TSM Options History — March 2011

In March 2011, TSM traded between $11.43 and $12.52. ATM implied volatility averaged 26.7%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.4% (HV 20d: 25.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.29.

Notable Days

  • 2011-03-14: Highest Volume — 6,645 contracts
  • 2011-03-09: Largest IV spike — 20.9% change
  • 2011-03-17: Highest IV Rank — 30.1%
  • 2011-03-17: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.09$11.43$12.52$12.18$12.18
Max Pain$10.33$10.00$12.50$12.50$10.00
ATM IV26.7%22.3%33.1%24.9%24.6%
Expected Move7.8%6.8%9.5%7.1%7.1%
HV 20d25.3%21.4%28.4%22.9%27.6%
HV 60d24.0%22.6%25.0%23.8%24.9%
IV Rank20.6%14.0%30.1%17.9%17.5%
IV Percentile69.2%37.3%92.5%62.3%56.3%
Term Structure2.2%-0.9%5.3%1.3%4.2%
VWIV27.3%23.7%33.0%24.9%24.7%
Skew 25d17.6%-4.3%82.7%6.1%80.3%
Skew 10d22.5%-5.0%104.0%6.5%100.4%
Call IV 25d28.2%21.9%33.1%26.4%28.4%
Put IV 25d45.8%24.8%111.1%32.5%108.7%
Bid-Ask Spread %74.5765.5891.1265.5870.99
Gamma HHI0.840.800.880.810.88
Net GEX867.5K611.7K1.1M723.6K1.1M
Net DEX-15.3M-19.8M-8.8M-16.5M-15.3M
Net VEX-152.0K-167.6K-138.1K-158.4K-145.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.011.950.380.29
Total Volume1,676.8261936,645250282
Total OI55,869.1353,23061,49953,23057,457

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$12.18$12.5024.9%7.1%22.9%17.9%24.9%6.1%1.3%723.6K-16.5M-158.4K0.3865.581816939,78313,447
2011-03-02$12.21$12.5025.4%7.3%22.4%18.7%25.6%39.6%0.9%725.7K-15.9M-157.2K0.1468.652533539,81113,472
2011-03-03$12.26$12.5023.6%6.8%22.0%16.0%23.7%2.7%1.4%766.4K-16.8M-157.5K0.0467.811,3085640,03813,501
2011-03-04$12.41$10.0023.3%7.3%22.7%15.5%25.6%3.6%3.8%806.8K-19.1M-161.5K0.3969.8449819440,65313,551
2011-03-07$12.20$10.0024.7%7.8%21.4%17.6%27.2%-0.4%1.9%787.5K-16.4M-159.0K0.0670.823,03917641,10013,662
2011-03-08$12.35$10.0022.3%7.0%22.2%14.0%24.4%-0.8%5.3%891.6K-19.4M-164.1K0.1880.824608542,32913,708
2011-03-09$12.52$10.0027.0%8.2%22.6%21.0%28.7%0.1%2.1%781.1K-19.6M-158.3K0.0180.454,6474639,77313,791
2011-03-10$12.11$10.0030.6%8.8%23.8%26.4%30.6%-3.4%0.7%846.3K-16.8M-158.7K0.0380.015,23318042,58513,821
2011-03-11$12.21$10.0028.2%8.1%23.4%22.9%28.2%-2.1%2.5%1.1M-19.8M-167.6K0.6181.2084851646,41013,942
2011-03-14$12.16$10.0029.9%8.6%23.1%25.4%29.8%3.0%2.9%927.7K-17.3M-158.1K0.0191.126,6123343,38714,434
2011-03-15$11.91$10.0029.2%8.4%24.0%24.3%29.3%56.0%3.5%903.7K-15.0M-163.2K0.4181.1150920947,06514,434
2011-03-16$11.43$10.0028.8%8.2%27.4%23.7%33.0%-3.4%0.1%611.7K-8.8M-138.1K0.0583.566,05830441,30914,623
2011-03-17$11.61$10.0033.1%9.5%28.1%30.1%32.4%-4.3%-0.9%647.0K-9.9M-142.1K0.0673.233982541,07514,676
2011-03-18$11.75$10.0029.4%8.4%28.0%24.6%29.6%-1.0%1.8%696.1K-10.2M-141.2K0.7469.601118241,20614,690
2011-03-21$11.94$10.0026.6%7.6%28.4%20.4%26.7%0.6%2.5%851.6K-12.8M-145.6K0.0376.601,3893640,35714,501
2011-03-22$11.82$10.0027.8%8.0%26.5%22.2%28.1%-0.2%1.4%762.2K-11.4M-140.8K0.4169.412038440,00214,510
2011-03-23$12.04$10.0024.6%7.1%27.3%17.5%24.9%-1.8%3.8%871.9K-12.6M-143.9K0.0972.364914539,98414,510
2011-03-24$12.28$10.0025.3%7.2%27.9%18.5%25.3%2.6%3.4%990.5K-15.8M-149.3K0.6071.0832219440,31914,511
2011-03-25$12.24$10.0026.2%7.5%27.5%19.9%26.2%62.5%1.5%967.8K-16.0M-146.5K0.0172.412,3631640,35814,599
2011-03-28$12.17$10.0025.0%7.2%27.5%18.1%25.1%4.1%2.4%1.1M-16.2M-147.1K0.0874.813382742,53814,604
2011-03-29$12.06$10.0027.0%7.7%27.5%21.1%27.3%82.7%2.8%1.0M-14.3M-145.0K0.1271.891812142,58114,628
2011-03-30$12.11$10.0026.2%7.5%27.6%19.9%26.4%78.3%2.4%1.1M-14.8M-146.2K1.9571.7913927142,60714,648
2011-03-31$12.18$10.0024.6%7.1%27.6%17.5%24.7%80.3%4.2%1.1M-15.3M-145.6K0.2970.992196342,54614,911