TIME Options History — May 2016

In May 2016, TIME traded between $13.73 and $15.88. ATM implied volatility averaged 32.0%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.3% (HV 20d: 30.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.29.

Notable Days

  • 2016-05-20: Highest Volume — 1,430 contracts
  • 2016-05-19: Largest IV drop — 26.8% change
  • 2016-05-03: Highest IV Rank — 33.9%
  • 2016-05-03: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.75$13.73$15.88$15.27$15.88
Max Pain$12.86$12.50$15.00$15.00$12.50
ATM IV32.0%25.6%39.9%39.4%25.6%
Expected Move9.1%7.3%11.4%11.3%7.3%
HV 20d30.8%27.4%35.5%27.4%34.8%
HV 60d33.8%31.0%39.6%39.1%32.3%
IV Rank18.8%6.3%33.9%32.9%6.3%
IV Percentile37.1%2.0%79.0%77.0%2.0%
Term Structure-0.6%-5.1%9.8%-3.7%9.8%
VWIV35.3%23.8%41.4%39.3%23.8%
Skew 25d3.3%-4.6%12.6%4.5%10.1%
Skew 10d5.1%-7.3%20.6%6.8%3.3%
Call IV 25d33.2%25.1%40.5%36.4%25.4%
Put IV 25d36.5%28.1%41.8%40.9%35.5%
Bid-Ask Spread %103.0393.88118.44108.23110.19
Gamma HHI0.600.360.840.840.76
Net GEX60.4K12.5K138.1K88.9K138.1K
Net DEX-439.0K-1.1M105.3K-795.7K-1.1M
Net VEX-4.5K-6.2K-2.3K-6.2K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.286.620.416.39
Total Volume667.191931,4302321,293
Total OI4,587.3333,8695,5123,8695,496

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$15.27$15.0039.4%11.3%27.4%32.9%39.3%4.5%-3.7%88.9K-795.7K-6.2K0.41108.23N/AN/A165673,571298
2016-05-03$14.73$15.0039.9%11.4%28.6%33.9%39.9%0.8%-3.7%64.7K-544.6K-5.0K0.53101.25N/AN/A126673,595303
2016-05-04$14.77$15.0037.6%10.8%28.5%29.5%37.6%2.4%-5.1%69.0K-572.0K-5.2K0.44104.03N/AN/A2301023,604303
2016-05-05$15.33$12.5031.8%8.9%28.2%18.4%37.1%12.6%-1.2%98.8K-836.2K-5.6K0.29101.10N/AN/A257753,714303
2016-05-06$15.44$12.5032.9%9.0%28.1%20.4%31.7%4.5%-0.9%108.6K-1.0M-5.8K0.7793.88N/AN/A2171683,743306
2016-05-09$15.36$12.5033.8%9.0%28.2%22.1%32.0%-4.4%-0.0%100.5K-879.8K-6.0K1.4796.51N/AN/A1131663,750399
2016-05-10$15.10$12.5032.4%8.7%28.6%19.5%35.2%-4.6%1.1%91.1K-737.8K-5.5K0.6594.75N/AN/A1591033,745399
2016-05-11$14.70$12.5030.9%8.8%28.2%16.5%38.4%11.4%0.4%74.4K-501.0K-5.4K0.4199.89N/AN/A159653,795450
2016-05-12$14.39$12.5030.9%8.9%28.7%16.6%30.8%5.5%-0.0%42.6K-98.4K-3.5K0.4196.81N/AN/A157653,795458
2016-05-13$14.00$12.5031.4%9.0%29.9%17.6%35.9%6.3%0.3%31.6K-11.9K-2.9K0.2899.10N/AN/A236653,795458
2016-05-16$13.97$12.5034.2%9.8%29.9%22.9%38.1%5.0%-2.7%23.7K19.5K-2.7K0.28100.01N/AN/A236653,890458
2016-05-17$13.94$12.5031.8%9.1%29.5%18.4%35.8%5.5%-1.9%19.1K57.4K-2.4K0.2897.21N/AN/A236653,890458
2016-05-18$13.73$12.5037.7%10.8%29.8%29.7%37.0%0.8%-2.0%12.5K105.3K-2.3K0.30108.56N/AN/A197603,942460
2016-05-19$14.00$12.5027.6%7.9%30.8%10.2%38.6%6.4%-0.4%38.9K-173.2K-3.8K4.9098.97N/AN/A2191,0733,950460
2016-05-20$14.49$12.5031.8%9.1%33.4%18.4%41.4%6.1%-2.0%15.1K59.9K-4.9K2.97104.35N/AN/A3601,0704,0291,483
2016-05-23$14.44$12.5028.7%8.2%33.4%12.3%31.0%-0.4%0.5%12.7K-70.5K-4.2K4.12103.15N/AN/A2581,0633,9381,421
2016-05-24$14.73$12.5029.5%8.5%34.3%14.0%33.8%-1.2%-0.4%36.0K-308.2K-4.6K5.20117.04N/AN/A2051,0673,9961,422
2016-05-25$15.01$12.5028.9%8.3%35.0%12.8%37.5%-0.6%-0.5%49.8K-452.3K-4.5K5.12100.60N/AN/A2071,0593,9961,427
2016-05-26$14.99$12.5028.1%8.0%34.8%11.1%38.6%-0.5%0.2%59.2K-544.3K-4.5K6.27109.54N/AN/A1691,0593,9911,427
2016-05-27$15.40$12.5028.1%8.1%35.5%11.2%28.2%-0.0%0.7%92.5K-786.6K-4.6K6.62118.44N/AN/A1691,1193,9891,427
2016-05-31$15.88$12.5025.6%7.3%34.8%6.3%23.8%10.1%9.8%138.1K-1.1M-5.6K6.39110.19N/AN/A1751,1183,9891,507