TIME Options History — October 2016

In October 2016, TIME traded between $12.78 and $14.51. ATM implied volatility averaged 36.4%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 14.8% (HV 20d: 21.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2016-10-04: Highest Volume — 876 contracts
  • 2016-10-07: Largest IV spike — 29.1% change
  • 2016-10-28: Highest IV Rank — 33.9%
  • 2016-10-28: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.55$12.78$14.51$14.51$13.00
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV36.4%28.0%41.0%29.8%40.9%
Expected Move10.7%8.6%11.8%8.6%11.7%
HV 20d21.6%18.8%25.6%25.4%24.9%
HV 60d29.3%25.7%30.3%29.1%25.7%
IV Rank24.7%7.9%33.9%11.7%33.7%
IV Percentile61.2%8.7%84.5%19.8%84.1%
Term Structure-1.8%-5.9%9.9%2.9%-3.8%
VWIV35.0%27.8%50.3%31.0%30.0%
Skew 25d2.3%-5.8%10.0%-3.2%8.0%
Skew 10d5.3%-10.7%17.1%-7.7%16.2%
Call IV 25d36.0%31.8%46.0%32.2%33.8%
Put IV 25d38.3%28.1%43.3%29.0%41.8%
Bid-Ask Spread %61.0315.21118.98108.0515.21
Gamma HHI0.350.280.460.460.32
Net GEX9.4K-7.2K34.9K34.9K3.7K
Net DEX519.6K-215.6K816.6K-215.6K668.7K
Net VEX-6.2K-8.9K-4.5K-8.9K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.151.182.992.541.30
Total Volume735.905375876870377
Total OI4,266.7623,2844,6454,6283,373

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$14.51$15.0029.8%8.6%25.4%11.7%31.0%-3.2%2.9%34.9K-215.6K-8.9K2.54108.05N/AN/A2466242,7091,919
2016-10-04$14.39$15.0030.5%8.7%25.6%12.9%29.1%-3.4%2.1%30.8K-42.9K-8.6K2.4897.71N/AN/A2526242,7091,919
2016-10-05$14.21$15.0031.2%8.9%18.8%14.3%31.6%-4.6%1.6%27.9K57.3K-8.2K2.48118.98N/AN/A2526242,7241,919
2016-10-06$14.13$15.0028.0%9.3%18.9%7.9%32.8%8.2%-2.2%24.7K161.7K-8.0K2.48100.20N/AN/A2526242,7241,919
2016-10-07$13.72$15.0036.1%11.3%19.2%24.2%34.3%5.4%-2.5%11.2K466.3K-7.0K2.55109.25N/AN/A2466272,7241,916
2016-10-10$13.81$15.0031.4%10.1%19.4%14.8%35.4%3.6%-5.5%12.4K383.2K-7.0K2.5583.93N/AN/A2466272,7241,919
2016-10-11$13.48$15.0035.1%11.6%20.8%22.1%36.9%3.0%-5.9%-169707.3K-6.1K2.5558.12N/AN/A2466272,7241,919
2016-10-12$13.63$15.0039.5%11.3%20.9%30.9%34.6%3.2%-4.5%8.5K532.0K-6.5K2.5593.45N/AN/A2466272,7241,919
2016-10-13$13.42$15.0037.5%10.7%20.3%26.8%36.3%1.2%-1.6%4.1K639.1K-6.1K2.1546.08N/AN/A2465292,7241,919
2016-10-14$13.30$15.0040.0%11.5%19.9%31.9%35.6%3.1%-5.8%143695.4K-5.8K1.8893.17N/AN/A2825292,7241,921
2016-10-17$13.28$15.0040.0%11.5%20.0%31.8%39.8%0.3%-5.4%-7.2K816.6K-5.6K1.9437.27N/AN/A2825472,6861,922
2016-10-18$13.33$15.0039.5%11.3%20.2%31.0%36.5%1.7%-5.0%3.0K727.8K-5.7K1.9138.50N/AN/A2825382,6861,935
2016-10-19$13.20$15.0038.3%11.0%20.2%28.6%35.7%4.5%-0.8%-5.0K789.4K-5.2K1.8935.96N/AN/A2825322,6861,935
2016-10-20$13.53$15.0038.9%11.2%20.5%29.8%36.8%1.2%-2.3%9.6K689.1K-5.8K1.9938.38N/AN/A2685322,6861,950
2016-10-21$13.73$15.0033.7%9.7%21.3%19.4%27.8%4.5%9.9%13.1K588.4K-6.1K2.9936.44N/AN/A2066162,6891,935
2016-10-24$13.75$15.0036.7%10.5%21.3%25.3%35.7%2.7%3.0%11.3K410.7K-5.5K2.6530.89N/AN/A1694481,8611,423
2016-10-25$13.38$15.0039.6%11.4%22.5%31.2%41.6%-0.9%-2.4%8.2K560.5K-5.3K2.6125.58N/AN/A1794671,9331,424
2016-10-26$13.00$15.0037.9%10.8%24.0%27.6%50.3%-5.8%-1.8%3.2K730.9K-4.7K1.2538.90N/AN/A1712131,9431,424
2016-10-27$12.78$15.0038.3%11.0%23.9%28.6%33.6%6.3%-2.4%806804.5K-4.5K1.1845.49N/AN/A1812131,9131,434
2016-10-28$13.00$15.0041.0%11.8%24.9%33.9%29.3%10.0%-5.1%3.2K741.6K-4.7K1.3130.01N/AN/A1622131,9311,434
2016-10-31$13.00$15.0040.9%11.7%24.9%33.7%30.0%8.0%-3.8%3.7K668.7K-4.7K1.3015.21N/AN/A1642131,9391,434