TIME Options History — March 2017

In March 2017, TIME traded between $18.40 and $19.58. ATM implied volatility averaged 53.8%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 26.8% (HV 20d: 27.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.65.

Notable Days

2017-03-09: Highest Volume — 10,369 contracts
2017-03-08: Largest IV spike — 57.7% change
2017-03-08: Highest IV Rank — 100.0%
2017-03-03: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.08	$18.40	$19.58	$18.58	$19.38
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	53.8%	42.4%	102.1%	46.4%	48.7%
Expected Move	13.5%	11.9%	17.2%	13.3%	14.0%
HV 20d	27.0%	15.3%	30.3%	30.1%	15.3%
HV 60d	24.2%	22.6%	28.4%	28.4%	22.6%
IV Rank	43.9%	24.0%	100.0%	45.5%	32.1%
IV Percentile	92.6%	77.8%	100.0%	95.2%	93.3%
Term Structure	-10.0%	-18.9%	-3.7%	-8.8%	-9.7%
VWIV	51.3%	42.0%	73.8%	48.5%	73.8%
Skew 25d	7.0%	-1.4%	17.5%	-1.4%	2.7%
Skew 10d	16.1%	-8.8%	32.1%	-3.6%	14.6%
Call IV 25d	46.5%	42.1%	56.0%	47.9%	49.9%
Put IV 25d	53.5%	44.1%	61.1%	46.6%	52.6%
Bid-Ask Spread %	90.54	77.89	112.25	94.31	92.42
Gamma HHI	0.51	0.38	0.63	0.55	0.47
Net GEX	380.5K	178.6K	689.9K	178.6K	453.0K
Net DEX	-5.9M	-9.3M	-1.8M	-1.8M	-7.0M
Net VEX	-45.8K	-55.1K	-23.4K	-23.4K	-50.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.14	1.57	0.62	1.11
Total Volume	2,412	1,000	10,369	3,208	1,020
Total OI	23,721.13	13,224	30,152	13,224	27,852

