TIME Options History — September 2017

In September 2017, TIME traded between $12.53 and $13.53. ATM implied volatility averaged 36.8%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 12.6% (HV 20d: 24.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2017-09-08: Highest Volume — 3,576 contracts
  • 2017-09-07: Largest IV spike — 29.9% change
  • 2017-09-07: Highest IV Rank — 30.1%
  • 2017-09-08: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.03$12.53$13.53$12.95$13.53
Max Pain$14.88$12.50$15.00$12.50$15.00
ATM IV36.8%30.7%47.2%32.3%30.7%
Expected Move10.4%8.8%11.6%9.3%8.8%
HV 20d24.2%21.0%26.0%24.0%24.5%
HV 60d25.0%23.8%26.4%26.3%24.7%
IV Rank16.9%9.1%30.1%11.2%9.1%
IV Percentile36.4%7.9%81.7%17.1%7.9%
Term Structure3.2%-1.1%14.4%4.5%14.4%
VWIV37.9%32.9%44.0%32.9%38.8%
Skew 25d-1.8%-16.6%15.3%-16.6%-0.3%
Skew 10d6.1%-22.4%81.8%-22.4%-2.6%
Call IV 25d40.2%35.9%49.7%49.7%36.0%
Put IV 25d38.4%32.8%58.6%33.2%35.7%
Bid-Ask Spread %21.607.0692.7520.2936.33
Gamma HHI0.520.480.590.490.59
Net GEX91.8K35.7K171.9K67.4K171.9K
Net DEX-1.4M-2.8M-241.5K-649.1K-2.8M
Net VEX-31.7K-35.9K-26.3K-28.4K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.152.172.140.23
Total Volume1,798.75313,5767671,750
Total OI20,930.618,47422,11618,47422,115

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$12.95$12.5032.3%9.3%24.0%11.2%32.9%-16.6%4.5%67.4K-649.1K-28.4K2.1420.29N/AN/A24452313,0605,414
2017-09-05$12.83$15.0035.6%10.3%24.0%15.4%38.2%4.4%2.4%56.4K-466.4K-26.4K2.1716.42N/AN/A24452913,0795,514
2017-09-06$12.85$15.0036.3%10.1%23.5%16.3%36.9%6.5%2.7%56.1K-475.6K-26.3K1.2220.01N/AN/A23929213,0795,495
2017-09-07$13.20$15.0047.2%10.0%25.1%30.1%35.7%2.2%0.5%107.3K-1.3M-27.9K1.6792.75N/AN/A6141,02613,0795,502
2017-09-08$13.08$15.0037.2%11.6%25.2%17.4%44.0%1.7%0.1%81.9K-1.2M-30.9K0.2716.20N/AN/A2,80677013,4616,020
2017-09-11$13.30$15.0037.5%11.4%26.0%17.8%37.0%-1.8%-1.1%141.0K-2.5M-35.9K0.1523.59N/AN/A2,90444715,7136,207
2017-09-12$13.33$15.0042.3%11.5%26.0%23.9%37.5%-1.1%-1.0%144.3K-2.7M-35.9K0.2710.99N/AN/A1,65644115,7996,215
2017-09-13$13.33$15.0038.9%11.2%25.7%19.6%36.2%-0.1%-0.3%140.1K-2.6M-35.3K0.7212.08N/AN/A60944115,7246,219
2017-09-14$13.23$15.0037.7%10.8%23.6%18.0%34.4%-0.8%0.5%117.5K-2.5M-34.5K0.8113.41N/AN/A54344115,7626,223
2017-09-15$13.05$15.0037.6%10.8%23.0%17.9%33.8%-1.2%0.5%104.2K-1.6M-32.6K0.8715.70N/AN/A51344515,7906,229
2017-09-18$13.15$15.0037.1%10.6%21.0%17.3%36.7%0.1%4.0%109.8K-1.7M-31.8K0.3030.62N/AN/A1,34240214,8745,552
2017-09-19$12.85$15.0036.3%10.4%22.6%16.3%40.1%-4.8%3.4%78.4K-582.3K-30.3K0.2916.00N/AN/A1,37240114,8765,576
2017-09-20$12.88$15.0037.3%10.7%22.6%17.5%40.2%-5.2%2.7%66.6K-773.1K-29.9K0.1818.16N/AN/A2,71947814,9075,609
2017-09-21$12.53$15.0033.7%9.7%24.9%12.9%34.6%-7.9%7.0%35.7K-241.5K-31.6K0.4210.72N/AN/A1,61468115,8025,658
2017-09-22$12.53$15.0036.1%10.3%23.0%16.0%37.5%-8.0%4.4%45.7K-385.7K-32.2K0.437.06N/AN/A1,34157816,0595,851
2017-09-25$12.78$15.0036.0%10.3%24.1%15.8%40.6%-6.1%4.7%54.8K-935.8K-31.3K0.3110.53N/AN/A1,37142916,0715,851
2017-09-26$12.75$15.0034.2%9.8%24.0%13.6%38.2%-6.5%5.7%55.9K-909.4K-31.6K0.3323.64N/AN/A1,37145916,1005,916
2017-09-27$13.08$15.0036.9%10.6%25.6%17.0%43.8%15.3%5.0%88.4K-1.6M-32.9K0.3016.82N/AN/A1,39541816,1055,990
2017-09-28$13.30$15.0035.9%10.3%25.9%15.8%41.9%-5.1%4.2%113.0K-2.3M-34.0K0.5220.73N/AN/A1,39573116,1215,995
2017-09-29$13.53$15.0030.7%8.8%24.5%9.1%38.8%-0.3%14.4%171.9K-2.8M-34.2K0.2336.33N/AN/A1,41833216,1285,987