TIME Options History — September 2016

In September 2016, TIME traded between $13.99 and $15.04. ATM implied volatility averaged 30.3%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.8% (HV 20d: 26.5%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.00.

Notable Days

  • 2016-09-02: Highest Volume — 1,195 contracts
  • 2016-09-09: Largest IV spike — 41.3% change
  • 2016-09-12: Highest IV Rank — 33.6%
  • 2016-09-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.59$13.99$15.04$13.99$14.52
Max Pain$15.48$15.00$20.00$20.00$15.00
ATM IV30.3%27.1%40.8%33.0%27.7%
Expected Move8.3%7.8%9.4%9.4%7.9%
HV 20d26.5%23.7%32.6%26.9%25.9%
HV 60d31.4%29.3%33.6%31.6%29.5%
IV Rank12.6%6.1%33.6%17.9%7.3%
IV Percentile20.9%3.2%83.3%36.9%7.1%
Term Structure1.8%-7.8%4.4%-7.8%4.1%
VWIV31.7%25.1%42.1%35.6%27.5%
Skew 25d1.8%-5.5%12.3%-3.7%-3.6%
Skew 10d3.3%-9.1%17.5%6.3%-9.1%
Call IV 25d29.7%24.5%37.7%37.7%30.5%
Put IV 25d31.5%23.9%40.9%34.0%26.8%
Bid-Ask Spread %81.9226.56113.9684.2295.48
Gamma HHI0.550.370.740.620.45
Net GEX59.9K26.1K126.1K56.4K35.0K
Net DEX284.0K-797.7K1.3M1.3M-243.5K
Net VEX-9.5K-10.7K-8.8K-9.0K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.294.780.292.54
Total Volume824.6196261,1951,054870
Total OI5,210.3814,1136,0045,7704,628

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$13.99$20.0033.0%9.4%26.9%17.9%35.6%-3.7%-7.8%56.4K1.3M-9.0K0.2984.22N/AN/A8152393,2342,536
2016-09-02$14.20$20.0030.9%8.9%26.8%13.9%32.8%0.3%-3.6%62.6K1.2M-9.6K0.3838.31N/AN/A8693263,2372,576
2016-09-06$14.24$15.0033.9%8.7%26.7%19.8%33.0%6.0%1.6%71.6K1.2M-9.8K0.3959.47N/AN/A8273263,2902,666
2016-09-07$14.94$15.0029.9%8.3%31.5%11.9%31.0%10.9%2.1%121.4K515.1K-10.7K0.8664.12N/AN/A4884213,3382,666
2016-09-08$14.92$15.0027.8%8.4%30.6%7.6%27.7%2.7%1.7%124.4K275.3K-10.4K1.4848.98N/AN/A2854213,2622,467
2016-09-09$14.51$15.0039.3%8.6%32.6%30.5%36.8%9.1%1.1%81.3K783.3K-9.8K1.4836.88N/AN/A2844213,2622,506
2016-09-12$14.46$15.0040.8%8.3%32.2%33.6%39.1%11.5%2.1%89.2K894.8K-9.3K1.4626.56N/AN/A2683923,2582,506
2016-09-13$14.32$15.0032.8%8.7%25.4%17.5%40.3%9.6%-0.3%71.6K1.1M-8.9K1.4597.89N/AN/A2683883,2822,505
2016-09-14$14.47$15.0029.7%8.5%25.1%11.4%40.8%10.3%0.9%86.8K903.0K-9.1K1.7498.78N/AN/A2674643,2822,505
2016-09-15$14.67$15.0028.6%8.2%24.7%9.2%42.1%12.3%2.2%126.1K812.5K-9.4K1.3493.35N/AN/A2673593,2832,604
2016-09-16$14.77$15.0028.6%8.2%24.6%9.1%35.9%7.8%2.3%26.3K997.2K-9.4K1.2795.16N/AN/A2823573,2832,632
2016-09-19$14.68$15.0027.6%7.9%24.2%7.3%26.2%-4.3%2.0%28.3K-311.5K-9.0K3.41101.53N/AN/A1745932,4851,628
2016-09-20$14.60$15.0027.5%7.9%24.3%7.0%25.1%-5.1%4.4%26.5K-250.7K-9.4K3.9890.01N/AN/A1495932,5471,898
2016-09-21$14.61$15.0028.5%8.2%23.7%8.9%26.3%-5.5%2.4%26.1K-280.0K-9.5K4.78113.96N/AN/A1245932,5571,898
2016-09-22$14.95$15.0027.4%7.9%24.9%6.8%26.9%-2.0%4.3%35.1K-607.0K-9.8K2.5295.86N/AN/A2426092,5881,904
2016-09-23$15.04$15.0027.1%7.8%24.9%6.1%27.1%-1.4%4.1%43.2K-797.7K-10.1K2.5296.83N/AN/A2426092,6991,914
2016-09-26$14.86$15.0028.6%8.2%25.3%9.3%28.5%-2.7%3.8%40.2K-610.0K-9.6K2.5694.36N/AN/A2466292,6991,914
2016-09-27$14.64$15.0029.1%8.4%25.2%10.3%28.0%-4.4%2.8%36.4K-393.1K-9.3K2.5494.79N/AN/A2466242,7091,914
2016-09-28$14.67$15.0028.7%8.2%25.2%9.4%28.1%-4.2%3.6%36.8K-369.6K-9.2K2.5495.70N/AN/A2466242,7091,919
2016-09-29$14.42$15.0029.5%8.5%26.1%11.0%27.8%-5.4%3.4%31.6K-169.4K-8.8K2.5498.16N/AN/A2466242,7091,919
2016-09-30$14.52$15.0027.7%7.9%25.9%7.3%27.5%-3.6%4.1%35.0K-243.5K-9.1K2.5495.48N/AN/A2466242,7091,919