TIME Options History — July 2014

In July 2014, TIME traded between $24.00 and $25.62. ATM implied volatility averaged 26.5%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 7.7% (HV 20d: 18.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2014-07-07: Highest Volume — 159 contracts
  • 2014-07-10: Largest IV spike — 38.8% change
  • 2014-07-30: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.79$24.00$25.62$24.18$24.10
Max Pain$24.66$22.50$25.00$22.50$25.00
ATM IV26.5%19.0%31.6%19.7%31.6%
Expected Move7.8%5.4%9.1%5.6%9.1%
HV 20d18.8%14.6%24.2%24.2%20.0%
Term Structure-2.0%-6.0%7.7%6.7%-5.8%
VWIV27.4%20.4%35.3%20.4%35.3%
Skew 25d5.4%1.7%9.4%1.9%3.5%
Skew 10d7.7%-0.6%16.9%-0.6%4.0%
Call IV 25d26.3%22.5%32.8%26.1%32.8%
Put IV 25d31.7%28.0%36.6%28.0%36.3%
Bid-Ask Spread %79.3974.0692.2092.2077.59
Gamma HHI0.460.440.480.480.46
Net GEX-8.2K-30.0K51.4K-28.1K-24.4K
Net DEX-100.2K-1.1M615.1K550.7K497.2K
Net VEX-23.2K-24.3K-22.0K-24.3K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.006.950.180.00
Total Volume41015922
Total OI4,177.9093,9894,4144,0594,167

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$24.18$22.5019.7%5.6%24.2%0.0%0.0%1.9%6.7%-28.1K550.7K-24.3K0.0092.20N/AN/A021,5702,489
2014-07-02$24.45$22.5020.3%5.8%23.7%0.0%20.4%3.7%5.6%-24.8K353.4K-23.9K0.1889.44N/AN/A100181,5702,491
2014-07-03$24.48$22.5019.0%5.4%23.0%0.0%0.0%2.3%7.7%-18.9K299.3K-24.0K1.1981.08N/AN/A48571,6202,509
2014-07-07$24.48$25.0021.0%7.7%22.3%0.0%0.0%3.0%-1.8%-16.8K303.3K-24.2K6.9580.90N/AN/A201391,6602,558
2014-07-08$24.58$25.0020.9%7.7%21.7%0.0%26.9%3.5%-2.2%-13.7K209.9K-24.2K0.0079.67N/AN/A401,6802,558
2014-07-09$24.90$25.0019.6%7.7%19.2%0.0%0.0%4.5%-2.3%-701-122.6K-23.9K0.2082.09N/AN/A104211,6842,558
2014-07-10$25.02$25.0027.1%7.8%19.2%0.0%27.1%7.0%-2.6%-1.9K-282.9K-24.2K0.0074.78N/AN/A6401,7452,579
2014-07-11$25.15$25.0026.6%7.6%18.3%0.0%26.6%7.8%-1.9%9.7K-484.2K-24.1K0.0074.06N/AN/A1601,7952,579
2014-07-14$25.25$25.0028.0%8.0%16.6%0.0%0.0%7.5%-3.1%14.0K-618.9K-23.5K0.0078.50N/AN/A1101,8052,579
2014-07-15$25.38$25.0028.1%8.1%16.6%0.0%0.0%8.2%-3.7%7.6K-726.3K-23.4K0.0679.22N/AN/A4831,8042,579
2014-07-16$25.48$25.0028.1%8.1%14.6%0.0%0.0%8.2%-3.4%14.8K-948.1K-23.4K0.0076.72N/AN/A3501,8322,582
2014-07-17$25.11$25.0028.2%8.1%16.2%0.0%28.2%7.5%-3.5%51.4K-577.9K-23.1K0.0079.14N/AN/A601,7842,446
2014-07-18$25.62$25.0027.7%7.9%16.9%0.0%0.0%9.1%-3.1%4.9K-1.1M-22.1K0.0080.40N/AN/A701,7882,446
2014-07-21$25.60$25.0028.9%8.3%16.1%0.0%0.0%9.4%-3.0%-7.6K-695.3K-22.0K0.0081.59N/AN/A001,6372,352
2014-07-22$25.28$25.0028.6%8.2%17.0%0.0%0.0%8.8%-2.9%-9.0K-511.2K-22.0K0.7779.94N/AN/A26201,6372,352
2014-07-23$24.56$25.0027.7%7.9%17.0%0.0%0.0%6.0%-2.1%-20.2K110.9K-22.9K0.6475.92N/AN/A1171,6592,372
2014-07-24$24.40$25.0028.7%8.2%16.7%0.0%0.0%4.3%-3.4%-22.4K272.3K-22.7K0.0076.52N/AN/A0141,6592,379
2014-07-25$24.00$25.0029.8%8.5%17.7%0.0%0.0%1.7%-3.7%-30.0K615.1K-22.7K0.6375.15N/AN/A40251,6592,393
2014-07-28$24.46$25.0030.3%8.7%18.9%0.0%0.0%5.5%-4.9%-19.6K207.9K-22.7K0.0077.69N/AN/A501,6992,417
2014-07-29$24.38$25.0031.6%9.1%19.0%0.0%35.3%2.7%-5.8%-24.0K294.4K-22.5K3.0075.69N/AN/A131,7022,417
2014-07-30$24.57$25.0031.6%9.1%19.1%0.0%0.0%2.5%-6.0%-21.3K133.5K-22.6K1.3778.28N/AN/A19261,7032,420
2014-07-31$24.10$25.0031.6%9.1%20.0%0.0%0.0%3.5%-5.8%-24.4K497.2K-22.8K0.0077.59N/AN/A201,7212,446