TIME Options History — July 2015

In July 2015, TIME traded between $22.17 and $23.85. ATM implied volatility averaged 30.8%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.8% (HV 20d: 22.0%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2015-07-10: Highest Volume — 668 contracts
  • 2015-07-13: Largest IV spike — 69.7% change
  • 2015-07-13: Highest IV Rank — 80.8%
  • 2015-07-30: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.90$22.17$23.85$23.24$22.32
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV30.8%23.6%40.0%27.4%32.5%
Expected Move8.8%7.5%9.5%7.8%9.3%
HV 20d22.0%18.5%26.2%18.5%19.9%
HV 60d24.8%23.2%25.9%25.2%23.2%
IV Rank47.4%21.1%80.8%34.7%53.3%
IV Percentile60.0%11.1%94.4%38.1%69.4%
Term Structure-2.5%-5.0%2.6%1.7%-3.2%
VWIV30.4%26.0%33.5%26.0%32.4%
Skew 25d3.0%-2.5%7.1%-0.8%1.6%
Skew 10d5.3%-2.9%13.0%-1.6%0.9%
Call IV 25d31.4%28.0%38.8%28.2%38.1%
Put IV 25d34.5%26.2%39.7%27.4%39.7%
Bid-Ask Spread %79.4969.8083.9479.6882.16
Gamma HHI0.550.480.710.510.60
Net GEX-126.1K-308.9K38.5K-80.3K-169.8K
Net DEX1.5M-282.0K2.6M933.9K2.3M
Net VEX-22.8K-26.4K-20.0K-25.1K-20.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.283.360.830.32
Total Volume414.227272668533384
Total OI13,031.4097,14217,87817,6217,434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$23.24$22.5027.4%7.8%18.5%34.7%26.0%-0.8%1.7%-80.3K933.9K-25.1K0.8379.68N/AN/A2912424,66212,959
2015-07-02$23.16$22.5026.0%7.5%18.5%29.8%26.0%-2.5%2.6%-129.8K1.1M-25.0K0.8376.78N/AN/A2912424,66612,959
2015-07-06$22.78$22.5029.3%8.4%19.3%41.6%29.8%3.0%-1.7%-229.3K2.0M-25.7K0.8275.34N/AN/A2962424,66612,959
2015-07-07$22.99$22.5030.3%8.7%19.6%45.5%29.5%4.5%-2.1%-161.6K1.6M-25.2K1.7574.23N/AN/A1382424,67112,959
2015-07-08$22.55$22.5030.0%8.8%20.5%44.5%30.9%4.0%-2.4%-308.9K2.6M-26.4K0.5771.50N/AN/A4222424,70712,959
2015-07-09$22.74$22.5030.9%8.7%20.8%47.6%30.4%3.8%-2.4%-199.4K1.9M-25.3K0.5769.80N/AN/A4222424,91912,959
2015-07-10$23.25$22.5023.6%8.7%22.3%21.1%29.4%4.3%-2.7%-81.3K651.0K-22.9K0.5777.30N/AN/A4262424,91912,959
2015-07-13$23.52$22.5040.0%9.0%22.6%80.8%30.8%4.7%-4.2%28.0K263.4K-22.1K3.3680.81N/AN/A722424,91912,959
2015-07-14$23.49$22.5032.2%8.6%22.6%52.2%29.5%4.6%-2.1%-21.5K753.4K-24.9K3.3681.77N/AN/A722424,91912,959
2015-07-15$23.62$22.5029.9%8.6%22.6%43.9%29.7%4.5%-3.0%38.5K311.6K-24.0K3.3681.06N/AN/A722424,91912,959
2015-07-16$23.85$22.5028.5%8.2%22.8%39.0%30.3%3.1%-2.8%-55.1K-282.0K-21.1K2.1882.29N/AN/A1112424,91912,959
2015-07-17$23.57$22.5031.0%8.9%23.2%48.0%29.5%4.2%-3.2%-78.7K162.7K-20.7K1.1979.21N/AN/A2072474,88112,959
2015-07-20$23.28$22.5031.7%9.1%23.6%50.5%30.1%5.0%-2.8%-85.9K1.3M-21.3K0.6682.51N/AN/A1641081,6215,521
2015-07-21$22.73$22.5031.0%8.9%24.9%48.0%29.8%6.3%-2.5%-130.0K1.9M-21.1K0.4278.95N/AN/A2601081,6415,521
2015-07-22$22.96$22.5031.1%8.9%25.3%48.5%31.0%7.1%-2.9%-102.5K1.6M-20.9K0.5180.00N/AN/A2191121,8315,523
2015-07-23$22.53$22.5030.9%8.9%26.0%47.8%31.0%3.2%-2.4%-142.1K1.9M-21.7K0.4480.38N/AN/A226991,8315,527
2015-07-24$22.28$22.5031.7%9.1%26.2%50.4%31.8%2.3%-2.9%-160.0K2.4M-22.1K0.4683.16N/AN/A2261041,8435,530
2015-07-27$22.17$22.5032.8%9.4%24.9%54.5%32.9%1.0%-3.9%-179.7K2.5M-21.4K0.4683.94N/AN/A2261041,8435,530
2015-07-28$22.25$22.5032.5%9.3%20.1%53.2%32.6%1.6%-4.1%-165.6K2.4M-21.4K0.2883.41N/AN/A275781,8435,530
2015-07-29$22.27$22.5032.0%9.2%20.1%51.6%32.6%1.8%-3.7%-177.6K2.4M-21.1K0.2983.28N/AN/A264771,8935,530
2015-07-30$22.24$22.5033.2%9.5%19.8%56.1%33.5%-0.1%-5.0%-181.4K2.4M-20.9K0.2881.12N/AN/A273771,8945,530
2015-07-31$22.32$22.5032.5%9.3%19.9%53.3%32.4%1.6%-3.2%-169.8K2.3M-20.0K0.3282.16N/AN/A290941,9045,530