TSM Options History — April 2011

In April 2011, TSM traded between $11.95 and $13.50. ATM implied volatility averaged 25.2%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.4% (HV 20d: 25.6%). 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 12 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2011-04-05: Highest Volume — 5,808 contracts
  • 2011-04-11: Largest IV spike — 55.6% change
  • 2011-04-27: Highest IV Rank — 32.7%
  • 2011-04-27: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.52$11.95$13.50$12.21$13.50
Max Pain$12.38$10.00$12.50$10.00$12.50
ATM IV25.2%16.4%34.8%24.4%16.7%
Expected Move7.8%4.8%10.0%7.0%4.8%
HV 20d25.6%20.2%32.3%27.2%32.3%
HV 60d24.4%23.1%27.9%24.6%27.8%
IV Rank18.4%5.2%32.7%17.2%5.6%
IV Percentile58.2%4.8%96.8%54.0%6.7%
Term Structure2.4%-4.4%11.0%3.4%11.0%
VWIV27.2%16.7%34.9%24.6%16.7%
Skew 25d14.8%-1.7%88.9%88.9%-1.7%
Skew 10d23.9%-2.7%129.2%112.4%-2.7%
Call IV 25d24.9%19.1%28.9%28.9%19.1%
Put IV 25d39.6%17.4%117.8%117.8%17.4%
Bid-Ask Spread %50.648.0596.1772.3386.40
Gamma HHI0.780.580.900.890.58
Net GEX1.2M566.3K1.8M1.2M679.9K
Net DEX-18.7M-30.6M-9.8M-15.7M-30.6M
Net VEX-152.1K-162.8K-143.6K-145.7K-153.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.002.150.200.10
Total Volume1,024.751015,808108253
Total OI59,108.0553,87263,31357,63259,263

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$12.21$10.0024.4%7.0%27.2%17.2%24.6%88.9%3.4%1.2M-15.7M-145.7K0.2072.33901842,70314,929
2011-04-04$12.18$12.5016.4%7.6%26.6%5.2%26.6%2.8%4.8%1.4M-15.5M-143.6K0.0087.83418042,70114,945
2011-04-05$12.46$12.5024.5%7.7%27.5%17.3%26.8%2.7%4.9%1.4M-20.2M-145.7K0.0996.175,31948942,82714,945
2011-04-06$12.77$12.5024.9%7.9%28.4%17.9%27.6%53.2%4.7%1.5M-27.4M-157.6K0.0395.011,0282846,68215,057
2011-04-07$12.72$12.5028.3%8.3%25.5%23.0%0.0%5.0%2.8%1.4M-24.7M-154.0K0.7811.602,0301,58045,31515,057
2011-04-08$12.65$12.5016.5%7.5%25.5%5.3%26.2%2.7%4.6%1.8M-24.9M-162.8K0.1095.493093146,80216,500
2011-04-11$12.51$12.5025.6%7.4%25.9%19.0%25.9%4.5%5.8%1.8M-20.6M-162.0K0.058.054522446,81116,502
2011-04-12$12.23$12.5018.8%7.7%26.1%8.7%26.8%1.9%5.0%1.5M-14.4M-154.8K0.5113.4120210446,59616,525
2011-04-13$12.26$12.5019.3%7.9%20.7%9.5%27.5%3.9%4.7%1.6M-14.5M-152.5K0.9813.29515045,79016,538
2011-04-14$12.31$12.5027.4%7.8%20.2%21.6%27.4%4.8%4.6%1.8M-14.5M-152.9K0.1012.503463445,79716,584
2011-04-15$12.21$12.5025.6%7.3%20.3%19.0%25.6%4.1%5.7%1.3M-13.0M-150.2K0.6210.95895546,05716,584
2011-04-18$11.95$12.5028.3%8.1%21.2%23.1%28.5%1.0%-0.6%566.3K-9.8M-145.1K0.1616.371,49723337,89515,977
2011-04-19$11.96$12.5028.2%8.1%20.8%22.9%28.3%3.6%-1.0%634.5K-10.1M-146.1K2.1583.525411639,19616,190
2011-04-20$12.45$12.5027.5%7.9%24.4%21.8%27.5%9.7%-1.1%741.6K-15.1M-153.7K0.0182.821,1291239,22816,260
2011-04-21$12.56$12.5027.8%8.0%23.6%22.3%27.8%76.3%-2.2%814.3K-17.1M-153.5K0.2710.541213340,25616,271
2011-04-25$12.28$12.5028.5%8.2%25.0%23.3%28.5%5.6%-2.5%802.7K-14.3M-147.8K0.6930.781087540,35216,277
2011-04-26$12.56$12.5030.4%8.7%26.2%26.2%30.4%3.7%-4.4%837.0K-17.0M-150.0K0.3914.141335240,42116,349
2011-04-27$13.29$12.5034.8%10.0%32.3%32.7%34.9%13.0%-2.6%783.0K-26.7M-154.7K0.6785.792,1091,40740,43616,401
2011-04-28$13.41$12.5030.3%8.7%32.3%26.0%29.9%10.1%-0.4%782.9K-28.5M-156.9K0.2085.843486841,41617,726
2011-04-29$13.50$12.5016.7%4.8%32.3%5.6%16.7%-1.7%11.0%679.9K-30.6M-153.1K0.1086.402302341,53817,725