TIME Options History — May 2015

In May 2015, TIME traded between $21.26 and $22.99. ATM implied volatility averaged 29.2%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.0% (HV 20d: 30.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2015-05-15: Highest Volume — 1,581 contracts
  • 2015-05-13: Largest IV drop — 35.3% change
  • 2015-05-06: Highest IV Rank — 92.8%
  • 2015-05-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.18$21.26$22.99$22.47$22.53
Max Pain$22.63$22.50$25.00$25.00$22.50
ATM IV29.2%24.1%43.3%35.5%26.1%
Expected Move7.7%6.9%10.2%10.2%7.5%
HV 20d30.2%22.5%33.6%22.5%31.9%
HV 60d25.1%22.0%26.5%22.0%26.3%
IV Rank41.3%23.0%92.8%64.5%30.1%
IV Percentile45.9%20.9%99.1%83.6%33.1%
Term Structure-0.0%-6.2%1.5%-6.2%0.1%
VWIV28.3%24.3%44.2%44.2%26.2%
Skew 25d7.3%1.5%27.5%1.5%3.6%
Skew 10d14.0%-2.9%44.2%3.5%5.7%
Call IV 25d26.2%19.4%42.6%42.6%22.6%
Put IV 25d33.5%26.2%55.2%44.1%26.2%
Bid-Ask Spread %84.4072.5493.1284.6088.86
Gamma HHI0.640.500.750.610.52
Net GEX-384.6K-529.9K-213.8K-311.2K-253.4K
Net DEX5.5M2.1M8.7M5.6M3.0M
Net VEX-53.7K-63.1K-42.6K-63.1K-49.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.101.130.370.21
Total Volume896.2591,5818001,029
Total OI17,041.7516,50717,35017,09017,338

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$22.47$25.0035.5%10.2%22.5%64.5%44.2%1.5%-6.2%-311.2K5.6M-63.1K0.3784.60N/AN/A5862144,11312,977
2015-05-04$22.17$22.5038.8%8.7%23.0%76.3%30.2%4.4%-1.6%-351.9K6.2M-61.1K0.1073.15N/AN/A5054,02612,977
2015-05-05$21.39$22.5041.5%8.9%26.1%86.2%32.0%3.1%-1.7%-441.8K8.5M-62.2K0.1975.98N/AN/A7341374,04412,982
2015-05-06$21.26$22.5043.3%9.0%25.7%92.8%31.4%4.0%-0.5%-474.0K8.7M-60.9K0.1772.54N/AN/A1,1471984,15712,992
2015-05-07$21.38$22.5029.6%7.9%25.7%43.1%28.7%5.0%0.3%-486.0K8.7M-59.7K0.2477.69N/AN/A1,1362754,14413,061
2015-05-08$22.62$22.5025.7%7.3%33.1%28.9%0.0%10.8%0.6%-343.6K4.8M-53.8K0.0085.57N/AN/A0354,15413,071
2015-05-11$22.23$22.5029.9%7.7%33.6%44.2%0.0%7.2%-0.5%-337.5K5.9M-56.8K0.0087.77N/AN/A0104,15413,076
2015-05-12$22.00$22.5038.0%7.6%33.4%73.4%27.8%1.7%-0.2%-418.6K6.8M-56.9K0.2681.31N/AN/A1,1222874,15413,075
2015-05-13$21.79$22.5024.6%7.0%32.9%24.7%25.3%1.9%1.5%-529.9K7.0M-53.7K0.2682.96N/AN/A1,1222874,15413,075
2015-05-14$21.94$22.5026.2%7.5%33.1%30.5%27.5%6.4%0.1%-470.1K6.6M-52.9K0.2288.10N/AN/A1,1222494,15413,075
2015-05-15$22.07$22.5024.9%7.1%30.4%25.7%25.5%6.0%0.6%-438.2K6.6M-53.7K0.2289.57N/AN/A1,2982834,15413,075
2015-05-18$22.28$22.5024.4%7.0%30.5%24.0%0.0%6.2%1.2%-386.2K4.9M-52.5K0.2987.81N/AN/A723,73012,777
2015-05-19$22.48$22.5024.7%7.1%30.6%25.1%29.9%6.0%0.5%-341.3K4.3M-51.1K1.1380.64N/AN/A23263,73712,779
2015-05-20$22.99$22.5024.1%6.9%31.6%23.0%24.3%10.1%1.1%-321.5K2.1M-42.6K0.2291.02N/AN/A7751703,76012,804
2015-05-21$22.59$22.5024.3%7.0%32.0%23.6%24.3%27.5%0.5%-417.6K3.2M-43.8K0.2383.31N/AN/A7751783,76312,808
2015-05-22$22.34$22.5024.8%7.1%31.7%25.3%25.5%8.2%0.8%-374.6K4.3M-49.9K0.1993.12N/AN/A9641793,76312,848
2015-05-26$21.98$22.5025.4%7.3%32.1%27.8%25.6%7.8%1.2%-492.7K5.7M-50.1K0.1788.67N/AN/A1,0621794,34412,849
2015-05-27$22.40$22.5025.5%7.3%31.2%28.0%25.7%10.4%1.4%-288.3K4.6M-51.1K0.1791.56N/AN/A1,0511794,50112,849
2015-05-28$22.75$22.5026.0%7.5%31.8%29.9%26.2%13.5%0.8%-213.8K2.6M-48.5K0.2183.77N/AN/A8501794,49212,849
2015-05-29$22.53$22.5026.1%7.5%31.9%30.1%26.2%3.6%0.1%-253.4K3.0M-49.0K0.2188.86N/AN/A8501794,49012,848