TIME Options History — March 2015

In March 2015, TIME traded between $21.64 and $23.29. ATM implied volatility averaged 32.3%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 8.5% (HV 20d: 23.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 4.89.

Notable Days

  • 2015-03-11: Highest Volume — 4,332 contracts
  • 2015-03-11: Largest IV drop — 11.6% change
  • 2015-03-02: Highest IV Rank — 71.1%
  • 2015-03-02: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.47$21.64$23.29$23.29$22.44
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV32.3%29.4%37.4%37.4%30.3%
Expected Move9.1%8.4%10.7%10.7%8.7%
HV 20d23.7%16.7%27.0%17.8%25.6%
HV 60d25.6%23.9%28.1%25.6%23.9%
IV Rank52.6%42.2%71.1%71.1%45.4%
IV Percentile71.4%59.4%89.1%89.1%64.7%
Term Structure0.6%-4.6%3.6%-4.6%3.0%
VWIV33.0%19.4%39.5%36.8%31.7%
Skew 25d5.3%-0.4%12.5%-0.4%12.5%
Skew 10d9.0%-5.5%20.3%-5.5%20.2%
Call IV 25d32.3%27.2%39.5%36.7%28.1%
Put IV 25d37.5%34.9%42.7%36.3%40.6%
Bid-Ask Spread %80.2968.7492.4686.7392.14
Gamma HHI0.470.430.520.490.43
Net GEX-1.0M-1.3M-798.9K-884.9K-913.2K
Net DEX17.2M12.8M22.1M13.2M16.5M
Net VEX-90.9K-99.2K-81.6K-98.1K-81.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.890.0012.751.528.79
Total Volume826.90914,3326172,174
Total OI29,297.77328,55730,19628,95528,784

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$23.29$25.0037.4%10.7%17.8%71.1%36.8%-0.4%-4.6%-884.9K13.2M-98.1K1.5286.73N/AN/A2453724,28824,667
2015-03-03$22.77$25.0035.8%10.3%17.8%65.4%36.0%3.2%-2.8%-961.7K15.5M-97.4K2.9684.44N/AN/A1795304,42524,660
2015-03-04$22.68$25.0034.2%9.8%16.7%59.5%34.1%4.6%-2.6%-1.1M16.8M-99.2K3.3184.80N/AN/A1795924,43324,750
2015-03-05$21.92$25.0035.4%9.3%19.3%63.9%33.0%2.8%-0.2%-1.0M21.2M-94.9K5.0171.53N/AN/A1366824,43324,770
2015-03-06$21.98$25.0035.1%9.2%18.8%62.9%36.6%4.7%-0.8%-1.1M21.5M-94.0K2.3872.63N/AN/A1242954,43624,689
2015-03-09$22.33$25.0035.1%9.2%20.3%63.1%0.0%6.7%-0.0%-1.1M19.6M-91.4K0.0071.80N/AN/A104,40524,684
2015-03-10$22.02$25.0037.0%9.3%20.5%69.7%0.0%5.3%-0.4%-1.1M20.9M-90.5K6.7071.75N/AN/A3002,0104,40624,684
2015-03-11$21.64$25.0032.7%9.4%20.6%54.2%32.8%3.5%-0.7%-1.0M22.1M-91.6K12.0176.91N/AN/A3333,9994,63524,620
2015-03-12$22.54$25.0031.4%9.0%26.8%49.5%38.5%7.8%-0.0%-1.0M17.9M-94.5K12.7574.87N/AN/A4514,95025,060
2015-03-13$22.20$25.0031.4%9.0%26.5%49.5%19.4%4.9%0.7%-1.0M18.5M-97.5K0.0072.57N/AN/A0924,95425,026
2015-03-16$22.45$25.0031.5%9.0%26.2%49.8%31.7%3.8%0.8%-1.1M17.0M-94.4K0.0068.74N/AN/A02214,95425,052
2015-03-17$22.40$25.0031.1%8.9%26.2%48.2%31.1%4.7%1.1%-1.2M17.5M-93.1K2.0872.19N/AN/A25524,95425,192
2015-03-18$22.70$25.0029.8%8.6%26.5%43.8%29.9%5.3%1.4%-1.3M16.1M-91.0K7.3374.79N/AN/A3224,95425,242
2015-03-19$22.65$25.0030.4%8.7%26.4%45.9%30.4%5.5%0.7%-1.3M16.2M-91.0K0.0082.21N/AN/A0244,95125,230
2015-03-20$22.79$25.0030.1%8.6%26.3%44.8%39.5%4.7%1.0%-821.0K14.5M-88.7K0.0085.91N/AN/A54014,95125,230
2015-03-23$23.00$25.0030.7%8.8%26.2%46.9%38.3%4.2%2.6%-798.9K12.8M-86.9K0.4182.18N/AN/A64264,72223,849
2015-03-24$22.87$25.0031.0%8.9%26.2%48.1%32.7%5.6%2.0%-819.1K14.0M-84.9K11.2786.99N/AN/A111244,70223,855
2015-03-25$22.39$25.0029.9%8.6%27.0%44.1%31.6%0.8%2.8%-854.9K16.0M-86.1K0.0485.56N/AN/A307114,64723,951
2015-03-26$22.37$25.0030.0%8.6%27.0%44.5%32.4%2.8%2.6%-857.5K16.5M-86.5K6.2483.45N/AN/A3151,9654,81323,962
2015-03-27$22.30$25.0029.4%8.4%26.8%42.2%0.0%9.9%3.6%-907.5K17.4M-83.8K1.2591.66N/AN/A454,83123,966
2015-03-30$22.59$25.0029.9%8.6%26.7%44.2%31.2%12.4%2.9%-907.8K16.0M-83.1K8.7992.46N/AN/A2221,9524,83323,951
2015-03-31$22.44$25.0030.3%8.7%25.6%45.4%31.7%12.5%3.0%-913.2K16.5M-81.6K8.7992.14N/AN/A2221,9524,83323,951