TIME Options History — June 2016

In June 2016, TIME traded between $15.77 and $17.49. ATM implied volatility averaged 31.3%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.6% (HV 20d: 29.7%). 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 18 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2016-06-22: Highest Volume — 4,607 contracts
  • 2016-06-06: Largest IV spike — 22.1% change
  • 2016-06-27: Highest IV Rank — 32.5%
  • 2016-06-27: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.73$15.77$17.49$16.26$16.44
Max Pain$14.89$12.50$15.00$12.50$15.00
ATM IV31.3%25.0%39.2%33.2%29.6%
Expected Move9.0%8.2%11.2%9.5%8.5%
HV 20d29.7%24.7%36.5%32.6%34.3%
HV 60d29.7%27.5%32.5%32.5%32.0%
IV Rank17.3%5.3%32.5%21.0%13.8%
IV Percentile30.5%1.6%76.6%44.8%15.9%
Term Structure2.3%-3.5%10.7%5.7%-3.5%
VWIV41.4%28.0%55.8%42.7%47.0%
Skew 25d3.1%-2.2%17.6%17.6%8.8%
Skew 10d2.5%-11.4%20.7%20.7%9.7%
Call IV 25d34.2%22.9%42.1%22.9%35.8%
Put IV 25d37.3%30.8%47.1%40.5%44.6%
Bid-Ask Spread %101.8793.17114.84113.19104.48
Gamma HHI0.800.740.920.850.88
Net GEX250.1K97.2K638.4K189.1K222.1K
Net DEX-2.7M-6.3M-585.9K-1.8M-1.4M
Net VEX-9.1K-14.3K-4.5K-8.0K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.014.914.910.04
Total Volume2,371.9091,3114,6071,3111,653
Total OI6,682.1365,5739,0325,5736,119

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$16.26$12.5033.2%9.5%32.6%21.0%42.7%17.6%5.7%189.1K-1.8M-8.0K4.91113.19N/AN/A2221,0893,9861,587
2016-06-02$16.66$15.0029.5%8.5%33.3%13.8%41.1%0.9%0.5%203.9K-2.5M-9.2K0.6193.17N/AN/A1,7831,0894,0451,637
2016-06-03$16.60$15.0025.0%8.4%31.3%5.3%45.0%-1.3%1.6%222.7K-2.7M-10.3K0.6299.39N/AN/A1,7831,1045,3961,637
2016-06-06$16.95$15.0030.6%8.3%31.8%15.9%46.3%-1.4%1.8%258.3K-3.2M-10.6K0.62103.11N/AN/A1,7711,1045,3961,657
2016-06-07$16.99$15.0029.6%8.6%31.7%14.2%36.4%1.5%1.5%261.0K-3.4M-10.6K0.60100.91N/AN/A1,7891,0725,3611,657
2016-06-08$17.26$15.0028.6%8.2%30.7%12.1%37.0%2.1%2.7%283.4K-3.7M-10.8K0.59108.87N/AN/A1,7931,0625,3811,678
2016-06-09$16.99$15.0029.8%8.6%29.4%14.5%44.8%-1.4%1.6%262.0K-3.2M-10.5K0.6693.78N/AN/A1,6261,0755,4021,703
2016-06-10$16.68$15.0030.4%8.7%29.0%15.7%41.7%1.4%0.9%232.8K-2.6M-9.8K0.6798.53N/AN/A1,6151,0755,4081,716
2016-06-13$16.68$15.0031.5%9.0%26.1%17.7%47.3%-1.3%0.4%235.0K-2.7M-9.7K0.6793.47N/AN/A1,6151,0755,4181,726
2016-06-14$16.58$15.0031.9%9.1%26.4%18.5%55.8%1.1%0.5%223.9K-2.4M-9.4K0.67102.03N/AN/A1,5891,0665,4281,736
2016-06-15$16.74$15.0031.6%9.1%26.1%18.0%54.3%-2.2%-0.2%242.4K-2.8M-9.7K0.67107.65N/AN/A1,5911,0665,4241,746
2016-06-16$16.64$15.0032.3%9.3%25.1%19.3%28.0%7.5%-1.2%216.4K-2.5M-9.4K0.6695.82N/AN/A1,6041,0665,4241,746
2016-06-17$16.68$15.0030.4%8.7%25.0%15.7%36.7%5.2%1.3%238.2K-2.5M-9.2K0.6696.16N/AN/A1,6041,0665,4341,746
2016-06-20$17.29$15.0029.9%8.6%25.2%14.7%29.1%11.4%2.4%305.0K-3.3M-9.5K0.0298.77N/AN/A1,606405,286701
2016-06-21$17.49$15.0029.3%8.4%24.7%13.6%28.1%2.3%3.4%327.2K-3.7M-9.4K0.0398.73N/AN/A1,591405,307701
2016-06-22$17.25$15.0031.9%9.1%25.8%18.4%31.7%1.3%0.9%299.7K-3.3M-9.3K0.01105.67N/AN/A4,560475,318704
2016-06-23$17.48$15.0029.1%8.3%25.5%13.2%34.5%-1.0%3.6%638.4K-6.3M-14.3K0.03114.84N/AN/A1,577478,318714
2016-06-24$16.55$15.0034.2%9.8%33.7%22.9%45.2%8.7%-3.2%224.9K-2.1M-8.0K0.04106.59N/AN/A1,597625,335714
2016-06-27$15.87$15.0039.2%11.2%36.5%32.5%47.3%4.7%10.7%160.6K-1.0M-6.0K0.04102.85N/AN/A1,597625,355734
2016-06-28$15.77$15.0035.7%10.2%34.9%25.6%43.3%2.1%9.5%97.2K-585.9K-4.5K0.0499.70N/AN/A1,597585,355754
2016-06-29$16.11$15.0034.6%9.9%34.7%23.4%48.2%-0.4%9.9%157.7K-951.8K-5.4K0.04103.45N/AN/A1,596585,355762
2016-06-30$16.44$15.0029.6%8.5%34.3%13.8%47.0%8.8%-3.5%222.1K-1.4M-6.4K0.04104.48N/AN/A1,595585,357762