TIME Options History — May 2017

In May 2017, TIME traded between $11.85 and $15.40. ATM implied volatility averaged 34.4%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 42.4% (HV 20d: 76.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.65.

Notable Days

  • 2017-05-04: Highest Volume — 9,824 contracts
  • 2017-05-26: Largest IV spike — 21.4% change
  • 2017-05-09: Highest IV Rank — 22.9%
  • 2017-05-03: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.21$11.85$15.40$15.20$12.55
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV34.4%26.6%41.6%36.5%35.8%
Expected Move9.6%7.6%10.5%10.5%10.3%
HV 20d76.9%60.1%86.4%68.3%61.4%
HV 60d51.0%44.0%54.7%44.4%53.9%
IV Rank13.8%3.9%22.9%16.5%15.5%
IV Percentile37.4%3.2%65.5%47.6%44.0%
Term Structure-1.7%-6.4%2.3%-5.5%-2.3%
VWIV34.4%27.1%45.2%35.1%35.8%
Skew 25d1.0%-10.4%15.8%3.9%4.0%
Skew 10d3.4%-16.1%36.2%5.2%6.2%
Call IV 25d31.9%24.6%45.3%31.9%32.0%
Put IV 25d32.8%26.1%42.2%35.8%36.0%
Bid-Ask Spread %28.028.0981.8981.8911.76
Gamma HHI0.560.320.870.400.43
Net GEX-83.2K-369.0K71.6K-18.3K59.9K
Net DEX5.8M981.6K11.9M2.7M1.1M
Net VEX-25.8K-48.4K-8.7K-31.2K-48.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.047.332.200.71
Total Volume4,547.2736249,8244,747624
Total OI25,150.45516,91529,46524,53427,610

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$15.20$15.0036.5%10.5%68.3%16.5%35.1%3.9%-5.5%-18.3K2.7M-31.2K2.2081.89N/AN/A1,4843,26312,34412,190
2017-05-02$15.33$15.0036.7%10.5%68.7%16.7%39.9%-10.4%-6.4%5.8K1.8M-31.3K1.3877.41N/AN/A2,3563,25112,42912,183
2017-05-03$15.40$15.0036.7%10.5%68.9%16.7%36.7%4.2%-4.3%46.2K981.6K-37.4K1.5851.54N/AN/A2,0603,25914,44512,208
2017-05-04$15.03$15.0037.0%9.4%69.0%17.1%31.2%-8.7%-2.0%38.0K2.4M-41.4K0.5723.76N/AN/A6,2713,55315,97412,178
2017-05-05$14.98$15.0037.3%9.3%69.1%17.5%34.4%12.3%-1.5%71.6K2.4M-43.0K0.6521.31N/AN/A5,3103,45917,28412,181
2017-05-08$14.78$15.0039.0%9.7%69.0%19.7%39.2%10.4%-2.1%-73.4K5.0M-29.3K0.8120.01N/AN/A3,9853,23312,83612,265
2017-05-09$15.03$15.0041.6%9.8%69.5%22.9%45.2%15.8%-1.7%-65.6K3.8M-29.6K0.8017.40N/AN/A4,0723,25412,84612,854
2017-05-10$12.87$15.0034.2%9.8%85.4%13.5%34.4%-2.5%-2.2%-237.2K11.1M-14.8K3.9215.19N/AN/A9803,84612,90412,877
2017-05-11$12.98$15.0033.6%9.6%85.7%12.8%33.7%-2.6%-2.9%-211.3K9.6M-13.6K7.3310.94N/AN/A4283,13913,41511,701
2017-05-12$12.75$15.0032.3%9.3%85.7%11.2%32.6%-1.2%-2.7%-272.8K9.8M-13.5K6.6024.96N/AN/A4472,94913,42411,732
2017-05-15$13.00$15.0032.1%9.2%86.1%10.8%31.8%6.6%0.3%-216.1K9.5M-12.4K1.1914.56N/AN/A52562313,45011,742
2017-05-16$12.45$15.0031.8%9.1%86.4%10.5%32.0%2.1%-0.6%-369.0K10.2M-12.2K0.7413.54N/AN/A53139313,56911,712
2017-05-17$12.10$15.0035.4%10.2%85.5%15.1%34.5%-2.8%-2.0%-264.9K10.8M-11.3K2.4738.65N/AN/A4501,11013,63611,686
2017-05-18$12.03$15.0032.3%9.3%85.2%11.2%33.9%-1.1%0.6%-226.3K11.3M-9.5K2.6637.30N/AN/A36697313,64311,702
2017-05-19$11.85$15.0032.0%9.2%85.0%10.8%31.3%-4.4%-0.7%-82.4K11.9M-8.7K1.8850.90N/AN/A38772813,67211,926
2017-05-22$11.98$15.0031.1%8.9%85.6%9.7%31.5%-1.1%-0.3%-89.2K6.0M-8.9K0.488.09N/AN/A4452159,9137,002
2017-05-23$11.98$15.0034.6%9.9%85.0%14.1%34.9%-1.7%-2.5%-82.0K5.7M-11.1K0.0415.30N/AN/A6,62525710,0517,016
2017-05-24$12.05$15.0033.3%9.5%85.3%12.4%33.2%-0.9%-0.2%-9.8K4.1M-26.8K0.0625.06N/AN/A5,97237515,2227,054
2017-05-25$11.85$15.0026.6%7.6%85.3%3.9%27.1%-2.5%2.3%53.8K2.7M-42.6K0.0418.20N/AN/A6,00926920,3877,186
2017-05-26$12.10$15.0032.3%9.3%60.1%11.2%32.9%1.9%1.3%53.8K2.2M-45.1K0.0426.59N/AN/A6,02226120,4077,186
2017-05-30$12.28$15.0035.2%10.1%60.7%14.9%35.4%0.2%-2.1%59.4K1.5M-45.4K0.0412.14N/AN/A6,02026120,4666,802
2017-05-31$12.55$15.0035.8%10.3%61.4%15.5%35.8%4.0%-2.3%59.9K1.1M-48.4K0.7111.76N/AN/A36525920,4537,157