TIME Options History — March 2016

In March 2016, TIME traded between $14.14 and $15.67. ATM implied volatility averaged 32.8%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 10.9% (HV 20d: 43.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2016-03-14: Highest Volume — 426 contracts
  • 2016-03-07: Largest IV spike — 21.1% change
  • 2016-03-07: Highest IV Rank — 27.1%
  • 2016-03-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.98$14.14$15.67$14.14$15.47
Max Pain$14.77$12.50$15.00$12.50$15.00
ATM IV32.8%30.0%36.4%35.5%31.4%
Expected Move9.4%8.8%10.2%10.2%9.0%
HV 20d43.7%35.6%54.1%51.8%35.6%
HV 60d46.2%44.9%47.0%45.6%44.9%
IV Rank20.2%14.9%27.1%25.4%17.6%
IV Percentile45.1%27.4%67.1%60.7%32.9%
Term Structure1.4%-1.1%4.7%-0.6%4.7%
VWIV33.5%31.3%36.4%36.4%31.5%
Skew 25d7.9%-2.4%17.9%12.3%8.9%
Skew 10d14.1%-0.3%28.0%11.9%23.4%
Call IV 25d30.9%24.4%38.9%36.4%24.4%
Put IV 25d38.8%29.1%56.8%48.8%33.3%
Bid-Ask Spread %96.1971.88114.81100.0892.28
Gamma HHI0.630.500.810.620.63
Net GEX200.2K135.3K337.3K153.1K135.3K
Net DEX-1.8M-2.9M-1.1M-1.1M-1.9M
Net VEX-11.9K-13.7K-10.2K-11.2K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.280.670.350.33
Total Volume220.95595426276149
Total OI12,477.18212,27312,91112,39112,299

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$14.14$12.5035.5%10.2%51.8%25.4%36.4%12.3%-0.6%153.1K-1.1M-11.2K0.35100.08N/AN/A2057111,943448
2016-03-02$14.49$12.5034.3%9.8%52.4%23.1%35.3%17.9%-1.1%187.8K-1.5M-13.1K0.36104.19N/AN/A1997111,992445
2016-03-03$14.29$15.0034.1%9.4%52.6%22.7%33.3%8.0%1.1%156.3K-1.2M-11.3K0.3998.01N/AN/A1837111,996445
2016-03-04$14.38$15.0030.0%9.5%52.0%14.9%34.9%9.0%0.7%189.2K-1.4M-13.0K0.40111.53N/AN/A1767111,998445
2016-03-07$14.60$15.0036.4%9.5%51.9%27.1%33.0%11.0%-0.2%197.5K-1.5M-12.6K0.5587.60N/AN/A935112,001445
2016-03-08$14.24$15.0032.5%9.9%52.7%19.6%35.0%6.0%-0.1%159.7K-1.1M-10.7K0.5497.55N/AN/A935012,002447
2016-03-09$14.95$15.0033.5%9.6%53.0%21.5%33.8%13.7%-0.8%252.4K-1.9M-13.2K0.5697.14N/AN/A1096112,002448
2016-03-10$14.48$15.0032.9%9.4%54.1%20.3%32.8%10.4%0.4%184.3K-1.2M-10.6K0.5693.02N/AN/A1096112,023449
2016-03-11$15.04$15.0031.6%9.1%43.4%17.9%31.6%14.4%1.0%254.2K-2.0M-13.3K0.5593.06N/AN/A26314412,023449
2016-03-14$15.04$15.0031.6%9.1%43.5%18.0%31.6%4.0%1.4%250.2K-1.9M-12.6K0.5184.16N/AN/A28214412,220554
2016-03-15$14.58$15.0032.0%9.2%39.8%18.8%32.0%-0.8%1.0%190.8K-1.3M-10.4K0.5171.88N/AN/A28214412,230554
2016-03-16$15.14$15.0031.7%9.1%38.5%18.1%32.3%16.3%0.1%337.3K-2.2M-12.2K0.67114.81N/AN/A21614412,230554
2016-03-17$15.53$15.0031.3%9.0%39.2%17.4%31.3%7.6%0.5%316.5K-2.9M-13.7K0.5996.95N/AN/A24614412,357554
2016-03-18$15.45$15.0030.8%8.8%39.1%16.5%32.1%6.8%1.8%214.3K-2.9M-12.9K0.28105.06N/AN/A1413912,331556
2016-03-21$15.67$15.0032.9%9.4%38.7%20.4%33.6%0.9%3.5%243.0K-2.3M-13.3K0.4695.63N/AN/A653011,754519
2016-03-22$15.40$15.0032.7%9.4%37.7%20.0%35.0%-2.4%2.4%186.3K-1.9M-12.1K0.5393.54N/AN/A663511,754519
2016-03-23$15.30$15.0032.6%9.4%37.7%19.9%35.4%-1.4%3.0%162.7K-1.8M-11.8K0.5293.23N/AN/A673511,774524
2016-03-24$15.20$15.0031.6%9.1%37.5%18.0%32.6%8.8%2.8%146.5K-1.5M-10.7K0.5192.50N/AN/A673411,774524
2016-03-28$15.34$15.0033.7%9.7%37.5%22.0%34.0%7.9%3.4%159.1K-1.7M-11.2K0.32104.42N/AN/A1123611,777527
2016-03-29$15.46$15.0034.7%9.9%36.2%23.9%34.8%8.1%2.5%178.4K-1.9M-11.3K0.3797.33N/AN/A1124111,777535
2016-03-30$15.38$15.0033.7%9.7%36.4%22.1%34.0%7.4%2.0%150.0K-1.7M-10.2K0.3392.26N/AN/A1123711,775525
2016-03-31$15.47$15.0031.4%9.0%35.6%17.6%31.5%8.9%4.7%135.3K-1.9M-10.4K0.3392.28N/AN/A1123711,775524