TIME Options History — September 2014

In September 2014, TIME traded between $22.59 and $24.09. ATM implied volatility averaged 23.6%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.3% (HV 20d: 19.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 34.65.

Notable Days

  • 2014-09-11: Highest Volume — 10,382 contracts
  • 2014-09-08: Largest IV spike — 24.8% change
  • 2014-09-16: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.60$22.59$24.09$23.99$23.43
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV23.6%20.3%26.9%23.6%24.9%
Expected Move7.3%7.0%7.6%7.0%7.5%
HV 20d19.3%15.2%23.6%23.2%19.4%
HV 60d20.3%18.9%21.8%21.8%20.7%
Term Structure1.7%-2.2%7.8%-2.2%3.1%
VWIV26.0%24.1%31.6%24.5%26.5%
Skew 25d3.5%1.4%10.1%4.7%2.7%
Skew 10d7.3%-2.5%33.6%0.4%9.0%
Call IV 25d23.4%17.0%26.1%23.6%26.1%
Put IV 25d26.9%21.6%29.4%28.4%28.8%
Bid-Ask Spread %58.8552.4271.7258.5861.82
Gamma HHI0.350.260.500.470.28
Net GEX-226.6K-470.1K2.6K2.6K-354.5K
Net DEX2.6M362.9K6.0M362.9K3.7M
Net VEX-41.7K-60.3K-21.5K-22.8K-56.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio34.650.19219.8931.000.77
Total Volume634.095010,382320
Total OI12,441.1435,24217,2015,24217,201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$23.99$25.0023.6%7.0%23.2%0.0%24.5%4.7%-2.2%2.6K362.9K-22.8K31.0058.58N/AN/A1312,4222,820
2014-09-03$23.69$25.0021.1%7.2%23.6%0.0%0.0%1.4%7.8%-10.4K868.7K-22.4K0.0055.94N/AN/A0302,4222,841
2014-09-04$23.50$25.0025.4%7.3%21.2%0.0%0.0%4.3%-1.3%-39.4K1.2M-21.9K0.0057.66N/AN/A002,4222,869
2014-09-05$23.78$25.0021.6%7.0%21.6%0.0%0.0%2.3%1.2%-14.4K830.9K-22.2K0.2555.88N/AN/A412,4222,869
2014-09-08$23.54$25.0026.9%7.2%21.9%0.0%24.1%5.9%0.7%-41.9K1.2M-21.5K4.8152.63N/AN/A261252,4262,870
2014-09-09$23.63$25.0021.9%7.3%21.9%0.0%0.0%10.1%1.6%-45.5K1.2M-21.5K53.0057.55N/AN/A21062,4272,979
2014-09-10$23.80$25.0020.3%7.0%21.2%0.0%0.0%4.0%1.1%-35.5K875.6K-22.1K0.0064.08N/AN/A0702,4273,059
2014-09-11$24.09$25.0023.7%7.3%21.4%0.0%31.6%5.8%1.4%-13.8K623.6K-22.1K219.8955.47N/AN/A4710,3352,4273,129
2014-09-12$23.81$25.0022.9%7.3%21.7%0.0%26.0%2.0%1.7%-315.7K3.1M-44.8K1.0255.65N/AN/A5005112,47413,098
2014-09-15$23.86$25.0023.8%7.3%20.4%0.0%0.0%2.6%1.0%-317.8K2.9M-50.7K0.0061.33N/AN/A002,97413,588
2014-09-16$23.74$25.0025.7%7.6%16.6%0.0%26.2%2.3%0.8%-304.3K3.1M-52.6K0.9354.26N/AN/A27252,97413,588
2014-09-17$23.91$25.0023.0%7.3%16.0%0.0%0.0%3.1%1.6%-285.8K2.6M-49.1K0.0071.72N/AN/A0122,99113,578
2014-09-18$23.99$25.0022.4%7.2%15.3%0.0%25.7%2.0%1.9%-278.6K2.3M-46.5K0.1963.42N/AN/A74142,96713,568
2014-09-19$23.77$25.0022.8%7.2%15.6%0.0%25.4%1.8%1.3%-307.1K2.9M-51.0K0.7752.42N/AN/A6535032,96613,568
2014-09-22$23.54$25.0024.1%7.4%16.0%0.0%0.0%2.3%3.5%-323.6K3.3M-57.7K0.0062.81N/AN/A01073,13513,888
2014-09-23$23.35$25.0024.0%7.4%15.9%0.0%0.0%2.2%2.3%-368.1K3.8M-58.1K0.0061.07N/AN/A0603,13513,995
2014-09-24$23.26$25.0024.3%7.3%15.2%0.0%25.0%3.4%3.1%-384.1K4.3M-58.0K0.0058.91N/AN/A0143,13514,045
2014-09-25$22.59$25.0023.7%7.4%18.0%0.0%0.0%2.7%2.4%-470.1K6.0M-60.3K0.0060.06N/AN/A083,13514,047
2014-09-26$22.91$25.0024.1%7.3%18.8%0.0%25.2%4.0%2.2%-452.8K5.2M-59.0K0.0061.08N/AN/A033,13514,055
2014-09-29$23.49$25.0025.8%7.4%20.9%0.0%26.5%4.2%0.9%-398.2K3.8M-55.1K0.0053.50N/AN/A0273,13514,058
2014-09-30$23.43$25.0024.9%7.5%19.4%0.0%0.0%2.7%3.1%-354.5K3.7M-56.9K0.0061.82N/AN/A003,13514,066