TIME Options History — July 2017

In July 2017, TIME traded between $13.60 and $14.63. ATM implied volatility averaged 40.5%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 13.2% (HV 20d: 27.4%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.94.

Notable Days

  • 2017-07-27: Highest Volume — 13,910 contracts
  • 2017-07-12: Largest IV spike — 21.9% change
  • 2017-07-27: Highest IV Rank — 34.6%
  • 2017-07-27: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.14$13.60$14.63$14.45$14.15
Max Pain$13.00$12.50$17.50$17.50$12.50
ATM IV40.5%29.7%50.7%34.5%50.6%
Expected Move11.9%8.5%14.5%9.9%14.5%
HV 20d27.4%24.3%30.4%26.7%26.0%
HV 60d53.0%42.3%56.9%56.5%42.5%
IV Rank21.6%7.8%34.6%13.9%34.5%
IV Percentile58.2%13.5%90.9%34.9%90.5%
Term Structure-2.6%-9.0%3.5%3.5%-6.2%
VWIV45.8%30.8%62.9%35.9%62.9%
Skew 25d8.6%-8.8%21.1%0.2%15.3%
Skew 10d13.5%3.8%30.8%4.5%17.8%
Call IV 25d38.0%32.5%46.8%32.5%46.8%
Put IV 25d46.5%26.0%62.2%32.8%62.2%
Bid-Ask Spread %27.1613.5354.2629.9613.53
Gamma HHI0.550.390.700.560.40
Net GEX193.9K48.4K272.6K213.8K48.4K
Net DEX-3.9M-6.0M-1.7M-5.0M-1.8M
Net VEX-52.4K-60.4K-43.1K-55.5K-43.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.288.040.350.29
Total Volume3,551.256313,91067613,403
Total OI23,917.922,27328,36522,53922,284

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$14.45$17.5034.5%9.9%26.7%13.9%35.9%0.2%3.5%213.8K-5.0M-55.5K0.3529.96N/AN/A50117517,2575,282
2017-07-05$14.08$17.5029.7%8.5%28.7%7.8%30.8%-8.8%2.7%196.7K-3.8M-52.2K0.3631.37N/AN/A48217517,2375,282
2017-07-06$14.15$12.5029.8%10.4%28.7%7.9%36.7%8.8%-1.0%200.8K-3.7M-51.9K0.2835.58N/AN/A61617517,2375,282
2017-07-07$14.08$12.5031.1%10.5%28.8%9.6%36.6%6.6%-1.7%206.3K-3.7M-52.0K0.3015.95N/AN/A59017517,4755,282
2017-07-10$14.18$12.5033.4%10.9%27.5%12.6%39.4%9.1%-2.5%240.4K-4.3M-52.4K0.4514.18N/AN/A38817518,1435,282
2017-07-11$13.85$12.5035.4%10.6%28.8%15.1%38.7%5.6%-1.1%224.4K-3.6M-50.2K0.4054.26N/AN/A48319218,1355,282
2017-07-12$13.60$12.5043.1%12.4%29.4%24.9%40.6%1.9%-4.6%242.0K-2.8M-48.0K0.4540.87N/AN/A41018418,2355,248
2017-07-13$13.88$12.5041.7%11.9%30.4%23.1%41.6%3.3%-4.9%245.1K-3.4M-49.2K0.3729.73N/AN/A47217318,3345,253
2017-07-14$14.18$12.5038.4%11.0%28.4%18.9%38.4%7.1%-1.6%254.7K-4.4M-51.5K0.5415.72N/AN/A48326018,3815,248
2017-07-17$13.95$12.5038.8%11.1%29.1%19.4%38.7%2.4%-2.5%270.4K-3.7M-50.5K1.5415.66N/AN/A43566818,3755,297
2017-07-18$13.93$12.5038.8%11.1%27.7%19.4%38.7%1.6%-1.9%272.6K-3.4M-49.1K1.4013.70N/AN/A43561118,3755,551
2017-07-19$14.15$12.5041.9%12.0%28.2%23.4%51.0%11.7%-4.7%241.4K-4.3M-51.7K6.7225.40N/AN/A3882,60818,3755,527
2017-07-20$14.15$12.5042.1%12.1%25.6%23.6%48.5%10.2%-3.7%228.1K-3.8M-54.2K8.0416.16N/AN/A3783,04018,3307,523
2017-07-21$13.88$12.5040.4%11.6%26.5%21.4%45.5%5.2%-2.4%147.6K-1.7M-54.6K6.7517.27N/AN/A4533,05918,33010,035
2017-07-24$14.18$12.5046.0%13.2%25.8%28.6%55.0%14.7%1.6%153.6K-4.9M-56.9K4.2844.72N/AN/A6822,92015,4277,897
2017-07-25$14.30$12.5050.0%14.3%25.9%33.7%60.1%18.4%-3.7%119.8K-5.3M-60.4K2.8243.07N/AN/A1,0773,03515,7839,915
2017-07-26$14.60$12.5046.9%13.5%26.7%29.8%58.7%21.1%-3.3%152.1K-6.0M-60.3K2.9231.11N/AN/A1,0403,03515,57210,045
2017-07-27$14.63$12.5050.7%14.5%24.3%34.6%57.4%18.4%-9.0%153.0K-5.9M-59.4K0.2937.44N/AN/A10,7873,12315,52510,044
2017-07-28$14.50$12.5047.6%13.7%24.4%30.7%59.9%18.4%-4.8%65.7K-2.7M-44.8K0.2917.62N/AN/A10,6133,12512,12810,145
2017-07-31$14.15$12.5050.6%14.5%26.0%34.5%62.9%15.3%-6.2%48.4K-1.8M-43.1K0.2913.53N/AN/A10,3973,00612,13110,153