TIME Options History — June 2015

In June 2015, TIME traded between $22.54 and $24.05. ATM implied volatility averaged 27.6%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 6.2% (HV 20d: 21.4%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-06-01: Highest Volume — 834 contracts
  • 2015-06-29: Largest IV spike — 28.3% change
  • 2015-06-09: Highest IV Rank — 50.8%
  • 2015-06-03: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.42$22.54$24.05$22.54$23.06
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV27.6%22.3%31.8%26.3%27.0%
Expected Move7.8%6.4%8.2%7.5%7.7%
HV 20d21.4%13.6%31.4%31.2%20.9%
HV 60d24.3%23.2%26.0%25.4%25.1%
IV Rank35.6%16.4%50.8%30.8%33.4%
IV Percentile41.9%10.3%69.0%34.6%35.7%
Term Structure1.2%-0.5%4.0%0.3%1.9%
VWIV27.6%24.7%31.1%26.6%27.1%
Skew 25d3.7%-2.6%7.3%3.0%-1.4%
Skew 10d8.5%-7.3%59.0%4.8%-1.6%
Call IV 25d25.5%21.4%30.7%24.5%28.6%
Put IV 25d29.2%25.8%32.7%27.5%27.2%
Bid-Ask Spread %80.6973.0296.7494.8177.14
Gamma HHI0.480.430.630.510.55
Net GEX-11.7K-242.7K328.9K-242.7K-164.8K
Net DEX308.8K-1.9M2.9M2.9M1.7M
Net VEX-35.7K-47.4K-26.5K-47.4K-28.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.271.370.270.83
Total Volume374.95553834834534
Total OI17,378.90916,99917,61617,33817,616

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$22.54$22.5026.3%7.5%31.2%30.8%26.6%3.0%0.3%-242.7K2.9M-47.4K0.2794.81N/AN/A6591754,49012,848
2015-06-02$22.95$22.5027.9%8.0%31.4%36.6%27.9%4.7%-0.5%-175.5K1.9M-43.4K0.7795.92N/AN/A30234,50112,887
2015-06-03$23.59$22.5028.7%8.2%29.4%39.5%28.1%7.3%0.2%-26.6K124.6K-43.6K0.7696.74N/AN/A1661264,49612,910
2015-06-04$23.50$22.5029.3%8.0%29.3%41.8%26.5%5.2%0.9%-29.3K90.3K-42.4K0.6377.29N/AN/A1991264,48312,912
2015-06-05$23.60$22.5029.0%7.9%29.3%40.9%26.3%5.2%0.6%-12.9K3.5K-42.3K0.6278.35N/AN/A2041264,50312,912
2015-06-08$23.49$22.5030.9%8.2%22.2%47.8%27.7%5.8%0.1%-22.5K139.5K-40.6K0.6073.02N/AN/A2041224,50812,912
2015-06-09$23.31$22.5031.8%7.9%21.3%50.8%28.4%3.7%1.3%-42.4K305.8K-40.4K0.5574.70N/AN/A2681474,50812,899
2015-06-10$23.38$22.5028.0%8.0%20.8%37.0%27.0%5.3%0.4%-20.2K156.2K-38.4K0.5579.76N/AN/A2681474,60812,899
2015-06-11$23.54$22.5028.1%8.1%20.3%37.4%25.8%5.3%0.0%-6.3K109.9K-38.8K0.4678.26N/AN/A2681224,60812,899
2015-06-12$23.45$22.5026.5%7.6%20.4%31.5%29.3%3.6%1.3%8.6K26.3K-38.2K0.7179.94N/AN/A1721224,60812,901
2015-06-15$23.35$22.5028.0%8.0%20.6%37.0%31.1%6.3%0.3%-35.2K449.1K-36.1K0.7173.99N/AN/A1721224,60812,901
2015-06-16$23.36$22.5028.1%8.1%20.4%37.4%29.2%6.2%-0.2%-46.2K246.1K-35.4K0.7181.75N/AN/A1721224,60812,901
2015-06-17$23.52$22.5028.5%8.2%20.3%39.0%29.2%6.0%-0.4%-7.2K-145.7K-35.9K0.9779.27N/AN/A1721664,60812,902
2015-06-18$23.51$22.5027.1%7.8%18.9%33.9%29.8%3.3%1.0%7.6K-332.6K-33.6K0.9576.24N/AN/A1731654,60812,921
2015-06-19$23.55$22.5025.3%7.2%17.6%27.1%27.0%2.6%2.1%11.7K-280.2K-32.1K0.7379.73N/AN/A1991464,60912,941
2015-06-22$23.64$22.5027.3%7.8%16.9%34.7%27.3%3.5%2.0%57.9K24.8K-28.9K0.8078.04N/AN/A1681344,24112,770
2015-06-23$23.70$22.5025.8%7.4%15.3%29.1%27.2%2.3%4.0%70.5K-32.0K-28.8K1.0679.01N/AN/A1541634,22912,770
2015-06-24$23.62$22.5026.0%7.4%14.4%29.7%25.5%2.3%3.0%142.9K-421.5K-27.4K0.5376.83N/AN/A2921544,20912,800
2015-06-25$23.61$22.5026.4%7.6%13.6%31.4%27.0%1.7%3.2%101.3K27.2K-27.8K0.7879.50N/AN/A2411874,34712,855
2015-06-26$24.05$22.5022.3%6.4%14.1%16.4%24.7%2.7%3.6%328.9K-1.9M-26.5K1.3784.74N/AN/A1612204,41312,870
2015-06-29$23.02$22.5028.6%8.2%21.9%39.2%28.1%-2.6%1.8%-154.8K1.7M-28.5K0.9180.05N/AN/A2922664,44712,870
2015-06-30$23.06$22.5027.0%7.7%20.9%33.4%27.1%-1.4%1.9%-164.8K1.7M-28.1K0.8377.14N/AN/A2922424,66212,954