TIME Options History — December 2016

In December 2016, TIME traded between $15.95 and $17.93. ATM implied volatility averaged 44.1%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 9.8% (HV 20d: 53.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.74.

Notable Days

  • 2016-12-01: Highest Volume — 2,597 contracts
  • 2016-12-08: Largest IV spike — 61.0% change
  • 2016-12-12: Highest IV Rank — 99.4%
  • 2016-12-08: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.31$15.95$17.93$16.15$17.88
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV44.1%34.6%73.9%39.5%36.1%
Expected Move11.5%9.9%14.8%11.3%10.4%
HV 20d53.9%32.5%61.4%55.7%32.5%
HV 60d40.8%38.1%41.9%38.5%41.2%
IV Rank40.7%21.8%99.4%31.5%24.8%
IV Percentile75.3%50.8%99.6%77.0%58.7%
Term Structure-2.6%-16.8%8.0%6.8%3.0%
VWIV41.6%35.7%52.5%45.0%37.1%
Skew 25d-1.5%-7.8%5.0%0.4%-7.0%
Skew 10d-2.6%-12.7%8.8%-2.7%-11.5%
Call IV 25d44.6%35.5%53.9%45.1%41.8%
Put IV 25d43.0%32.6%50.7%45.4%34.8%
Bid-Ask Spread %66.9636.1183.6979.5879.83
Gamma HHI0.460.400.520.410.50
Net GEX60.3K-29.8K108.9K-20.5K88.7K
Net DEX-3.5M-5.1M-538.7K-985.5K-4.4M
Net VEX-16.9K-21.6K-13.3K-21.6K-13.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.1814.0114.011.49
Total Volume768.813462,5972,597455
Total OI11,135.42910,18812,40710,53811,204

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$16.15$15.0039.5%11.3%55.7%31.5%45.0%0.4%6.8%-20.5K-985.5K-21.6K14.0179.58N/AN/A1732,4244,1676,371
2016-12-02$16.00$15.0036.3%10.4%56.1%25.2%44.0%-3.0%8.0%-29.8K-870.8K-20.4K1.2636.11N/AN/A2903654,2095,979
2016-12-05$15.95$15.0044.1%10.8%55.1%40.5%38.0%5.0%-5.1%-12.6K-538.7K-20.1K0.8354.54N/AN/A3823174,3786,094
2016-12-06$16.05$15.0040.7%10.3%55.2%33.9%36.0%3.7%-2.8%-8.6K-698.9K-19.8K0.9154.89N/AN/A3393104,3776,110
2016-12-07$16.48$15.0039.9%10.9%55.2%32.3%39.3%-0.9%-7.2%6.3K-1.8M-19.6K1.9352.15N/AN/A1663214,3176,111
2016-12-08$17.90$15.0064.2%14.8%60.5%80.3%51.7%-3.0%-16.8%30.8K-4.1M-17.3K0.1861.60N/AN/A1,5972884,2496,114
2016-12-09$17.70$15.0062.5%13.6%61.2%76.9%51.0%-4.2%-11.8%81.3K-5.1M-17.4K0.8536.15N/AN/A6165265,2636,231
2016-12-12$17.70$15.0073.9%13.7%61.4%99.4%52.5%-3.2%-11.5%63.9K-4.5M-18.3K0.7647.23N/AN/A4763625,1386,508
2016-12-13$17.75$15.0066.9%13.5%60.7%85.6%47.9%-0.9%-10.7%79.4K-4.8M-17.7K0.7771.17N/AN/A5314115,2726,573
2016-12-14$17.50$15.0045.6%13.1%59.3%43.5%48.3%-0.5%-9.7%99.1K-4.1M-19.2K1.0869.34N/AN/A4284625,4046,722
2016-12-15$17.38$15.0045.1%12.9%59.8%42.6%44.0%-4.3%-8.7%98.5K-4.2M-17.6K2.0170.87N/AN/A2945915,4096,820
2016-12-16$17.45$15.0044.6%12.8%59.8%41.5%39.2%-1.9%-8.8%108.9K-3.4M-17.7K1.0463.11N/AN/A2682785,4206,987
2016-12-19$17.65$15.0037.1%10.6%59.8%26.8%38.5%-0.5%1.4%77.0K-4.2M-14.9K0.9076.66N/AN/A2352114,4746,379
2016-12-20$17.52$15.0037.4%10.7%60.2%27.3%38.3%-2.8%1.4%73.7K-4.0M-14.9K0.8980.39N/AN/A2262014,5416,436
2016-12-21$17.60$15.0037.9%10.9%60.1%28.3%38.6%0.4%0.4%77.5K-4.1M-14.5K1.1183.69N/AN/A2262524,5496,436
2016-12-22$17.55$15.0035.4%10.1%60.3%23.4%36.7%-0.3%3.6%80.8K-4.0M-15.1K1.1481.05N/AN/A1812074,5486,501
2016-12-23$17.73$15.0034.8%10.0%59.7%22.3%39.2%0.4%3.4%92.0K-4.3M-14.2K0.8680.15N/AN/A1861604,5616,523
2016-12-27$17.83$15.0035.1%10.1%33.4%22.8%35.7%-7.8%3.9%89.8K-4.2M-14.4K1.5379.06N/AN/A1862844,5256,537
2016-12-28$17.80$15.0034.6%9.9%33.0%21.8%36.0%3.1%3.7%99.9K-4.4M-13.3K1.4569.48N/AN/A1882724,5256,678
2016-12-29$17.93$15.0035.2%10.1%33.0%23.0%36.2%-5.2%3.1%89.8K-4.5M-13.4K1.4579.18N/AN/A1882724,5276,677
2016-12-30$17.88$15.0036.1%10.4%32.5%24.8%37.1%-7.0%3.0%88.7K-4.4M-13.4K1.4979.83N/AN/A1832724,5276,677