TIME Options History — November 2017

In November 2017, TIME traded between $9.95 and $18.58. ATM implied volatility averaged 45.3%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 34.5% (HV 20d: 79.8%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2017-11-27: Highest Volume — 11,624 contracts
  • 2017-11-30: Largest IV spike — 180.5% change
  • 2017-11-30: Highest IV Rank — 46.2%
  • 2017-11-21: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.07$9.95$18.58$11.18$18.50
Max Pain$12.14$10.00$15.00$12.50$15.00
ATM IV45.3%12.0%57.8%49.8%53.6%
Expected Move12.5%3.5%15.6%14.3%15.4%
HV 20d79.8%36.5%114.1%36.5%109.7%
HV 60d52.1%29.3%71.0%29.3%70.9%
IV Rank29.2%0.0%46.2%33.4%46.2%
IV Percentile68.0%0.0%92.5%87.7%90.1%
Term Structure-8.5%-72.6%6.4%6.4%-72.6%
VWIV47.1%13.6%94.7%48.5%94.7%
Skew 25d3.7%-11.4%35.0%6.2%-7.9%
Skew 10d9.0%-18.4%51.1%8.7%-5.5%
Call IV 25d40.7%14.0%53.8%52.4%16.9%
Put IV 25d44.4%9.0%65.7%58.5%9.0%
Bid-Ask Spread %50.6210.0594.2594.2581.46
Gamma HHI0.580.360.950.650.68
Net GEX124.8K-30.6K322.4K70.4K161.9K
Net DEX-6.8M-20.9M1.5M351.2K-17.7M
Net VEX-20.7K-35.6K-8.4K-14.5K-31.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.201.990.290.24
Total Volume2,968.14374511,6241,9313,519
Total OI19,042.66714,72327,54614,72326,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$11.18$12.5049.8%14.3%36.5%33.4%48.5%6.2%6.4%70.4K351.2K-14.5K0.2994.25N/AN/A1,50242911,9452,778
2017-11-02$10.58$10.0052.0%12.2%39.5%36.2%43.0%-1.2%-2.0%49.1K839.1K-12.5K0.7174.33N/AN/A83759412,6542,986
2017-11-03$10.68$10.0050.2%12.7%39.7%34.0%44.5%-2.5%-3.6%9.8K1.4M-8.6K0.4279.16N/AN/A83334712,8473,177
2017-11-06$10.73$10.0057.4%13.4%39.6%43.1%46.5%1.4%-5.3%39.6K792.8K-12.7K0.3916.83N/AN/A53720813,0273,297
2017-11-07$10.70$10.0057.8%13.2%38.3%43.6%45.8%-0.2%-5.1%37.5K811.7K-12.4K0.7216.37N/AN/A83059713,0203,300
2017-11-08$9.95$10.0046.3%13.3%44.4%29.0%51.6%-10.9%-4.5%3.5K1.5M-11.2K1.9987.80N/AN/A7801,54913,3033,696
2017-11-09$10.98$10.0041.0%11.8%58.9%22.3%39.1%1.9%-2.8%5.3K824.9K-13.4K0.2690.48N/AN/A94224813,6194,943
2017-11-10$10.93$10.0040.6%11.6%58.9%21.7%39.4%2.6%1.9%-30.6K1.2M-8.4K0.2624.40N/AN/A94424813,5985,595
2017-11-13$11.40$10.0038.9%11.2%61.5%19.6%39.0%3.4%0.6%35.4K691.0K-10.8K0.4639.12N/AN/A81237413,6014,895
2017-11-14$12.45$10.0038.7%11.1%68.9%19.3%39.2%15.6%-0.1%227.8K-2.4M-21.0K0.5816.23N/AN/A59534813,5895,050
2017-11-15$12.65$10.0037.9%10.9%69.1%18.3%37.2%-11.4%-0.2%254.0K-2.6M-21.8K0.8010.05N/AN/A51641413,5455,090
2017-11-16$16.38$10.0049.8%14.3%112.7%33.4%48.4%5.0%-11.3%322.4K-16.0M-29.0K0.3548.17N/AN/A4,9151,71413,5435,076
2017-11-17$16.38$12.5053.4%15.3%112.8%38.1%53.0%0.7%-10.7%211.7K-12.6M-26.9K1.1556.22N/AN/A1,7952,07211,1835,889
2017-11-20$16.58$15.0047.2%13.5%111.8%30.1%56.8%8.6%-8.4%237.2K-11.1M-27.6K1.6364.74N/AN/A2,5124,09110,6224,195
2017-11-21$16.45$15.0054.6%15.6%112.1%39.5%55.6%7.6%-13.9%169.9K-10.0M-35.6K0.2216.88N/AN/A2,01844711,8747,380
2017-11-22$16.58$15.0052.4%15.0%111.9%36.7%61.3%13.6%-11.6%206.2K-11.0M-34.5K0.5954.08N/AN/A1,46285812,2847,435
2017-11-24$16.90$15.0053.4%15.3%111.9%38.0%64.5%12.0%-8.4%174.6K-11.2M-34.9K1.1359.21N/AN/A9271,04912,1017,891
2017-11-27$18.48$15.0044.6%12.8%114.1%23.9%40.3%35.0%-21.9%95.2K-18.7M-8.4K0.5617.10N/AN/A7,4474,17712,0008,395
2017-11-28$18.48$15.0012.0%3.5%111.8%0.0%13.6%1.0%2.2%192.5K-20.9M-25.3K0.2950.34N/AN/A3,7421,09815,83911,707
2017-11-29$18.58$15.0019.1%5.5%112.0%7.9%26.3%-1.9%-7.6%147.7K-17.8M-33.3K0.2065.72N/AN/A3,32767714,31711,852
2017-11-30$18.50$15.0053.6%15.4%109.7%46.2%94.7%-7.9%-72.6%161.9K-17.7M-31.9K0.2481.46N/AN/A2,84267714,81511,943