Daily Data (23 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
2017-03-01	$18.58	$17.50	46.4%	13.3%	30.1%	45.5%	48.5%	-1.4%	-8.8%	178.6K	-1.8M	-23.4K	0.62	94.31	N/A	N/A	1,983	1,225	6,178	7,046
2017-03-02	$18.65	$17.50	55.4%	15.9%	30.1%	63.2%	57.3%	2.8%	-15.0%	179.9K	-2.2M	-25.9K	0.14	110.83	N/A	N/A	2,600	368	6,838	7,573
2017-03-03	$18.43	$17.50	60.1%	17.2%	30.3%	72.6%	69.4%	0.3%	-17.6%	208.1K	-3.1M	-32.7K	0.29	112.25	N/A	N/A	924	267	8,886	7,592
2017-03-06	$18.50	$17.50	65.9%	12.2%	30.1%	84.1%	42.8%	3.1%	-3.7%	244.2K	-3.6M	-33.9K	0.22	96.03	N/A	N/A	1,293	286	9,180	7,599
2017-03-07	$18.40	$17.50	64.7%	11.9%	28.2%	81.8%	42.0%	1.9%	-5.5%	278.2K	-4.0M	-32.3K	0.39	100.09	N/A	N/A	1,118	438	9,727	7,621
2017-03-08	$18.73	$17.50	102.1%	16.4%	28.7%	100.0%	55.7%	9.6%	-18.9%	241.9K	-5.4M	-38.1K	1.50	84.63	N/A	N/A	1,125	1,693	10,255	7,768
2017-03-09	$19.20	$17.50	50.8%	13.8%	29.6%	34.7%	48.0%	17.5%	-12.8%	413.5K	-5.3M	-40.8K	0.14	85.19	N/A	N/A	9,082	1,287	10,381	9,424
2017-03-10	$19.10	$17.50	48.3%	13.1%	29.5%	31.5%	47.0%	12.2%	-10.6%	609.9K	-8.8M	-55.1K	0.36	80.10	N/A	N/A	3,159	1,136	16,722	10,392
2017-03-13	$19.20	$17.50	74.3%	13.3%	29.6%	64.6%	50.3%	8.8%	-14.6%	633.6K	-9.3M	-54.4K	0.40	83.51	N/A	N/A	1,511	602	17,367	11,005
2017-03-14	$19.15	$17.50	72.5%	13.0%	29.5%	62.4%	52.0%	5.8%	-12.7%	622.2K	-8.6M	-52.4K	0.64	79.82	N/A	N/A	956	611	17,427	11,107
2017-03-15	$19.15	$17.50	44.5%	12.7%	29.4%	26.6%	48.9%	6.5%	-11.2%	689.9K	-8.3M	-51.8K	0.38	94.57	N/A	N/A	1,414	537	17,758	11,154
2017-03-16	$19.08	$17.50	45.1%	12.9%	29.1%	27.5%	58.6%	13.5%	-12.1%	289.0K	-6.0M	-48.3K	1.57	90.32	N/A	N/A	1,108	1,737	17,678	11,155
2017-03-17	$19.20	$17.50	47.8%	13.7%	29.1%	30.9%	50.6%	12.4%	-17.4%	270.3K	-5.9M	-52.1K	0.41	79.79	N/A	N/A	2,536	1,051	17,818	12,334
2017-03-20	$19.25	$17.50	46.9%	13.4%	28.7%	29.8%	51.9%	10.2%	-7.0%	306.7K	-5.4M	-54.3K	1.44	88.48	N/A	N/A	502	725	12,673	11,392
2017-03-21	$19.18	$17.50	46.0%	13.2%	28.6%	28.6%	47.3%	9.0%	-6.1%	290.3K	-4.8M	-53.1K	0.80	86.17	N/A	N/A	643	515	12,714	11,557
2017-03-22	$19.58	$17.50	44.3%	12.7%	29.2%	26.4%	44.5%	6.6%	-5.4%	373.8K	-6.6M	-50.6K	0.57	93.97	N/A	N/A	635	365	13,113	11,590
2017-03-23	$19.30	$17.50	44.8%	12.9%	29.4%	27.1%	46.5%	5.2%	-7.0%	386.2K	-6.2M	-52.5K	0.46	91.43	N/A	N/A	994	457	13,418	11,597
2017-03-24	$19.40	$17.50	42.4%	12.2%	26.6%	24.0%	46.7%	7.1%	-4.3%	392.9K	-6.4M	-47.7K	0.38	88.87	N/A	N/A	1,578	600	12,981	11,665
2017-03-27	$19.27	$17.50	46.4%	13.3%	23.9%	29.1%	52.8%	11.7%	-6.5%	369.1K	-5.8M	-50.2K	0.81	90.42	N/A	N/A	1,329	1,076	13,599	11,839
2017-03-28	$19.43	$17.50	45.6%	13.1%	23.6%	28.1%	49.0%	4.6%	-7.3%	440.2K	-7.0M	-51.4K	1.01	91.22	N/A	N/A	1,050	1,063	14,179	12,280
2017-03-29	$19.35	$17.50	48.6%	13.9%	16.2%	31.9%	51.1%	5.7%	-10.1%	435.6K	-7.4M	-50.7K	0.63	90.02	N/A	N/A	891	565	14,700	12,810
2017-03-30	$19.35	$17.50	45.8%	13.1%	16.2%	28.4%	45.9%	4.0%	-6.8%	444.6K	-6.8M	-51.0K	0.63	77.89	N/A	N/A	873	548	14,814	12,828
2017-03-31	$19.38	$17.50	48.7%	14.0%	15.3%	32.1%	73.8%	2.7%	-9.7%	453.0K	-7.0M	-50.3K	1.11	92.42	N/A	N/A	484	536	15,071	12,781