TIME Options History — November 2016

In November 2016, TIME traded between $12.58 and $16.35. ATM implied volatility averaged 35.8%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.8% (HV 20d: 32.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.35.

Notable Days

  • 2016-11-28: Highest Volume — 6,030 contracts
  • 2016-11-28: Largest IV spike — 57.2% change
  • 2016-11-02: Highest IV Rank — 41.6%
  • 2016-11-02: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.67$12.58$16.35$12.85$16.35
Max Pain$12.98$12.50$15.00$15.00$15.00
ATM IV35.8%23.5%44.9%43.9%43.8%
Expected Move10.0%6.8%12.9%12.6%12.5%
HV 20d32.0%25.0%56.7%25.0%56.2%
HV 60d27.4%23.3%39.6%25.8%39.6%
IV Rank23.7%0.0%41.6%39.6%39.9%
IV Percentile55.4%0.0%93.3%91.7%90.5%
Term Structure-1.5%-8.1%8.8%-6.5%-8.1%
VWIV36.3%25.0%44.8%40.7%44.6%
Skew 25d6.7%-3.7%19.9%6.5%1.3%
Skew 10d12.5%-2.9%32.2%9.4%2.6%
Call IV 25d32.7%23.8%43.7%37.7%43.7%
Put IV 25d39.4%34.5%47.3%44.2%45.1%
Bid-Ask Spread %39.0117.5674.9217.5637.02
Gamma HHI0.550.340.740.340.48
Net GEX-14.4K-80.4K45.7K2.5K40.7K
Net DEX434.9K-2.1M1.4M764.4K-2.0M
Net VEX-6.1K-17.1K-4.0K-4.4K-17.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.567.181.217.18
Total Volume9883096,0303892,757
Total OI4,7473,4138,7023,4138,702

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$12.85$15.0043.9%12.6%25.0%39.6%40.7%6.5%-6.5%2.5K764.4K-4.4K1.2117.56N/AN/A1762131,9791,434
2016-11-02$12.60$15.0044.9%12.9%25.4%41.6%44.8%1.9%-6.9%1.1K855.8K-4.0K5.4830.13N/AN/A2341,2821,9911,434
2016-11-03$12.85$12.5039.0%10.0%27.0%29.9%35.0%15.3%-2.4%-58.4K1.2M-5.1K6.3051.10N/AN/A2011,2662,0522,436
2016-11-04$12.58$12.5038.0%9.9%26.1%27.9%34.4%19.9%-1.2%-65.2K1.4M-5.0K4.8349.33N/AN/A2711,3082,0592,451
2016-11-07$12.73$12.5038.8%9.8%26.5%29.5%34.1%16.4%-1.4%-72.9K1.3M-4.9K0.9259.36N/AN/A2722512,1592,495
2016-11-08$12.73$12.5038.9%9.9%25.4%29.7%34.5%5.6%-2.8%-72.8K1.3M-5.2K0.9662.19N/AN/A2722612,1592,492
2016-11-09$12.88$12.5033.5%9.6%25.5%18.9%33.5%5.7%-1.9%-80.4K1.2M-4.7K0.9643.91N/AN/A2722612,1592,502
2016-11-10$12.95$12.5033.6%9.6%25.2%19.1%33.6%6.1%-1.4%-74.5K1.1M-4.8K0.9647.17N/AN/A2722612,1592,502
2016-11-11$13.08$12.5033.9%9.7%25.4%19.7%33.9%10.3%-2.1%-61.5K1.0M-4.7K0.7929.85N/AN/A2772192,1592,502
2016-11-14$13.65$12.5037.4%10.7%29.7%26.6%35.9%2.1%-2.2%-17.3K556.6K-5.5K0.5638.80N/AN/A3421902,1692,500
2016-11-15$13.23$12.5035.5%10.2%31.8%22.9%37.0%-3.7%-2.6%-23.2K731.6K-4.3K0.5636.38N/AN/A3421902,2892,500
2016-11-16$13.43$12.5034.5%9.9%32.1%20.9%34.3%0.1%-1.5%3.7K615.9K-4.6K1.5617.73N/AN/A1852892,2892,504
2016-11-17$13.65$12.5035.4%10.2%31.4%22.8%34.7%11.3%-1.5%10.1K589.5K-4.8K1.7519.39N/AN/A1652892,3152,615
2016-11-18$13.73$12.5029.6%8.5%31.0%11.3%25.0%2.8%8.8%11.7K546.8K-4.9K2.0425.67N/AN/A1402852,3102,615
2016-11-21$13.83$12.5029.4%8.4%31.1%10.8%36.7%0.9%-3.4%13.4K497.9K-4.9K1.2629.08N/AN/A1832312,1081,591
2016-11-22$13.85$12.5029.0%8.3%29.3%10.0%35.9%1.3%-4.9%19.4K408.7K-4.6K2.9627.80N/AN/A782312,2361,662
2016-11-23$13.98$12.5023.5%6.8%27.1%0.0%30.1%14.0%7.4%18.1K409.0K-5.8K2.9639.18N/AN/A782312,2361,662
2016-11-25$13.80$12.5026.7%7.6%26.7%6.2%37.6%14.7%7.4%16.3K444.4K-5.1K2.9741.43N/AN/A782322,2361,662
2016-11-28$15.95$12.5041.9%12.0%56.7%36.3%44.4%9.0%1.5%45.7K-1.7M-6.5K1.7274.92N/AN/A2,2173,8132,1961,663
2016-11-29$16.30$15.0041.1%11.8%56.7%34.7%40.9%-1.5%-6.6%42.0K-2.1M-17.0K1.4241.26N/AN/A2623713,9604,543
2016-11-30$16.35$15.0043.8%12.5%56.2%39.9%44.6%1.3%-8.1%40.7K-2.0M-17.1K7.1837.02N/AN/A3372,4203,9934,709