TSM Options History — January 2011

In January 2011, TSM traded between $12.36 and $13.68. ATM implied volatility averaged 21.4%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.3% (HV 20d: 23.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2011-01-11: Highest Volume — 4,221 contracts
  • 2011-01-27: Largest IV drop — 46.3% change
  • 2011-01-06: Highest IV Rank — 23.9%
  • 2011-01-06: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.19$12.36$13.68$12.59$13.07
Max Pain$12.00$10.00$12.50$10.00$12.50
ATM IV21.4%14.8%28.9%21.6%20.7%
Expected Move6.4%4.2%8.3%6.2%5.9%
HV 20d23.7%19.7%25.7%20.0%24.6%
HV 60d24.8%23.0%25.8%23.0%25.8%
IV Rank12.6%2.8%23.9%12.9%11.6%
IV Percentile31.3%1.2%81.0%27.0%24.2%
Term Structure1.1%-4.1%12.3%1.2%-2.8%
VWIV23.2%13.1%29.0%21.6%25.9%
Skew 25d4.9%-11.4%52.4%-0.7%0.9%
Skew 10d18.7%-6.0%98.5%-0.6%4.5%
Call IV 25d21.3%13.9%30.3%24.7%22.2%
Put IV 25d26.2%12.9%80.8%24.0%23.1%
Bid-Ask Spread %48.1511.6471.8544.9067.01
Gamma HHI0.790.680.940.920.73
Net GEX696.7K614.1K747.4K679.0K738.1K
Net DEX-32.1M-39.4M-23.9M-27.2M-26.5M
Net VEX-161.9K-166.0K-154.6K-161.2K-163.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.011.851.850.60
Total Volume925.2564,22140256
Total OI58,622.5549,42965,39459,86850,374

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$12.59$10.0021.6%6.2%20.0%12.9%21.6%-0.7%1.2%679.0K-27.2M-161.2K1.8544.9014126140,18219,686
2011-01-04$12.63$10.0024.3%7.0%19.7%17.0%24.3%52.4%0.2%693.5K-27.1M-161.6K0.0242.98169340,20519,871
2011-01-05$12.36$10.0024.0%6.9%21.4%16.6%24.0%0.6%0.1%682.7K-23.9M-160.6K1.2542.228131,01640,29919,871
2011-01-06$12.87$10.0028.9%8.3%25.3%23.9%29.0%28.1%-4.1%688.7K-29.2M-162.4K0.1448.3780611340,16020,041
2011-01-07$13.07$12.5025.7%6.8%25.6%19.1%23.3%5.5%2.4%679.9K-32.0M-161.5K0.1547.331,38021140,25620,114
2011-01-10$13.22$12.5015.5%7.1%25.7%3.9%24.5%5.7%1.1%657.9K-34.8M-155.2K0.0250.826281540,49220,278
2011-01-11$13.42$12.5018.9%8.2%24.9%9.0%19.1%10.3%-2.7%614.1K-37.1M-154.6K0.1545.893,66655540,56720,292
2011-01-12$13.51$12.5021.8%7.2%24.8%13.2%25.0%6.9%1.3%672.0K-37.9M-160.7K0.1849.501,11020542,64020,678
2011-01-13$13.37$12.5020.0%5.7%25.1%10.6%22.3%-4.3%-1.4%689.4K-36.8M-162.1K0.0143.81191242,94120,868
2011-01-14$13.68$12.5014.8%4.2%25.6%2.8%13.1%4.0%12.3%668.7K-39.4M-163.6K0.0547.388214143,07820,870
2011-01-18$13.55$12.5016.7%4.8%24.4%5.6%16.4%0.4%9.5%685.1K-38.9M-159.4K0.1844.821,38324543,15120,870
2011-01-19$13.53$12.5021.6%6.2%21.4%13.0%26.5%-2.0%-1.1%691.4K-38.6M-160.8K1.3612.707801,06243,70320,937
2011-01-20$13.26$12.5020.1%5.8%23.2%10.7%25.6%-6.0%-0.7%718.1K-35.1M-165.5K0.5911.641488743,61921,775
2011-01-21$13.27$12.5024.3%7.0%22.8%17.1%24.6%3.5%0.9%736.3K-35.2M-166.0K0.3325.822799143,60621,763
2011-01-24$13.45$12.5023.7%6.8%22.8%16.2%24.7%8.1%6.7%735.8K-29.8M-164.0K1.6171.8517628338,49610,933
2011-01-25$13.22$12.5021.5%6.2%24.1%12.8%27.5%-7.3%-3.7%697.0K-28.3M-164.6K0.0468.002621138,52511,119
2011-01-26$13.24$12.5028.9%8.3%23.8%23.8%27.4%6.7%-2.9%727.0K-28.2M-163.6K0.5062.9944822538,68811,129
2011-01-27$13.31$12.5015.5%4.4%23.8%3.8%16.5%-4.0%7.8%747.4K-28.9M-161.8K1.1167.4227630538,76211,256
2011-01-28$13.11$12.5019.3%5.5%24.7%9.4%25.9%-11.4%-1.6%732.1K-27.2M-164.4K0.0867.532231738,83111,525
2011-01-31$13.07$12.5020.7%5.9%24.6%11.6%0.0%0.9%-2.8%738.1K-26.5M-163.4K0.6067.01352138,83511,539