TIME Options History — December 2017

In December 2017, TIME traded between $18.45 and $18.68. ATM implied volatility averaged 21.1%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 40.5% (HV 20d: 61.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2017-12-01: Highest Volume — 3,161 contracts
  • 2017-12-04: Largest IV spike — 75.1% change
  • 2017-12-12: Highest IV Rank — 38.9%
  • 2017-12-28: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.55$18.45$18.68$18.60$18.45
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV21.1%12.8%47.1%14.3%16.0%
Expected Move4.1%3.0%5.1%4.1%4.6%
HV 20d61.6%6.9%106.4%105.8%6.9%
HV 60d70.3%69.8%70.8%70.8%69.9%
IV Rank10.1%0.8%38.9%2.5%4.4%
IV Percentile8.8%0.4%77.0%0.4%3.6%
Term Structure9.7%-14.2%52.8%-0.3%-14.0%
VWIV18.6%9.7%39.3%15.7%20.8%
Skew 25d-3.9%-11.4%2.6%0.5%-6.1%
Skew 10d-0.9%-36.0%6.0%4.1%4.0%
Call IV 25d14.2%9.0%22.0%9.6%15.5%
Put IV 25d10.3%8.4%12.7%10.1%9.4%
Bid-Ask Spread %65.2946.5583.8474.9153.07
Gamma HHI0.680.410.810.810.52
Net GEX199.6K64.9K270.3K213.2K64.9K
Net DEX-17.8M-19.1M-16.0M-18.0M-17.0M
Net VEX-30.5K-44.2K-22.9K-29.6K-22.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.221.150.220.74
Total Volume1,311.49973,1613,1611,125
Total OI25,570.6523,23327,28326,71123,917

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$18.60$15.0014.3%4.1%105.8%2.5%15.7%0.5%-0.3%213.2K-18.0M-29.6K0.2274.91N/AN/A2,59856314,76811,943
2017-12-04$18.50$15.0025.1%4.2%106.3%14.5%12.6%-0.7%-14.2%205.1K-18.2M-31.2K0.7060.90N/AN/A80156214,81712,088
2017-12-05$18.68$15.0024.1%3.7%106.2%13.4%11.0%-0.1%-6.4%255.8K-19.0M-30.7K0.7861.76N/AN/A57044514,81212,108
2017-12-06$18.55$15.0027.1%3.6%106.4%16.8%10.0%-1.4%-6.4%216.1K-18.4M-30.5K1.0547.48N/AN/A57960914,80112,120
2017-12-07$18.48$15.0029.7%3.0%100.4%19.7%39.3%2.6%-5.6%270.3K-16.0M-44.2K0.8461.27N/AN/A61551414,92912,211
2017-12-08$18.50$15.0031.5%3.4%97.6%21.6%9.7%-0.0%-6.1%202.2K-18.3M-31.8K0.8761.04N/AN/A59151414,93912,231
2017-12-11$18.52$15.0041.2%3.7%97.4%32.4%14.3%-5.8%-10.0%202.2K-18.6M-31.9K0.8646.55N/AN/A59350914,92812,231
2017-12-12$18.55$15.0047.1%3.8%97.6%38.9%17.5%-7.0%-8.7%225.5K-18.4M-32.9K0.8974.40N/AN/A57550914,94712,230
2017-12-13$18.63$15.0012.8%3.7%94.8%0.8%16.9%-6.0%-8.3%255.6K-19.1M-29.0K0.9983.84N/AN/A57757214,94912,230
2017-12-14$18.50$15.0013.8%3.9%95.3%1.9%18.1%-8.4%-10.9%197.4K-18.1M-30.3K0.9983.13N/AN/A57757214,93412,349
2017-12-15$18.50$15.0014.0%4.0%33.0%2.1%18.0%-8.5%-11.1%195.6K-18.1M-30.2K1.0283.59N/AN/A56257214,92512,349
2017-12-18$18.60$15.0013.9%4.0%32.9%2.1%18.3%-6.8%-6.5%235.4K-18.6M-28.3K0.9473.81N/AN/A51548214,6948,539
2017-12-19$18.60$15.0014.2%4.1%32.9%2.4%22.1%-1.5%-6.7%188.6K-17.5M-28.2K1.0767.43N/AN/A66070314,6948,539
2017-12-20$18.55$15.0014.8%4.2%32.7%3.0%15.4%-4.3%50.5%186.3K-17.5M-28.7K1.0462.31N/AN/A66068514,9648,829
2017-12-21$18.58$15.0014.8%4.3%32.7%3.1%23.9%-11.4%52.8%258.0K-16.7M-34.8K1.0462.53N/AN/A65768514,9648,869
2017-12-22$18.55$15.0016.4%4.7%32.4%4.9%12.0%-2.5%50.9%185.6K-17.5M-28.7K1.1561.44N/AN/A65074514,9648,869
2017-12-26$18.58$15.0016.4%4.7%7.1%4.8%24.3%-2.4%52.1%163.1K-17.2M-29.3K1.1566.33N/AN/A65074514,9418,969
2017-12-27$18.50$15.0017.3%5.0%7.3%5.8%25.4%-4.1%51.7%135.3K-16.9M-28.2K1.1561.22N/AN/A64674514,9418,969
2017-12-28$18.50$15.0017.7%5.1%7.0%6.3%26.1%-4.0%51.9%135.6K-16.9M-28.0K1.0158.77N/AN/A64665014,9438,969
2017-12-29$18.45$15.0016.0%4.6%6.9%4.4%20.8%-6.1%-14.0%64.9K-17.0M-22.9K0.7453.07N/AN/A64647914,9438,974