TIME Options History — October 2015

In October 2015, TIME traded between $18.20 and $19.76. ATM implied volatility averaged 35.3%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 4.6% (HV 20d: 30.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2015-10-02: Highest Volume — 1,816 contracts
  • 2015-10-12: Largest IV spike — 44.0% change
  • 2015-10-30: Highest IV Rank — 88.5%
  • 2015-10-30: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.86$18.20$19.76$18.21$18.61
Max Pain$20.23$20.00$22.50$22.50$20.00
ATM IV35.3%24.2%42.1%39.9%42.1%
Expected Move10.3%8.9%12.1%11.4%12.1%
HV 20d30.7%26.5%33.2%28.5%26.8%
HV 60d30.5%29.5%31.5%29.6%30.1%
IV Rank63.4%23.5%88.5%80.2%88.5%
IV Percentile69.9%4.0%98.8%89.7%98.8%
Term Structure-2.4%-5.8%2.4%-0.5%-5.8%
VWIV38.8%35.2%42.5%40.3%41.0%
Skew 25d8.5%0.6%14.3%0.6%9.5%
Skew 10d21.9%2.4%32.4%2.4%24.6%
Call IV 25d33.4%27.0%41.8%41.8%35.6%
Put IV 25d42.0%39.1%45.1%42.4%45.1%
Bid-Ask Spread %87.8377.0896.8677.0891.85
Gamma HHI0.810.580.960.900.75
Net GEX-61.9K-496.4K96.7K-79.8K86.1K
Net DEX2.7M-1.0M7.2M7.2M-623.8K
Net VEX-9.0K-11.8K-2.5K-2.5K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.132.201.851.33
Total Volume4291311,816311203
Total OI5,570.4093,1438,2485,8483,179

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$18.21$22.5039.9%11.4%28.5%80.2%40.3%0.6%-0.5%-79.8K7.2M-2.5K1.8577.08N/AN/A1092021,5894,259
2015-10-02$18.20$22.5039.9%11.4%28.5%80.2%42.5%14.3%2.4%-16.8K6.4M-7.2K0.1382.40N/AN/A1,6142023,0954,279
2015-10-05$18.90$20.0031.2%10.0%31.2%48.7%0.0%10.9%-2.3%-150.8K5.7M-9.5K2.2084.15N/AN/A41903,0954,279
2015-10-06$19.01$20.0028.7%9.7%31.3%39.6%35.2%11.0%-2.1%-178.5K5.6M-10.1K1.8586.94N/AN/A1552873,1364,369
2015-10-07$19.00$20.0032.8%9.6%30.5%54.6%37.4%10.2%-1.9%-184.9K5.5M-10.2K1.4387.00N/AN/A1552223,1364,369
2015-10-08$19.58$20.0029.5%9.6%32.0%42.5%38.8%14.0%-1.8%-337.3K4.8M-11.4K1.4586.62N/AN/A1572273,1364,454
2015-10-09$19.76$20.0024.2%8.9%32.0%23.5%37.0%7.4%-0.6%-496.4K4.7M-11.3K1.5282.99N/AN/A1572393,1404,454
2015-10-12$19.61$20.0034.9%9.7%32.1%62.1%39.0%6.1%-2.8%-399.6K4.8M-10.2K0.3783.50N/AN/A6152273,1404,476
2015-10-13$19.37$20.0036.3%9.8%31.1%67.1%40.3%5.7%-2.5%-351.1K4.4M-11.8K0.4083.91N/AN/A6062423,6394,439
2015-10-14$19.09$20.0034.4%9.8%31.4%60.1%37.7%3.1%-2.1%-175.1K5.4M-10.6K0.5083.29N/AN/A6063043,6454,419
2015-10-15$18.81$20.0034.5%9.9%31.5%60.8%36.7%9.6%-0.9%83.8K6.4M-9.2K1.6984.94N/AN/A1803043,6454,463
2015-10-16$18.88$20.0033.0%9.4%30.9%55.1%36.6%7.9%-0.9%84.8K6.3M-9.5K2.0586.75N/AN/A1342753,7284,520
2015-10-19$18.70$20.0039.7%11.4%30.8%79.7%39.4%8.4%-2.4%83.6K-881.9K-9.0K1.9288.67N/AN/A951822,546597
2015-10-20$18.92$20.0033.7%9.7%30.9%57.9%39.3%7.3%-2.7%90.1K-1.0M-9.4K1.3890.82N/AN/A851172,547598
2015-10-21$18.55$20.0039.5%11.3%30.8%78.9%38.2%7.6%-3.1%79.7K-762.6K-8.9K1.3291.29N/AN/A851122,547610
2015-10-22$18.77$20.0033.3%9.5%30.8%56.3%39.1%9.8%-1.9%85.7K-845.7K-8.9K1.3289.26N/AN/A851122,547617
2015-10-23$19.09$20.0032.6%9.3%31.2%53.8%38.5%9.9%-2.1%96.7K-1.0M-9.1K1.2990.99N/AN/A871122,547617
2015-10-26$18.81$20.0034.6%9.9%31.6%61.1%40.1%9.1%-3.6%89.7K-818.1K-8.6K1.3093.94N/AN/A871132,550617
2015-10-27$18.26$20.0039.5%11.3%33.2%78.9%39.2%6.2%-4.3%71.6K-442.3K-7.5K1.3692.64N/AN/A871182,550620
2015-10-28$18.40$20.0040.8%11.7%31.5%83.4%39.9%8.7%-5.4%76.1K-565.0K-7.9K1.3696.28N/AN/A871182,550628
2015-10-29$18.38$20.0040.5%11.6%26.5%82.4%39.1%10.4%-5.1%80.3K-400.3K-7.2K1.3396.86N/AN/A871162,550628
2015-10-30$18.61$20.0042.1%12.1%26.8%88.5%41.0%9.5%-5.8%86.1K-623.8K-7.9K1.3391.85N/AN/A871162,550629