4.6%-0.3%-10.8K869.2K-7500.0097.38N/AN/A002,401646
2015-12-08$16.33$20.0028.5%8.9%28.7%26.9%33.0%4.5%3.1%-13.3K844.9K-8850.0293.15N/AN/A4,2681042,401646
2015-12-09$16.11$20.0036.7%10.5%25.6%62.6%34.4%4.7%-0.4%143.2K-2.1M-18.5K0.3099.20N/AN/A3421047,367646
2015-12-10$16.55$20.0031.6%9.1%27.4%40.6%34.7%6.7%1.4%158.3K-2.7M-19.9K1.28100.15N/AN/A811047,365646
2015-12-11$15.87$20.0040.2%11.5%28.8%77.8%35.9%9.3%-2.5%134.6K-1.9M-18.1K1.2190.76N/AN/A851037,355646
2015-12-14$15.08$20.0041.0%11.8%34.0%81.4%41.1%8.7%-1.3%115.0K-1.3M-15.6K2.0389.31N/AN/A611247,359646
2015-12-15$15.53$20.0038.2%11.0%35.8%69.2%37.5%7.1%-0.7%133.7K-1.4M-16.1K2.0394.21N/AN/A611247,361666
2015-12-16$15.71$20.0036.6%10.5%36.1%62.3%36.3%5.0%0.8%139.6K-1.4M-16.2K2.30102.79N/AN/A541247,361666
2015-12-17$15.34$20.0034.4%9.9%36.7%52.6%34.6%2.4%2.7%130.4K-1.1M-15.0K1.9491.27N/AN/A641247,361666
2015-12-18$15.09$20.0038.0%10.9%37.1%68.2%36.6%14.3%-2.5%117.3K-1.2M-14.5K0.0592.36N/AN/A3,1011617,371527
2015-12-21$14.95$20.0034.3%9.8%36.3%52.1%34.3%10.7%2.9%173.6K-2.7M-25.3K0.0999.37N/AN/A2,77525210,416368
2015-12-22$15.41$20.0034.4%9.9%38.2%52.6%33.1%14.9%2.4%253.4K-4.2M-34.8K1.75109.60N/AN/A14124712,742474
2015-12-23$15.62$20.0035.0%10.0%38.5%55.3%32.8%7.1%2.2%269.2K-4.6M-36.0K3.25106.00N/AN/A7624712,758488
2015-12-24$15.63$20.0033.9%9.7%35.0%50.4%31.7%6.0%3.2%271.4K-4.6M-36.5K4.1398.03N/AN/A6024812,740488
2015-12-28$15.35$20.0036.4%10.4%35.3%61.1%37.3%5.6%0.3%247.0K-4.0M-32.9K5.71103.48N/AN/A5229712,728489
2015-12-29$15.56$20.0036.0%10.3%35.8%59.6%37.2%5.1%1.4%269.7K-4.0M-33.1K5.82105.71N/AN/A5129712,730540
2015-12-30$15.51$20.0035.8%10.3%34.6%58.7%36.0%4.5%0.4%266.4K-4.0M-33.2K5.82106.02N/AN/A5129712,732540
2015-12-31$15.76$20.0032.7%9.4%35.4%45.0%45.9%8.0%10.8%274.0K-4.7M-36.0K0.25121.64N/AN/A78619912,732540