TIME Options History — August 2014

In August 2014, TIME traded between $23.09 and $24.60. ATM implied volatility averaged 23.8%. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.2% (HV 20d: 22.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2014-08-18: Highest Volume — 426 contracts
  • 2014-08-05: Largest IV drop — 28.9% change
  • 2014-08-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.80$23.09$24.60$24.03$23.48
Max Pain$23.75$22.50$25.00$25.00$25.00
ATM IV23.8%20.4%37.7%32.2%22.7%
Expected Move7.1%6.3%9.2%9.2%7.1%
HV 20d22.6%20.0%25.9%20.0%22.2%
HV 60d21.9%21.2%22.5%21.5%21.5%
Term Structure-0.3%-6.2%2.9%-6.2%0.6%
VWIV24.4%21.4%32.2%32.2%24.2%
Skew 25d1.1%-2.2%3.9%3.4%-1.1%
Skew 10d-0.7%-4.3%3.2%3.2%2.0%
Call IV 25d23.9%21.2%32.6%32.6%24.0%
Put IV 25d25.0%22.9%36.0%36.0%22.9%
Bid-Ask Spread %69.7351.7485.8178.7261.54
Gamma HHI0.470.460.510.460.49
Net GEX-21.4K-65.4K14.2K-29.1K-32.8K
Net DEX714.2K-273.7K1.5M615.6K1.2M
Net VEX-22.6K-24.0K-21.2K-22.6K-22.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.0011.880.070.00
Total Volume95.42904261620
Total OI4,894.6194,1655,2424,1655,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$24.03$25.0032.2%9.2%20.0%0.0%32.2%3.4%-6.2%-29.1K615.6K-22.6K0.0778.72N/AN/A1511,7192,446
2014-08-04$24.31$25.0037.7%7.6%20.5%0.0%0.0%1.8%-0.9%-24.1K362.3K-22.3K0.5280.56N/AN/A2581351,7292,447
2014-08-05$24.37$25.0026.8%6.8%20.4%0.0%23.5%2.2%-0.5%4.9K243.2K-22.3K0.0081.81N/AN/A11501,9552,582
2014-08-06$23.65$25.0021.1%7.2%22.3%0.0%23.5%0.9%-0.5%-27.2K969.1K-22.3K0.0879.82N/AN/A140112,0052,582
2014-08-07$23.72$25.0021.3%7.2%22.2%0.0%25.1%0.4%-1.1%-33.7K900.5K-22.0K0.3182.11N/AN/A35112,1452,592
2014-08-08$23.63$22.5025.0%7.3%22.1%0.0%24.2%0.7%-0.9%-39.9K914.1K-22.5K0.2579.86N/AN/A106262,1802,600
2014-08-11$23.59$22.5027.4%7.2%21.9%0.0%23.0%1.2%-1.4%-40.7K916.9K-22.5K0.0079.63N/AN/A10402,2862,625
2014-08-12$23.22$22.5021.0%6.9%22.1%0.0%21.4%-1.5%0.1%-54.5K1.4M-21.7K1.8385.81N/AN/A54992,3902,625
2014-08-13$23.09$22.5021.1%7.0%21.9%0.0%23.7%-2.2%-1.0%-65.4K1.5M-21.2K4.3384.36N/AN/A3132,3622,631
2014-08-14$23.34$25.0023.8%6.8%22.2%0.0%0.0%-0.6%-0.6%-49.0K1.2M-21.5K0.0084.40N/AN/A002,3622,644
2014-08-15$23.82$25.0021.9%6.3%22.3%0.0%23.3%1.4%-0.2%-17.4K693.1K-22.0K0.0380.56N/AN/A5822,3622,644
2014-08-18$24.60$0.0020.4%6.9%25.6%0.0%23.9%1.6%1.1%14.2K-273.7K-21.6K0.9253.12N/AN/A2222042,0852,503
2014-08-19$24.21$22.5021.2%6.9%25.9%0.0%24.3%1.4%1.1%2.5K31.5K-23.2K2.3656.45N/AN/A14332,2962,695
2014-08-20$23.88$22.5021.1%6.8%24.3%0.0%0.0%2.3%1.0%-10.0K460.2K-23.5K0.0053.64N/AN/A302,3072,717
2014-08-21$23.92$22.5022.7%7.0%24.2%0.0%0.0%1.7%-0.1%2.0K424.7K-23.7K2.2955.31N/AN/A31712,3102,717
2014-08-22$23.92$22.5022.3%7.0%23.5%0.0%0.0%2.2%0.7%-144491.9K-24.0K0.5255.71N/AN/A21112,3412,788
2014-08-25$23.71$22.5023.8%7.2%22.6%0.0%25.1%1.4%1.5%-14.3K872.9K-23.0K0.1551.74N/AN/A6292,3622,799
2014-08-26$23.99$22.5021.8%6.9%23.1%0.0%24.2%3.9%-1.2%-383427.4K-23.4K0.0056.27N/AN/A0142,4222,806
2014-08-27$23.79$25.0021.4%7.0%23.0%0.0%0.0%1.3%-0.7%-9.3K662.5K-23.6K0.0062.09N/AN/A002,4222,820
2014-08-28$23.57$25.0022.8%7.2%22.2%0.0%0.0%0.7%2.9%-24.2K960.1K-22.7K11.8860.79N/AN/A8952,4222,820
2014-08-29$23.48$25.0022.7%7.1%22.2%0.0%0.0%-1.1%0.6%-32.8K1.2M-22.2K0.0061.54N/AN/A2002,4222,820