TIME Options History — January 2016

In January 2016, TIME traded between $13.24 and $15.00. ATM implied volatility averaged 46.8%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 3.5% (HV 20d: 43.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 2.96.

Notable Days

  • 2016-01-04: Highest Volume — 2,937 contracts
  • 2016-01-11: Largest IV spike — 43.8% change
  • 2016-01-11: Highest IV Rank — 100.0%
  • 2016-01-20: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.20$13.24$15.00$14.95$15.00
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV46.8%39.7%74.2%39.7%42.1%
Expected Move12.6%10.9%15.0%11.5%12.1%
HV 20d43.4%34.7%50.2%39.3%50.2%
HV 60d37.1%33.3%40.4%34.1%40.1%
IV Rank61.1%36.2%100.0%75.4%38.2%
IV Percentile96.8%88.9%100.0%88.9%92.9%
Term Structure-3.3%-5.0%-1.2%-2.9%-2.6%
VWIV45.3%37.5%55.7%39.8%42.1%
Skew 25d7.5%1.5%16.8%6.4%16.8%
Skew 10d12.2%1.1%26.7%12.4%26.7%
Call IV 25d42.0%36.7%46.3%41.5%38.6%
Put IV 25d49.5%44.6%55.3%47.9%55.3%
Bid-Ask Spread %98.5588.75112.4788.75104.79
Gamma HHI0.530.490.980.980.50
Net GEX323.8K225.7K461.7K248.4K461.7K
Net DEX-3.6M-5.9M-1.6M-3.5M-5.9M
Net VEX-27.5K-35.4K-19.8K-31.3K-31.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.960.145.870.142.25
Total Volume588.211132,9372,93713
Total OI16,493.73713,96218,15913,96215,549

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$14.95$15.0039.7%11.5%39.3%75.4%39.8%6.4%-2.9%248.4K-3.5M-31.3K0.1488.75N/AN/A2,56836913,421541
2016-01-05$14.76$15.0041.3%10.9%39.3%82.5%37.5%4.6%-1.2%326.1K-4.9M-34.7K1.4691.38N/AN/A22232415,904721
2016-01-06$14.71$15.0043.6%12.2%39.2%92.7%41.7%5.1%-4.7%327.0K-4.5M-32.7K0.7292.04N/AN/A45032416,068762
2016-01-07$14.57$15.0042.3%11.8%39.0%86.7%41.0%4.3%-2.9%374.0K-5.3M-35.4K0.2289.87N/AN/A1,45232417,322762
2016-01-08$14.35$15.0041.4%12.1%39.1%83.2%39.9%1.5%-2.7%352.4K-4.8M-34.3K1.7390.72N/AN/A19834317,328762
2016-01-11$14.08$15.0059.6%11.8%37.3%100.0%50.1%10.3%-2.6%322.8K-3.5M-28.7K1.75112.47N/AN/A20034917,328812
2016-01-12$13.89$15.0074.2%11.9%35.2%100.0%43.1%6.0%-2.5%309.3K-3.0M-27.5K1.8594.63N/AN/A18233717,330818
2016-01-13$13.24$15.0048.0%13.8%34.7%49.6%44.7%1.8%-5.0%225.7K-1.6M-20.8K1.72101.28N/AN/A18631917,335824
2016-01-14$14.40$15.0041.1%11.8%45.8%36.2%46.3%12.6%-2.2%361.4K-4.2M-30.9K1.7199.08N/AN/A18731917,343811
2016-01-15$13.82$15.0044.0%12.6%47.3%41.9%45.3%7.3%-3.7%289.2K-2.6M-24.7K5.19104.92N/AN/A5327517,336811
2016-01-19$13.64$15.0050.6%14.5%46.9%54.5%48.1%5.0%-3.3%271.5K-2.5M-23.1K5.39105.15N/AN/A3820514,845570
2016-01-20$13.75$15.0052.3%15.0%47.0%57.8%47.2%7.8%-4.1%287.8K-2.7M-23.4K5.39103.53N/AN/A3820514,850570
2016-01-21$13.92$15.0045.0%12.9%47.3%43.8%49.0%8.0%-4.6%305.0K-3.0M-24.2K5.3992.24N/AN/A3820514,855570
2016-01-22$13.77$15.0042.4%12.2%45.6%38.8%47.7%6.6%-3.5%285.1K-2.3M-21.2K5.3994.49N/AN/A3820514,855570
2016-01-25$13.65$15.0050.9%14.6%45.1%55.1%44.1%2.7%-3.7%282.5K-2.0M-19.8K5.8795.58N/AN/A3822314,855570
2016-01-26$14.26$15.0044.1%12.6%48.5%42.0%55.7%11.1%-3.3%347.7K-3.6M-24.1K4.21102.22N/AN/A5322314,855584
2016-01-27$14.49$15.0043.6%12.5%48.7%41.0%51.1%12.1%-3.3%383.9K-4.4M-27.4K2.71109.40N/AN/A8623314,870584
2016-01-28$14.50$15.0043.8%12.6%48.4%41.5%46.7%12.9%-3.3%391.7K-4.5M-27.2K3.1299.98N/AN/A8626814,896594
2016-01-29$15.00$15.0042.1%12.1%50.2%38.2%42.1%16.8%-2.6%461.7K-5.9M-31.5K2.25104.79N/AN/A4914,906643