TIME Options History — January 2017

In January 2017, TIME traded between $17.95 and $19.35. ATM implied volatility averaged 43.2%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 21.1% (HV 20d: 22.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2017-01-17: Highest Volume — 4,563 contracts
  • 2017-01-09: Largest IV spike — 28.5% change
  • 2017-01-30: Highest IV Rank — 46.5%
  • 2017-01-31: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.89$17.95$19.35$17.95$19.30
Max Pain$17.13$15.00$17.50$15.00$17.50
ATM IV43.2%34.9%46.9%37.4%46.9%
Expected Move12.4%10.7%13.5%10.7%13.5%
HV 20d22.1%17.1%34.0%32.1%21.8%
HV 60d40.3%39.1%41.1%41.1%39.1%
IV Rank38.9%22.5%46.5%27.4%46.5%
IV Percentile85.6%52.4%96.0%65.1%95.6%
Term Structure-6.7%-10.8%2.0%2.0%-10.0%
VWIV45.5%38.1%54.2%38.1%53.1%
Skew 25d-0.2%-5.2%5.0%5.0%-2.2%
Skew 10d0.5%-10.9%14.6%14.6%-5.8%
Call IV 25d45.7%40.4%52.5%40.4%52.5%
Put IV 25d45.5%37.0%52.6%45.4%50.3%
Bid-Ask Spread %86.7178.1391.8381.4890.04
Gamma HHI0.460.310.560.560.52
Net GEX1.9K-110.6K114.6K114.6K-76.9K
Net DEX-4.4M-7.2M245.6K-4.8M-863.9K
Net VEX-11.8K-15.5K-9.4K-11.5K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.202.861.232.22
Total Volume1,353.253694,563493892
Total OI10,922.77,21715,72811,2037,529

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$17.95$15.0037.4%10.7%32.1%27.4%38.1%5.0%2.0%114.6K-4.8M-11.5K1.2381.48N/AN/A2212724,5266,677
2017-01-04$18.45$15.0039.0%11.2%32.8%30.5%39.7%-5.2%-0.5%110.7K-5.7M-10.2K0.9878.13N/AN/A1861834,5026,677
2017-01-05$19.00$15.0044.4%11.9%33.7%41.2%41.6%-3.8%-2.1%96.8K-6.4M-9.8K0.4390.20N/AN/A9193944,5286,649
2017-01-06$18.70$17.5034.9%12.1%34.0%22.5%41.7%1.3%-5.3%44.8K-6.1M-13.5K0.4084.91N/AN/A9733945,2996,916
2017-01-09$18.60$17.5044.9%11.7%18.8%42.2%41.4%-0.1%-5.3%88.9K-6.6M-10.3K0.2085.94N/AN/A1,0412095,0736,916
2017-01-10$18.77$17.5039.6%11.9%18.2%31.8%41.2%-0.8%-6.0%95.3K-7.2M-9.4K0.2087.91N/AN/A1,0312095,1186,945
2017-01-11$18.88$17.5042.5%12.2%18.2%37.4%42.5%-0.2%-8.8%79.9K-7.0M-10.0K0.2683.65N/AN/A1,0252635,1226,945
2017-01-12$18.95$17.5042.5%12.2%18.2%37.7%44.0%1.0%-8.3%61.6K-6.7M-10.9K0.6185.05N/AN/A7614685,3326,970
2017-01-13$18.85$17.5042.3%12.1%17.4%37.3%42.9%-0.9%-6.6%64.8K-6.8M-10.9K0.5091.83N/AN/A1,3326695,2867,175
2017-01-17$19.08$17.5042.8%12.3%17.1%38.3%50.1%3.9%-8.4%76.0K-7.1M-11.3K2.8686.80N/AN/A1,1823,3815,6407,377
2017-01-18$19.00$17.5043.7%12.5%17.4%40.1%46.0%-1.6%-9.5%-27.3K-5.9M-15.5K0.6282.21N/AN/A1,0686625,7859,678
2017-01-19$18.65$17.5046.4%13.3%19.0%45.4%47.0%-0.6%-10.8%-73.7K-6.6M-14.4K1.0688.77N/AN/A1,0551,1215,7899,858
2017-01-20$18.75$17.5045.1%12.9%18.6%42.8%46.2%-0.6%-8.5%-110.0K-6.8M-14.5K0.5989.01N/AN/A1,0386085,7959,933
2017-01-23$18.68$17.5044.1%12.6%18.8%40.8%44.8%-2.6%-5.4%-110.6K245.6K-14.0K1.7787.14N/AN/A3816751,7265,491
2017-01-24$19.18$17.5044.7%12.8%20.4%41.9%49.2%-0.1%-6.8%-78.1K-500.1K-11.8K2.1786.53N/AN/A2846161,7995,550
2017-01-25$19.35$17.5045.2%13.0%20.3%43.1%48.9%0.7%-7.1%-74.0K-663.0K-12.7K1.8787.25N/AN/A3195981,8405,599
2017-01-26$19.05$17.5045.2%13.0%21.5%43.0%47.5%-0.3%-9.1%-88.3K-405.3K-12.7K1.8589.28N/AN/A3025591,8545,599
2017-01-27$19.33$17.5044.3%12.7%21.8%41.2%49.6%1.4%-8.6%-75.2K-667.2K-12.2K1.7488.64N/AN/A3225611,8555,602
2017-01-30$19.30$17.5046.9%13.5%21.8%46.5%54.2%1.1%-9.4%-81.1K-693.6K-10.7K2.2389.49N/AN/A2766151,8755,624
2017-01-31$19.30$17.5046.9%13.5%21.8%46.5%53.1%-2.2%-10.0%-76.9K-863.9K-10.3K2.2290.04N/AN/A2776151,9055,624