TIME Options History — September 2015

In September 2015, TIME traded between $18.33 and $20.07. ATM implied volatility averaged 36.0%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.9% (HV 20d: 32.0%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2015-09-23: Highest Volume — 2,573 contracts
  • 2015-09-30: Largest IV drop — 29.4% change
  • 2015-09-01: Highest IV Rank — 88.1%
  • 2015-09-01: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.28$18.33$20.07$19.79$19.09
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV36.0%29.1%42.0%42.0%29.1%
Expected Move10.1%8.4%12.1%12.1%8.4%
HV 20d32.0%23.7%37.4%37.4%23.7%
HV 60d28.0%27.3%29.0%27.4%28.3%
IV Rank66.1%41.2%88.1%88.1%41.2%
IV Percentile76.4%37.7%98.4%98.4%37.7%
Term Structure-0.8%-4.3%3.5%-4.3%3.0%
VWIV33.0%24.5%38.4%37.6%37.7%
Skew 25d8.6%2.6%15.0%13.7%10.8%
Skew 10d18.5%4.9%34.1%21.5%34.1%
Call IV 25d32.8%24.9%38.5%36.1%31.7%
Put IV 25d41.4%36.5%50.1%49.8%42.5%
Bid-Ask Spread %81.4974.3091.8789.0677.75
Gamma HHI0.870.650.980.650.97
Net GEX-208.9K-261.6K-105.7K-199.8K-246.2K
Net DEX6.1M5.1M7.2M5.1M6.6M
Net VEX-8.3K-13.0K-2.9K-13.0K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.075.972.341.85
Total Volume1,091.38102,5731,880311
Total OI6,168.7625,7876,5276,0375,848

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$19.79$22.5042.0%12.1%37.4%88.1%37.6%13.7%-4.3%-199.8K5.1M-13.0K2.3489.06N/AN/A5631,3171,4714,566
2015-09-02$19.87$22.5040.2%11.5%35.9%81.2%38.4%14.3%-3.7%-197.3K5.1M-12.7K2.1687.81N/AN/A5631,2151,7014,543
2015-09-03$19.81$22.5038.6%9.8%35.2%75.4%24.7%7.1%-0.6%-222.7K5.2M-12.3K2.4574.30N/AN/A5391,3201,7014,564
2015-09-04$19.36$22.5040.8%10.4%35.6%83.6%28.9%5.5%-2.4%-201.6K5.8M-11.5K2.4576.40N/AN/A5391,3201,7084,594
2015-09-08$19.32$22.5042.0%10.0%33.3%87.8%0.0%5.9%-2.2%-211.8K5.9M-9.9K0.0075.22N/AN/A001,7084,594
2015-09-09$18.93$22.5034.7%9.9%33.6%61.4%29.8%4.0%-1.3%-198.2K6.2M-9.3K2.4576.12N/AN/A5391,3201,7084,594
2015-09-10$19.16$22.5035.5%10.2%34.2%64.5%33.3%10.9%-3.0%-212.8K6.2M-9.0K2.4381.63N/AN/A5391,3121,7084,594
2015-09-11$19.37$22.5034.0%9.8%34.8%59.0%32.2%10.6%-0.4%-232.1K6.2M-9.0K1.4080.84N/AN/A9001,2591,7084,604
2015-09-14$19.40$22.5035.6%10.2%34.5%64.8%31.9%11.2%-3.2%-210.6K6.0M-8.8K2.0182.58N/AN/A6251,2591,9234,604
2015-09-15$19.89$22.5033.9%9.7%35.9%58.4%33.6%15.0%-1.7%-239.9K5.4M-9.8K0.0786.90N/AN/A10981,8874,624
2015-09-16$19.92$22.5032.8%9.4%35.9%54.4%36.5%3.2%-1.0%-252.7K5.2M-10.1K0.3784.59N/AN/A6272301,8764,624
2015-09-17$20.07$22.5031.6%9.1%35.9%50.1%24.5%13.2%-0.7%-258.9K5.1M-9.5K0.4491.87N/AN/A5182301,8914,624
2015-09-18$19.66$22.5032.5%9.3%32.5%53.3%27.9%11.2%-1.1%-256.0K6.0M-8.6K0.4687.51N/AN/A5442491,8964,624
2015-09-21$19.43$22.5031.4%9.0%31.9%49.6%30.8%10.6%1.0%-261.6K6.0M-7.7K0.5880.24N/AN/A3902281,5344,402
2015-09-22$19.18$22.5031.3%9.0%27.8%49.2%32.8%9.0%2.3%-243.7K6.2M-7.1K0.5878.69N/AN/A3902281,5554,395
2015-09-23$18.80$22.5031.5%9.0%28.5%49.9%31.5%7.7%1.3%-209.8K6.7M-5.9K5.9778.98N/AN/A3692,2041,5554,391
2015-09-24$18.55$22.5039.9%11.4%27.5%80.3%37.7%5.6%-0.0%-165.2K6.8M-4.5K2.1281.35N/AN/A901911,5554,232
2015-09-25$18.44$22.5035.6%10.2%26.7%64.6%34.0%2.6%3.5%-135.6K7.1M-3.4K2.3080.58N/AN/A831911,5584,248
2015-09-28$18.33$22.5041.2%11.8%25.9%85.1%37.5%5.0%-2.7%-105.7K7.2M-2.9K1.9580.52N/AN/A981911,5584,248
2015-09-29$18.54$22.5041.2%11.8%26.2%85.2%38.4%2.8%-0.3%-124.7K7.2M-3.3K1.8578.43N/AN/A1092021,5784,248
2015-09-30$19.09$22.5029.1%8.4%23.7%41.2%37.7%10.8%3.0%-246.2K6.6M-5.1K1.8577.75N/AN/A1092021,5894,259