TIME Options History — August 2015

In August 2015, TIME traded between $19.59 and $22.41. ATM implied volatility averaged 31.0%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.9% (HV 20d: 28.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 3.09.

Notable Days

  • 2015-08-25: Highest Volume — 3,557 contracts
  • 2015-08-24: Largest IV spike — 29.3% change
  • 2015-08-24: Highest IV Rank — 88.1%
  • 2015-08-24: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.21$19.59$22.41$21.86$20.78
Max Pain$20.36$20.00$22.50$22.50$20.00
ATM IV31.0%22.5%42.0%34.8%37.7%
Expected Move8.8%6.5%12.1%10.0%10.8%
HV 20d28.1%20.4%35.7%20.4%35.4%
HV 60d23.7%21.1%25.9%23.6%25.6%
IV Rank48.0%17.3%88.1%61.7%72.5%
IV Percentile54.7%8.3%98.4%80.6%90.5%
Term Structure-1.2%-6.1%1.4%-6.1%-1.9%
VWIV31.0%20.7%41.2%34.8%27.4%
Skew 25d6.9%-6.9%18.2%6.8%7.6%
Skew 10d13.3%-5.7%40.6%11.5%21.2%
Call IV 25d29.2%24.4%36.0%33.3%36.0%
Put IV 25d36.1%20.0%48.7%40.1%43.7%
Bid-Ask Spread %86.8578.1297.8187.6188.26
Gamma HHI0.700.580.850.700.58
Net GEX-270.5K-352.7K-192.5K-239.4K-223.8K
Net DEX4.0M2.1M7.4M2.8M3.8M
Net VEX-18.7K-22.6K-13.3K-19.9K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.179.380.713.86
Total Volume1,566.28603,557871,643
Total OI7,708.5245,9248,7887,4645,928

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$21.86$22.5034.8%10.0%20.4%61.7%34.8%6.8%-6.1%-239.4K2.8M-19.9K0.7187.61N/AN/A51361,9145,550
2015-08-04$22.41$22.5026.4%7.6%22.2%31.4%26.4%13.4%-0.9%-192.5K2.1M-19.1K0.4078.77N/AN/A248991,9655,571
2015-08-05$21.62$22.5022.5%6.5%24.6%17.3%25.0%-6.9%-1.1%-280.5K3.0M-19.0K2.1791.58N/AN/A3437441,9865,571
2015-08-06$21.13$20.0028.3%8.3%25.4%38.2%30.6%5.6%-0.3%-303.9K3.7M-19.8K1.9883.23N/AN/A6411,2722,0645,474
2015-08-07$21.31$20.0026.4%7.6%23.9%31.4%27.8%4.9%0.3%-281.5K3.3M-21.2K0.8582.98N/AN/A6375412,4115,629
2015-08-10$21.94$20.0028.1%7.5%26.2%37.4%30.6%0.8%-0.0%-240.9K2.1M-17.9K0.1778.12N/AN/A6661142,4135,456
2015-08-11$21.89$20.0028.9%7.7%26.2%40.4%0.0%6.6%-0.6%-227.2K2.4M-18.9K0.0088.78N/AN/A002,4475,456
2015-08-12$21.62$20.0027.6%7.9%26.1%35.7%35.7%1.7%0.3%-223.3K2.8M-19.9K2.0281.87N/AN/A6661,3422,4475,456
2015-08-13$21.51$20.0027.6%7.9%25.6%35.5%28.5%4.4%0.6%-310.2K4.1M-22.6K1.7588.00N/AN/A6661,1682,4476,341
2015-08-14$21.70$20.0026.3%7.5%25.9%31.0%20.7%5.5%0.4%-336.3K3.8M-21.2K2.0288.51N/AN/A6661,3432,4476,341
2015-08-17$21.87$20.0026.9%7.7%26.1%33.0%22.0%5.0%0.4%-321.9K3.4M-19.8K1.6787.92N/AN/A6661,1102,4476,245
2015-08-18$21.89$20.0026.2%7.5%24.9%30.5%28.2%7.2%1.4%-285.6K3.6M-20.9K1.7988.45N/AN/A6261,1182,4476,245
2015-08-19$22.02$20.0026.5%7.6%24.7%31.7%0.0%5.8%0.1%-274.4K3.3M-20.1K0.0089.52N/AN/A0252,4376,244
2015-08-20$20.96$20.0032.4%9.3%29.4%53.0%31.7%2.7%-1.9%-352.7K5.1M-20.5K3.0888.54N/AN/A3641,1222,4376,262
2015-08-21$20.52$20.0032.5%9.3%29.9%53.5%32.5%2.1%-1.1%-350.0K6.0M-20.1K3.0182.24N/AN/A3641,0962,4376,264
2015-08-24$19.59$20.0042.0%12.1%33.5%88.1%41.2%13.6%-3.9%-271.8K7.0M-18.7K2.9097.81N/AN/A3871,1211,4446,194
2015-08-25$19.69$20.0038.5%11.0%33.5%75.2%37.9%14.2%-3.2%-319.8K7.4M-17.4K8.3985.11N/AN/A3793,1781,4646,214
2015-08-26$20.08$20.0038.0%10.9%34.7%73.5%36.7%17.5%-2.9%-207.3K5.0M-13.3K9.3888.98N/AN/A3383,1711,4664,458
2015-08-27$20.37$20.0036.7%10.5%35.4%68.7%35.1%18.2%-1.8%-220.1K4.4M-14.2K9.3888.59N/AN/A3383,1711,4664,459
2015-08-28$20.62$20.0036.5%10.5%35.7%67.8%35.6%7.6%-2.1%-216.2K4.1M-14.1K3.2488.97N/AN/A3381,0941,4664,469
2015-08-31$20.78$20.0037.7%10.8%35.4%72.5%27.4%7.6%-1.9%-223.8K3.8M-13.9K3.8688.26N/AN/A3381,3051,4664,462