TIME Options History — November 2014

In November 2014, TIME traded between $21.30 and $24.21. ATM implied volatility averaged 26.6%. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 13.1% (HV 20d: 39.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2014-11-03: Highest Volume — 6,443 contracts
  • 2014-11-24: Largest IV drop — 32.8% change
  • 2014-11-03: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.54$21.30$24.21$23.00$23.94
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV26.6%17.8%41.3%41.3%21.3%
Expected Move8.4%8.1%9.0%9.0%8.2%
HV 20d39.7%34.4%47.2%38.0%35.2%
HV 60d30.8%27.1%31.6%27.1%31.4%
Term Structure0.5%-8.3%12.5%-8.3%0.7%
VWIV30.4%28.4%36.0%32.2%29.1%
Skew 25d2.6%-3.2%12.7%7.5%3.5%
Skew 10d0.7%-8.5%18.6%18.6%0.3%
Call IV 25d28.1%16.1%40.0%40.0%25.5%
Put IV 25d30.7%23.6%47.5%47.5%29.0%
Bid-Ask Spread %60.4345.6476.3645.6463.66
Gamma HHI0.480.400.570.410.50
Net GEX-427.3K-771.8K35.3K-624.1K-559.6K
Net DEX10.9M3.8M19.0M8.0M7.7M
Net VEX-90.6K-104.3K-75.0K-104.3K-80.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.009.230.801.10
Total Volume2,700.68476,4436,4437
Total OI31,585.10523,49735,03630,70423,518

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$23.00$25.0041.3%9.0%38.0%0.0%32.2%7.5%-8.3%-624.1K8.0M-104.3K0.8045.64N/AN/A3,5812,8627,32523,379
2014-11-04$21.30$25.0030.8%8.7%46.9%0.0%31.8%4.2%-0.9%-771.8K17.7M-98.0K0.3251.94N/AN/A4,4151,4238,54023,641
2014-11-05$21.56$25.0027.7%8.6%47.2%0.0%30.6%7.9%-1.0%-619.8K16.1M-99.1K0.1550.06N/AN/A3,5905529,54523,605
2014-11-06$21.63$25.0028.6%8.6%44.1%0.0%30.3%7.9%-1.2%-598.7K16.6M-99.9K0.2648.55N/AN/A2,1305629,63523,703
2014-11-07$21.31$25.0027.3%8.5%43.7%0.0%30.3%1.1%1.0%-683.4K19.0M-94.1K0.2448.95N/AN/A2,1315169,66423,703
2014-11-10$21.54$25.0026.3%8.5%43.3%0.0%30.1%-0.4%0.7%-651.4K18.3M-92.3K0.1651.86N/AN/A2,1363409,63123,713
2014-11-11$21.76$25.0027.8%8.3%43.4%0.0%29.6%-1.0%-0.6%-550.7K14.8M-94.8K0.1657.75N/AN/A2,0953359,35823,909
2014-11-12$22.22$25.0025.1%8.2%42.5%0.0%29.5%1.9%-0.2%-334.0K11.3M-93.4K0.1651.80N/AN/A2,1193359,84423,743
2014-11-13$22.16$25.0026.6%8.3%40.6%0.0%29.6%-1.2%0.3%-332.1K11.9M-91.9K0.7359.94N/AN/A2,1741,5889,94823,743
2014-11-14$22.43$25.0026.8%8.4%40.5%0.0%0.0%-1.2%0.4%-301.6K9.7M-94.7K0.8058.64N/AN/A403210,02324,934
2014-11-17$22.46$25.0026.7%8.7%40.5%0.0%30.3%0.3%0.6%-58.8K9.4M-91.9K0.7061.88N/AN/A2,6861,8829,99224,949
2014-11-18$22.51$25.0026.3%8.4%37.8%0.0%29.9%0.7%0.3%-146.5K9.1M-89.8K0.9068.85N/AN/A2,0811,8679,80224,935
2014-11-19$22.78$25.0026.1%8.2%35.5%0.0%29.2%1.7%0.2%35.3K4.9M-88.2K0.0074.63N/AN/A8609,80224,935
2014-11-20$22.72$25.0026.1%8.1%35.2%0.0%28.4%2.4%0.1%-29.6K6.4M-87.5K1.0473.98N/AN/A2,0152,1049,84524,813
2014-11-21$22.95$25.0026.5%8.2%34.4%0.0%29.1%-3.2%0.6%-196.4K3.8M-87.3K0.7668.43N/AN/A2,0321,5529,85525,181
2014-11-24$23.85$25.0017.8%8.2%35.2%0.0%36.0%12.7%12.5%-594.8K7.5M-76.6K0.0072.46N/AN/A7004,32519,566
2014-11-25$24.21$25.0020.8%8.6%35.4%0.0%29.7%1.9%3.3%-544.3K6.0M-75.0K9.2376.36N/AN/A1671,5413,95019,566
2014-11-26$23.93$25.0025.7%8.3%35.7%0.0%30.6%2.9%0.6%-557.5K8.0M-82.3K1.1062.74N/AN/A1271403,93119,566
2014-11-28$23.94$25.0021.3%8.2%35.2%0.0%29.1%3.5%0.7%-559.6K7.7M-80.2K0.0063.66N/AN/A073,92819,590