TIME Options History — February 2015

In February 2015, TIME traded between $23.72 and $25.68. ATM implied volatility averaged 34.2%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 13.0% (HV 20d: 21.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 6.76.

Notable Days

  • 2015-02-24: Highest Volume — 6,687 contracts
  • 2015-02-27: Largest IV spike — 29.7% change
  • 2015-02-09: Highest IV Rank — 100.0%
  • 2015-02-03: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.72$23.72$25.68$25.40$23.72
Max Pain$24.21$22.50$25.00$25.00$25.00
ATM IV34.2%27.2%45.3%40.9%36.8%
Expected Move9.3%7.8%11.8%11.7%10.5%
HV 20d21.2%17.2%26.6%26.6%17.2%
HV 60d26.3%25.7%26.9%26.3%25.8%
IV Rank61.9%34.4%100.0%92.7%68.9%
IV Percentile75.6%49.7%100.0%98.8%87.4%
Term Structure-1.9%-5.9%0.5%-5.0%-5.9%
VWIV35.1%27.9%51.8%50.6%36.1%
Skew 25d4.1%-2.2%12.7%12.7%4.0%
Skew 10d6.7%-4.6%28.0%28.0%-3.2%
Call IV 25d33.4%26.8%47.9%35.2%31.7%
Put IV 25d37.5%32.2%47.9%47.9%35.8%
Bid-Ask Spread %79.2769.0785.6180.7482.58
Gamma HHI0.540.380.630.520.46
Net GEX-645.6K-990.3K-516.2K-624.6K-592.1K
Net DEX6.7M3.8M9.1M5.4M9.1M
Net VEX-70.5K-93.5K-52.7K-70.2K-93.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.760.1027.1027.1025.78
Total Volume2,573.8421116,6872,8103,401
Total OI27,455.84219,73829,38025,39626,153

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$25.40$25.0040.9%11.7%26.6%92.7%50.6%12.7%-5.0%-624.6K5.4M-70.2K27.1080.74N/AN/A1002,7103,40521,991
2015-02-03$25.68$25.0041.1%11.8%26.1%93.5%51.3%-2.2%-5.7%-565.4K3.8M-69.1K7.6276.92N/AN/A3702,8183,50223,660
2015-02-04$25.30$25.0040.7%11.7%26.4%91.8%51.8%11.5%-5.7%-729.2K6.0M-70.1K7.5684.96N/AN/A3702,7983,50224,690
2015-02-05$25.50$22.5040.9%9.9%26.0%92.8%34.6%3.5%-1.4%-667.7K5.1M-71.9K0.7869.26N/AN/A3762923,50224,700
2015-02-06$25.14$22.5040.7%9.8%21.1%91.9%34.3%3.3%-1.3%-736.7K6.5M-70.4K0.8271.27N/AN/A3572923,50224,704
2015-02-09$25.00$22.5044.8%10.3%21.2%100.0%36.1%2.9%-2.6%-770.2K7.3M-72.2K1.2069.07N/AN/A2673203,51224,704
2015-02-10$25.05$22.5045.3%10.0%20.7%100.0%34.8%2.1%-1.9%-791.9K6.8M-66.7K0.6575.86N/AN/A5793783,52224,713
2015-02-11$24.99$22.5034.5%9.9%19.7%60.8%34.4%1.0%-2.6%-782.1K7.2M-71.9K1.2671.05N/AN/A5797283,86824,792
2015-02-12$24.50$22.5028.3%8.1%20.9%38.4%28.7%-1.5%0.5%-519.5K6.7M-64.1K1.1473.73N/AN/A1,1431,2983,86825,161
2015-02-13$24.86$25.0027.2%7.8%21.6%34.4%29.7%7.0%0.5%-565.9K5.0M-63.8K1.3879.18N/AN/A9141,2574,05925,276
2015-02-17$24.80$25.0027.8%8.0%21.3%36.3%33.4%5.5%0.4%-569.2K4.7M-57.4K1.5184.63N/AN/A5488284,08525,281
2015-02-18$24.36$25.0028.3%8.1%20.5%38.2%32.5%4.0%0.2%-990.3K8.1M-58.4K1.5376.66N/AN/A5448343,99025,344
2015-02-19$24.45$25.0028.5%8.2%20.5%38.9%28.4%3.2%-0.0%-531.5K7.3M-56.0K0.1584.88N/AN/A200303,89225,258
2015-02-20$24.62$25.0027.9%8.0%20.2%36.7%27.9%5.2%-0.1%-516.2K6.9M-53.6K0.1085.00N/AN/A101104,09225,288
2015-02-23$24.20$25.0029.4%8.4%20.8%42.1%30.9%2.6%-1.3%-546.1K6.0M-52.7K4.4883.78N/AN/A1,1885,3212,97516,763
2015-02-24$24.08$25.0029.2%8.4%17.5%41.3%30.9%4.6%-1.5%-610.6K9.0M-93.5K3.8285.41N/AN/A1,3865,3014,05721,766
2015-02-25$24.03$25.0028.3%8.1%17.2%38.4%30.4%4.3%-0.3%-574.3K8.0M-90.9K16.7585.61N/AN/A3205,3614,25321,771
2015-02-26$24.04$25.0028.3%8.1%17.2%38.3%30.3%4.5%-1.6%-582.5K8.2M-93.0K24.7385.56N/AN/A2175,3674,24921,811
2015-02-27$23.72$25.0036.8%10.5%17.2%68.9%36.1%4.0%-5.9%-592.1K9.1M-93.3K25.7882.58N/AN/A1273,2744,28321,870