TIME Options History — July 2016

In July 2016, TIME traded between $15.90 and $16.73. ATM implied volatility averaged 36.2%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.1% (HV 20d: 30.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.34.

Notable Days

  • 2016-07-01: Highest Volume — 1,662 contracts
  • 2016-07-28: Largest IV spike — 18.8% change
  • 2016-07-11: Highest IV Rank — 54.4%
  • 2016-07-28: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.39$15.90$16.73$16.30$16.34
Max Pain$17.25$15.00$17.50$15.00$15.00
ATM IV36.2%31.7%50.6%32.1%33.7%
Expected Move10.0%9.1%11.6%9.2%9.7%
HV 20d30.1%18.0%34.7%34.4%18.0%
HV 60d30.8%29.4%31.3%31.1%29.4%
IV Rank26.4%17.8%54.4%18.6%21.6%
IV Percentile55.7%27.4%97.6%34.9%40.9%
Term Structure-2.5%-5.4%1.0%-5.4%-2.6%
VWIV35.8%32.5%39.1%39.1%35.8%
Skew 25d6.2%3.9%9.9%7.2%4.8%
Skew 10d12.7%5.5%25.4%14.9%8.7%
Call IV 25d34.2%31.8%37.0%37.0%35.8%
Put IV 25d40.4%38.0%44.2%44.2%40.6%
Bid-Ask Spread %93.3086.84106.42106.42100.32
Gamma HHI0.480.300.910.860.32
Net GEX55.1K4.1K282.9K189.5K6.1K
Net DEX-514.9K-1.5M-177.2K-1.1M-261.1K
Net VEX-3.8K-5.7K-3.3K-5.7K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.040.630.040.29
Total Volume395.92391,6621,662251
Total OI3,891.951,4356,3306,1201,677

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$16.30$15.0032.1%9.2%34.4%18.6%39.1%7.2%-5.4%189.5K-1.1M-5.7K0.04106.42N/AN/A1,604585,358762
2016-07-05$15.99$17.5037.9%11.1%34.0%29.7%36.4%5.9%-3.0%44.3K-470.6K-3.5K0.3192.64N/AN/A187585,368762
2016-07-06$15.94$17.5036.4%11.0%34.0%26.9%35.4%6.7%-3.6%49.7K-479.9K-3.5K0.3290.66N/AN/A181585,397762
2016-07-07$15.90$17.5037.8%11.2%33.2%29.5%35.1%7.6%-3.7%34.0K-437.9K-3.3K0.6089.44N/AN/A1811085,397762
2016-07-08$16.26$17.5044.5%9.8%34.2%42.5%34.4%6.6%-4.1%85.9K-576.9K-3.8K0.6087.28N/AN/A1811085,395822
2016-07-11$16.39$17.5050.6%10.0%33.8%54.4%35.0%3.9%-3.0%102.6K-628.6K-3.8K0.2292.91N/AN/A271595,397822
2016-07-12$16.65$17.5041.8%10.0%34.3%37.3%34.8%6.6%-3.7%282.9K-1.5M-5.0K0.1792.26N/AN/A363625,497833
2016-07-13$16.51$17.5034.6%9.9%34.4%23.3%34.6%5.7%-3.7%235.2K-1.2M-4.7K0.1790.96N/AN/A363625,469847
2016-07-14$16.35$17.5033.8%9.7%34.3%21.7%33.9%4.6%-3.0%5.0K-568.6K-3.8K0.1790.88N/AN/A363625,469847
2016-07-15$16.38$17.5032.3%9.2%34.3%18.8%32.5%5.9%-1.1%4.8K-552.7K-3.6K0.2591.49N/AN/A261665,458847
2016-07-18$16.62$17.5033.0%9.5%34.7%20.2%35.2%7.2%1.0%4.8K-274.0K-3.6K0.3991.48N/AN/A278108760675
2016-07-19$16.55$17.5034.0%9.7%32.0%22.2%38.2%4.5%-2.0%6.4K-262.2K-3.9K0.5091.96N/AN/A217108827725
2016-07-20$16.57$17.5032.9%9.4%31.6%20.0%37.9%6.4%-1.0%7.2K-274.4K-3.8K0.5386.84N/AN/A221118831725
2016-07-21$16.60$17.5033.1%9.5%31.4%20.4%38.0%6.1%-0.9%6.9K-269.1K-3.7K0.5396.46N/AN/A219117831735
2016-07-22$16.45$17.5031.7%9.1%31.0%17.8%36.7%5.9%-1.8%6.6K-240.1K-3.8K0.6394.79N/AN/A276174837739
2016-07-25$16.58$17.5033.1%9.5%24.4%20.5%37.3%9.9%-1.2%7.8K-295.1K-3.3K0.3491.82N/AN/A28497798683
2016-07-26$16.73$17.5035.9%10.3%18.8%25.8%35.9%8.1%-3.0%9.8K-341.5K-3.4K0.2393.35N/AN/A20647832712
2016-07-27$16.50$17.5034.2%9.8%19.5%22.5%34.4%6.1%-2.4%7.8K-275.6K-3.3K0.3399.48N/AN/A20667847724
2016-07-28$16.22$17.5040.6%11.6%19.2%35.0%35.9%4.0%-1.1%4.1K-177.2K-3.3K0.2794.55N/AN/A21157847763
2016-07-29$16.34$15.0033.7%9.7%18.0%21.6%35.8%4.8%-2.6%6.1K-261.1K-3.5K0.29100.32N/AN/A19457889788