TIME Options History — February 2017

In February 2017, TIME traded between $17.65 and $19.35. ATM implied volatility averaged 45.0%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 24.5% (HV 20d: 20.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.20.

Notable Days

2017-02-08: Highest Volume — 4,383 contracts
2017-02-08: Largest IV drop — 25.2% change
2017-02-06: Highest IV Rank — 71.5%
2017-02-01: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.86	$17.65	$19.35	$19.25	$17.65
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	45.0%	38.7%	59.5%	48.4%	43.5%
Expected Move	12.0%	11.0%	13.9%	13.9%	12.5%
HV 20d	20.6%	17.7%	22.6%	21.9%	22.6%
HV 60d	36.8%	26.1%	39.6%	39.1%	26.7%
IV Rank	42.7%	30.1%	71.5%	49.4%	39.6%
IV Percentile	86.8%	70.6%	98.4%	96.4%	87.7%
Term Structure	-5.3%	-10.5%	-0.8%	-10.5%	-7.9%
VWIV	43.1%	39.6%	53.0%	53.0%	45.7%
Skew 25d	-1.2%	-9.7%	1.9%	-2.2%	-9.7%
Skew 10d	-0.5%	-16.1%	9.2%	-8.1%	-16.1%
Call IV 25d	43.9%	40.1%	53.3%	53.3%	47.9%
Put IV 25d	42.8%	38.2%	51.1%	51.1%	38.2%
Bid-Ask Spread %	86.40	81.71	93.36	90.32	92.19
Gamma HHI	0.48	0.31	0.58	0.53	0.31
Net GEX	18.1K	-96.2K	120.6K	-86.2K	-49.0K
Net DEX	-1.1M	-2.2M	765.9K	-801.4K	765.9K
Net VEX	-14.4K	-20.1K	-10.2K	-10.2K	-18.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.18	2.90	1.97	0.67
Total Volume	1,694.947	890	4,383	927	3,643
Total OI	8,815.368	7,521	11,513	7,521	11,513

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$19.25	$17.50	48.4%	13.9%	21.9%	49.4%	53.0%	-2.2%	-10.5%	-86.2K	-801.4K	-10.2K	1.97	90.32	N/A	N/A	312	615	1,897	5,624
2017-02-02	$19.15	$17.50	52.2%	11.0%	20.1%	56.9%	39.6%	0.6%	-3.2%	-74.3K	-756.2K	-10.4K	0.84	84.05	N/A	N/A	484	406	1,942	5,624
2017-02-03	$19.35	$17.50	49.7%	11.0%	17.7%	52.0%	42.6%	0.4%	-3.6%	-42.7K	-1.2M	-11.4K	0.74	82.11	N/A	N/A	552	407	2,192	5,626
2017-02-06	$18.77	$17.50	59.5%	11.2%	20.1%	71.5%	42.2%	1.8%	-2.8%	-75.0K	-709.8K	-10.8K	0.68	82.83	N/A	N/A	533	362	2,419	5,609
2017-02-07	$18.55	$17.50	58.4%	11.9%	20.5%	69.2%	42.9%	1.4%	-5.2%	-96.2K	-309.7K	-11.0K	0.61	85.13	N/A	N/A	609	372	2,507	5,609
2017-02-08	$18.80	$17.50	43.6%	12.5%	20.8%	39.9%	43.3%	0.1%	-7.0%	-68.9K	-740.6K	-10.8K	2.73	84.07	N/A	N/A	1,174	3,209	2,652	5,609
2017-02-09	$18.98	$17.50	42.3%	12.1%	20.9%	37.3%	43.9%	1.9%	-5.8%	40.8K	-1.4M	-12.4K	0.91	81.86	N/A	N/A	478	436	3,134	4,700
2017-02-10	$18.98	$17.50	41.4%	11.9%	20.9%	35.4%	43.3%	1.1%	-5.0%	38.8K	-1.4M	-12.9K	0.79	83.59	N/A	N/A	528	415	3,113	4,712
2017-02-13	$19.13	$17.50	42.4%	12.2%	21.0%	37.5%	44.8%	0.7%	-5.5%	50.6K	-1.4M	-12.8K	0.67	87.05	N/A	N/A	650	436	3,192	4,726
2017-02-14	$19.25	$17.50	43.3%	12.4%	20.6%	39.3%	43.9%	-1.2%	-5.4%	56.0K	-1.6M	-11.8K	0.33	87.80	N/A	N/A	881	295	3,227	4,744
2017-02-15	$19.02	$17.50	42.9%	12.3%	21.1%	38.4%	42.1%	-1.8%	-5.7%	63.3K	-1.4M	-14.1K	0.18	90.89	N/A	N/A	1,506	270	3,670	4,834
2017-02-16	$18.95	$17.50	40.6%	11.6%	20.0%	33.9%	40.4%	-2.5%	-4.8%	76.7K	-1.8M	-14.7K	0.87	85.66	N/A	N/A	1,104	959	4,586	4,884
2017-02-17	$19.20	$17.50	38.7%	11.1%	20.4%	30.1%	40.1%	1.8%	-0.8%	107.6K	-2.2M	-17.3K	1.61	81.71	N/A	N/A	745	1,199	5,054	5,858
2017-02-21	$19.35	$17.50	39.8%	11.4%	20.4%	32.3%	40.3%	0.2%	-4.1%	109.7K	-1.9M	-20.1K	1.48	86.14	N/A	N/A	753	1,116	3,726	5,322
2017-02-22	$19.10	$17.50	43.5%	12.5%	18.8%	39.6%	43.5%	-4.0%	-7.0%	110.5K	-2.0M	-18.6K	1.36	85.52	N/A	N/A	819	1,113	3,969	5,396
2017-02-23	$18.90	$17.50	42.2%	12.1%	18.9%	37.1%	42.7%	-0.4%	-5.9%	120.6K	-1.7M	-19.5K	1.70	87.85	N/A	N/A	751	1,277	4,458	5,422
2017-02-24	$18.30	$17.50	40.1%	11.5%	21.3%	32.8%	42.0%	-4.5%	-4.9%	62.1K	-245.2K	-18.5K	1.67	89.51	N/A	N/A	639	1,067	4,209	5,635
2017-02-27	$17.75	$17.50	43.0%	12.3%	22.6%	38.7%	43.6%	-6.2%	-5.0%	0	393.2K	-17.7K	2.90	93.36	N/A	N/A	536	1,553	4,413	5,685
2017-02-28	$17.65	$17.50	43.5%	12.5%	22.6%	39.6%	45.7%	-9.7%	-7.9%	-49.0K	765.9K	-18.3K	0.67	92.19	N/A	N/A	2,178	1,465	4,467	7,046