TIME Options History — October 2017

In October 2017, TIME traded between $11.43 and $13.68. ATM implied volatility averaged 40.2%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 11.3% (HV 20d: 29.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-10-02: Highest Volume — 1,925 contracts
  • 2017-10-04: Largest IV spike — 33.3% change
  • 2017-10-30: Highest IV Rank — 31.9%
  • 2017-10-30: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.50$11.43$13.68$13.68$11.68
Max Pain$12.84$12.50$15.00$15.00$12.50
ATM IV40.2%33.6%48.6%41.6%41.6%
Expected Move11.8%9.6%13.9%11.9%11.9%
HV 20d29.0%23.7%34.4%24.1%34.4%
HV 60d25.7%24.2%28.3%24.8%28.3%
IV Rank21.2%12.8%31.9%23.0%23.0%
IV Percentile50.0%15.1%85.3%57.9%54.8%
Term Structure-2.0%-7.3%15.2%-0.8%-2.3%
VWIV42.0%35.8%47.0%39.5%45.3%
Skew 25d-1.4%-19.3%8.8%-2.2%-4.8%
Skew 10d2.5%-17.3%18.6%3.8%10.5%
Call IV 25d42.4%36.8%50.6%40.4%42.3%
Put IV 25d41.0%28.9%53.6%38.2%37.4%
Bid-Ask Spread %52.4312.0296.8620.2434.99
Gamma HHI0.600.490.740.620.72
Net GEX63.4K-107.4K197.3K197.2K100.0K
Net DEX-578.1K-3.5M3.0M-3.5M-280.9K
Net VEX-24.7K-35.4K-16.8K-34.7K-17.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.242.650.300.30
Total Volume1,247.3187171,9251,9251,451
Total OI19,724.40913,10923,26022,11414,773

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$13.68$15.0041.6%11.9%24.1%23.0%39.5%-2.2%-0.8%197.2K-3.5M-34.7K0.3020.24N/AN/A1,48643916,1255,989
2017-10-03$13.65$15.0033.6%9.6%23.7%12.8%40.3%2.9%15.2%197.3K-3.5M-35.4K0.2420.26N/AN/A1,37832716,1266,092
2017-10-04$13.65$15.0044.7%12.8%23.8%27.0%42.2%-3.8%-7.3%194.8K-3.5M-34.8K0.2420.46N/AN/A1,37832416,1316,097
2017-10-05$13.28$12.5033.9%11.4%24.3%13.1%40.2%-3.3%-2.1%90.2K-2.5M-32.5K0.3215.25N/AN/A1,45846316,1316,098
2017-10-06$12.93$12.5035.5%11.3%26.0%15.2%39.4%-6.6%-0.3%40.0K-1.1M-29.7K1.0112.70N/AN/A48448716,1616,191
2017-10-09$12.63$12.5033.7%11.5%26.4%12.9%45.0%-10.3%-2.3%-24.6K-390.1K-27.3K2.5916.53N/AN/A35491816,1656,159
2017-10-10$12.88$12.5035.7%11.8%27.5%15.4%43.2%-8.1%-3.1%25.5K-1.2M-28.7K2.6512.02N/AN/A36195716,2676,113
2017-10-11$12.65$12.5039.7%11.4%28.1%20.5%42.1%-9.1%-1.2%-10.8K-405.7K-26.9K0.7913.40N/AN/A49238816,2696,108
2017-10-12$12.80$12.5041.0%11.7%28.5%22.2%44.6%7.6%-2.8%7.4K-966.3K-28.6K0.8083.74N/AN/A48738916,3846,121
2017-10-13$12.70$12.5040.4%11.6%28.2%21.4%42.7%8.8%-2.9%-18.3K-576.3K-26.7K1.0787.95N/AN/A37139716,3826,151
2017-10-16$12.65$12.5040.0%11.5%28.0%21.0%40.4%-3.9%-5.5%-58.9K-363.4K-25.7K1.1891.39N/AN/A37744516,3946,146
2017-10-17$12.25$12.5041.1%11.8%29.1%22.4%40.4%0.9%-3.8%-102.8K1.8M-21.3K0.9896.86N/AN/A78577216,4076,147
2017-10-18$12.28$12.5039.3%11.3%29.1%20.1%39.0%2.3%-1.0%-107.4K1.3M-23.2K0.9294.87N/AN/A56551916,5616,339
2017-10-19$11.80$12.5041.3%11.8%30.8%22.6%45.4%2.0%-2.4%100.0K3.0M-18.7K0.9584.43N/AN/A61758516,6556,317
2017-10-20$12.15$12.5042.0%12.0%32.8%23.5%44.2%1.1%-4.0%118.9K2.8M-19.2K1.0591.15N/AN/A74678416,8186,442
2017-10-23$11.85$12.5040.7%11.7%32.8%21.9%43.9%6.9%-0.5%109.9K-669.3K-19.4K0.8560.06N/AN/A49441810,8582,251
2017-10-24$12.00$12.5042.1%12.1%33.3%23.6%41.6%2.5%-2.2%115.5K-780.0K-19.4K0.8454.11N/AN/A49641811,1022,336
2017-10-25$11.95$12.5042.3%12.1%31.6%23.9%40.3%-0.1%-2.4%112.5K-592.3K-18.1K1.3773.12N/AN/A30241511,1042,341
2017-10-26$12.13$12.5041.9%12.0%31.4%23.3%35.8%3.2%-2.2%126.8K-953.2K-19.7K1.8760.29N/AN/A46687011,1602,343
2017-10-27$11.95$12.5044.3%12.7%30.5%26.4%47.0%2.6%-5.3%103.3K-429.9K-18.8K1.5366.88N/AN/A45569711,3462,748
2017-10-30$11.43$12.5048.6%13.9%32.7%31.9%42.1%-19.3%-4.8%78.2K-8.7K-16.8K0.3142.79N/AN/A1,08634011,3462,743
2017-10-31$11.68$12.5041.6%11.9%34.4%23.0%45.3%-4.8%-2.3%100.0K-280.9K-17.7K0.3034.99N/AN/A1,11233912,0032,770