TIME Options History — April 2016

In April 2016, TIME traded between $14.41 and $15.44. ATM implied volatility averaged 35.0%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 7.2% (HV 20d: 27.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2016-04-12: Highest Volume — 341 contracts
  • 2016-04-11: Largest IV spike — 48.6% change
  • 2016-04-11: Highest IV Rank — 36.7%
  • 2016-04-07: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.99$14.41$15.44$15.44$14.72
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV35.0%27.8%41.3%33.5%35.9%
Expected Move10.3%9.6%10.7%9.6%10.3%
HV 20d27.7%23.3%36.8%35.1%23.9%
HV 60d41.5%38.5%45.6%44.8%38.6%
IV Rank24.4%10.7%36.7%21.6%26.3%
IV Percentile56.6%14.7%86.5%48.4%63.1%
Term Structure-2.7%-4.6%3.2%3.2%-2.4%
VWIV35.7%33.7%37.4%33.8%35.9%
Skew 25d4.7%-10.7%16.5%10.8%-3.5%
Skew 10d7.9%-16.3%27.5%24.3%-5.3%
Call IV 25d32.7%26.0%45.4%26.0%36.5%
Put IV 25d37.4%30.6%45.3%36.7%33.0%
Bid-Ask Spread %99.7691.92113.49109.03102.00
Gamma HHI0.710.480.900.640.79
Net GEX96.4K65.4K154.8K144.8K65.4K
Net DEX-915.2K-1.9M-473.5K-1.9M-545.5K
Net VEX-6.9K-10.4K-5.3K-10.4K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.181.110.330.66
Total Volume210.571101341149243
Total OI8,225.4763,61912,35912,2993,869

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$15.44$15.0033.5%9.6%35.1%21.6%33.8%10.8%3.2%144.8K-1.9M-10.4K0.33109.03N/AN/A1123711,775524
2016-04-04$15.30$15.0036.3%10.5%35.4%27.0%36.8%5.9%-3.1%124.6K-1.5M-9.3K0.5198.09N/AN/A733711,775524
2016-04-05$14.87$15.0035.1%10.6%36.8%24.7%36.2%3.1%-4.1%111.2K-1.1M-8.1K0.6091.92N/AN/A633811,775524
2016-04-06$14.95$15.0030.4%10.7%35.5%15.6%37.2%2.6%-3.4%119.8K-1.0M-7.9K0.2196.26N/AN/A1823811,784525
2016-04-07$14.41$15.0030.3%10.7%33.6%15.4%37.4%8.5%-3.6%79.8K-560.9K-6.8K0.21100.58N/AN/A2044211,686525
2016-04-08$14.56$15.0027.8%10.4%31.9%10.7%36.4%10.9%-2.9%87.0K-473.5K-6.2K0.1892.36N/AN/A2344211,724520
2016-04-11$14.62$15.0041.3%10.4%28.7%36.7%36.2%10.9%-3.1%94.7K-598.4K-6.2K0.2395.03N/AN/A2666211,754520
2016-04-12$14.85$15.0036.7%10.2%29.3%27.7%35.6%12.8%-2.9%114.0K-697.5K-6.7K0.28100.25N/AN/A2667511,789540
2016-04-13$15.28$15.0037.3%10.7%28.8%28.9%37.3%16.5%-4.2%140.1K-1.4M-8.1K0.30109.81N/AN/A2477511,789558
2016-04-14$15.06$15.0035.6%10.2%26.1%25.7%35.6%15.6%-3.2%154.8K-1.1M-7.4K0.7396.30N/AN/A1037511,790558
2016-04-15$15.16$15.0034.6%9.9%24.5%23.7%34.1%6.3%-2.5%83.2K-1.6M-7.1K0.53113.49N/AN/A1296811,796563
2016-04-18$15.09$15.0035.7%10.2%24.4%25.9%35.7%2.7%-0.6%79.9K-790.3K-6.4K0.32101.04N/AN/A132423,379240
2016-04-19$15.21$15.0036.0%10.3%24.0%26.5%35.3%3.4%-2.0%85.4K-847.7K-6.9K0.3996.59N/AN/A102403,411241
2016-04-20$15.14$15.0034.6%9.9%23.3%23.8%34.6%1.7%-2.6%84.9K-830.6K-6.5K0.76112.51N/AN/A102783,429243
2016-04-21$14.94$15.0034.0%9.8%23.7%22.6%34.0%-1.4%-2.5%72.2K-723.5K-6.2K1.1194.39N/AN/A70783,429283
2016-04-22$15.05$15.0033.8%9.7%23.8%22.2%33.7%0.1%-2.0%74.8K-691.8K-6.2K0.8195.63N/AN/A96783,432283
2016-04-25$15.03$15.0036.6%10.5%23.5%27.6%36.4%0.5%-3.4%75.6K-712.8K-6.2K0.6892.20N/AN/A115783,462283
2016-04-26$15.09$15.0036.4%10.4%23.3%27.2%36.3%1.6%-4.4%76.0K-673.6K-5.6K0.6992.89N/AN/A113783,502283
2016-04-27$15.11$15.0035.4%10.2%23.3%25.4%35.5%-10.7%-1.8%78.7K-749.5K-6.2K0.47111.12N/AN/A167783,511283
2016-04-28$14.94$15.0036.5%10.5%23.4%27.3%36.5%0.1%-4.6%76.4K-674.8K-5.6K0.5893.50N/AN/A167973,571283
2016-04-29$14.72$15.0035.9%10.3%23.9%26.3%35.9%-3.5%-2.4%65.4K-545.5K-5.3K0.66102.00N/AN/A146973,571298