TIME Options History — August 2016

In August 2016, TIME traded between $13.65 and $15.82. ATM implied volatility averaged 30.9%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 4.7% (HV 20d: 35.6%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-08-15: Highest Volume — 4,776 contracts
  • 2016-08-04: Largest IV drop — 39.9% change
  • 2016-08-02: Highest IV Rank — 37.7%
  • 2016-08-02: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.40$13.65$15.82$15.82$14.13
Max Pain$17.07$12.50$20.00$15.00$20.00
ATM IV30.9%24.0%42.0%40.9%27.4%
Expected Move9.0%6.9%12.0%11.7%7.9%
HV 20d35.6%21.1%41.0%21.1%38.9%
HV 60d32.7%29.3%34.6%29.3%31.8%
IV Rank13.8%0.0%37.7%35.5%6.8%
IV Percentile26.5%0.0%87.3%82.9%3.6%
Term Structure-1.4%-6.1%4.2%-5.5%-0.1%
VWIV34.1%26.0%50.5%41.6%29.0%
Skew 25d3.0%-5.7%22.0%-2.5%0.9%
Skew 10d8.2%-7.6%29.8%2.3%4.9%
Call IV 25d33.4%25.5%48.5%44.1%31.2%
Put IV 25d36.4%30.6%52.3%41.6%32.1%
Bid-Ask Spread %100.9686.13114.0598.7486.13
Gamma HHI0.600.310.820.310.65
Net GEX20.3K-17.0K63.6K-3.0K61.4K
Net DEX1.6M-61.2K2.5M-61.2K1.3M
Net VEX-5.8K-9.8K-3.3K-3.4K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.005.220.760.29
Total Volume1,111.435104,7763091,051
Total OI4,635.8261,7167,8621,7165,676

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$15.82$15.0040.9%11.7%21.1%35.5%41.6%-2.5%-5.5%-3.0K-61.2K-3.4K0.7698.74N/AN/A176133893823
2016-08-02$15.52$15.0042.0%12.0%21.1%37.7%43.4%-3.1%-6.1%-9.4K26.3K-3.5K0.7397.49N/AN/A176128895906
2016-08-03$15.59$17.5040.8%11.7%21.2%35.4%50.5%-5.7%-6.0%-10.3K23.7K-3.7K5.2298.77N/AN/A2861,494915931
2016-08-04$14.38$15.0024.5%9.9%35.4%3.8%35.4%0.6%-3.3%-17.0K2.0M-4.4K4.55114.05N/AN/A3281,4911,1322,237
2016-08-05$14.13$15.0027.4%8.4%34.1%6.3%39.1%7.0%2.9%-15.2K2.1M-3.9K1.18103.17N/AN/A2022391,0832,219
2016-08-08$14.09$12.5024.5%8.4%33.7%0.6%36.6%7.4%1.9%-13.9K2.2M-3.7K0.9694.99N/AN/A2502391,0922,218
2016-08-09$14.02$12.5029.7%7.2%32.6%10.9%28.7%5.5%0.7%-12.3K2.2M-3.8K0.7996.29N/AN/A2702121,1522,218
2016-08-10$13.78$12.5024.2%6.9%32.7%0.0%27.7%10.5%4.2%-11.4K2.3M-3.3K0.9998.35N/AN/A2132101,0772,238
2016-08-11$13.82$12.5027.1%7.8%33.0%5.7%26.5%6.3%2.4%-11.3K2.3M-3.4K0.7098.58N/AN/A3002101,0922,258
2016-08-12$13.65$12.5036.4%10.4%32.8%24.3%35.9%2.7%-5.1%-5.9K2.2M-3.5K1.6591.17N/AN/A1973261,2092,258
2016-08-15$14.45$12.5029.2%8.4%39.6%9.9%30.9%22.0%0.0%-15.8K2.1M-4.4K0.9494.48N/AN/A2,4642,3121,2082,352
2016-08-16$14.24$20.0030.1%8.6%39.7%11.7%32.1%2.8%-1.8%56.7K2.5M-5.7K1.37100.61N/AN/A1,6952,3203,4874,187
2016-08-17$14.51$20.0031.6%9.1%40.6%14.8%31.6%0.2%-0.7%30.8K2.2M-5.6K0.0098.11N/AN/A19403,5054,198
2016-08-18$14.63$20.0033.3%9.5%40.9%18.2%39.1%5.6%-3.2%36.1K2.1M-5.9K0.07104.74N/AN/A1513,6504,198
2016-08-19$14.43$20.0034.9%10.0%41.0%21.4%36.5%3.1%-5.0%39.5K2.2M-5.6K0.32101.71N/AN/A1,6995413,6634,199
2016-08-22$14.45$20.0032.0%9.2%40.7%15.6%33.4%7.2%-2.8%35.1K1.7M-6.5K3.08109.73N/AN/A1785492,0132,461
2016-08-23$14.26$20.0034.2%9.8%40.3%20.0%35.1%-5.0%-3.8%30.3K1.8M-6.5K0.15104.76N/AN/A1,3692082,0232,491
2016-08-24$14.35$20.0033.8%9.7%40.6%19.1%0.0%-2.7%-3.7%60.2K1.3M-9.7K0.00113.22N/AN/A1003,2152,496
2016-08-25$14.39$20.0028.7%8.2%40.5%9.0%29.7%1.1%1.3%63.6K1.3M-9.8K0.25103.97N/AN/A8232083,2242,496
2016-08-26$14.30$20.0026.5%7.6%40.2%4.5%33.4%-1.0%0.5%61.2K1.3M-9.5K0.22106.53N/AN/A8211793,2052,496
2016-08-29$14.08$20.0024.0%6.9%39.2%0.0%26.0%2.6%1.7%58.3K1.4M-9.4K0.12101.01N/AN/A824993,2022,496
2016-08-30$14.13$20.0027.5%7.9%39.0%7.0%28.9%2.4%-0.3%59.6K1.3M-9.2K0.12105.57N/AN/A824993,2022,435
2016-08-31$14.13$20.0027.4%7.9%38.9%6.8%29.0%0.9%-0.1%61.4K1.3M-9.1K0.2986.13N/AN/A8152363,2022,474