TSM Options History — May 2011

In May 2011, TSM traded between $13.12 and $13.82. ATM implied volatility averaged 25.8%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.4% (HV 20d: 28.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2011-05-19: Highest Volume — 1,657 contracts
  • 2011-05-31: Largest IV spike — 53.0% change
  • 2011-05-16: Highest IV Rank — 28.7%
  • 2011-05-16: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.48$13.12$13.82$13.51$13.66
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV25.8%19.1%32.1%20.9%29.2%
Expected Move7.5%5.5%9.2%6.0%8.4%
HV 20d28.2%17.9%32.4%32.3%21.1%
HV 60d27.0%26.2%27.8%27.8%27.1%
IV Rank19.2%9.2%28.7%11.9%24.3%
IV Percentile61.4%17.5%91.3%24.2%87.7%
Term Structure6.9%-2.7%15.2%7.4%-2.7%
VWIV24.4%16.1%32.0%20.6%21.2%
Skew 25d3.8%-1.3%12.6%0.2%0.3%
Skew 10d10.5%-1.8%78.6%-0.0%6.5%
Call IV 25d21.8%16.2%26.9%21.2%20.1%
Put IV 25d25.6%17.9%31.2%21.4%20.3%
Bid-Ask Spread %43.459.3499.709.3412.49
Gamma HHI0.560.520.600.590.52
Net GEX670.7K629.3K758.9K729.1K631.6K
Net DEX-29.2M-34.8M-19.8M-31.1M-26.8M
Net VEX-142.8K-151.1K-132.9K-150.0K-132.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.0017.010.070.12
Total Volume384.476341,6577031,090
Total OI58,418.04854,23961,27459,35455,128

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$13.51$12.5020.9%6.0%32.3%11.9%20.6%0.2%7.4%729.1K-31.1M-150.0K0.079.346574641,63717,717
2011-05-03$13.46$12.5020.9%6.0%32.4%11.9%20.6%-0.4%7.2%739.1K-31.3M-149.5K0.0067.12178041,90317,746
2011-05-04$13.44$12.5021.8%6.3%31.7%13.3%22.0%-1.3%3.7%758.9K-30.7M-151.1K0.0186.258251241,79217,746
2011-05-05$13.55$12.5020.2%5.8%30.8%10.8%0.0%0.2%5.6%685.2K-32.2M-145.9K0.4287.28241041,70017,749
2011-05-06$13.75$12.5025.0%8.6%31.0%18.1%32.0%0.4%1.7%667.8K-34.5M-141.6K0.1894.512604741,70317,749
2011-05-09$13.67$12.5026.1%8.9%31.0%19.8%0.0%4.2%4.0%671.3K-33.9M-141.7K0.1422.943084441,76217,738
2011-05-10$13.75$12.5027.1%8.4%30.5%21.2%0.0%1.4%8.4%640.8K-33.8M-144.4K0.6827.93251741,86917,719
2011-05-11$13.50$12.5028.8%7.4%30.0%23.8%25.4%-0.9%9.9%724.1K-32.4M-142.2K3.1894.757423541,87417,725
2011-05-12$13.82$12.5022.4%6.4%30.7%14.2%20.6%1.6%-0.4%636.2K-34.8M-146.4K1.4821.8718827841,87417,952
2011-05-13$13.59$12.5029.3%8.4%31.7%24.5%0.0%1.7%7.5%664.6K-32.6M-147.5K2.7795.953910841,97618,059
2011-05-16$13.47$12.5032.1%9.2%31.8%28.7%16.1%12.6%11.8%670.6K-29.7M-145.6K0.0247.6753141,99818,129
2011-05-17$13.39$12.5030.5%8.7%30.5%26.3%30.5%10.0%8.5%696.6K-29.8M-141.9K0.4114.96341442,01718,130
2011-05-18$13.53$12.5030.8%8.8%30.5%26.7%30.8%10.7%6.5%658.8K-31.2M-145.5K0.0020.0348042,03518,140
2011-05-19$13.45$12.5027.8%8.0%28.0%22.2%0.0%8.2%7.9%679.6K-30.1M-143.9K17.0121.79921,56541,73618,123
2011-05-20$13.41$12.5019.3%5.5%28.0%9.5%20.1%2.7%15.2%629.3K-29.3M-146.1K0.8499.70554641,70919,565
2011-05-23$13.12$12.5028.5%8.2%27.9%23.4%28.5%7.7%5.9%642.2K-19.8M-141.0K2.1818.3324152636,58217,657
2011-05-24$13.15$12.5025.3%7.3%27.0%18.6%25.4%5.6%9.5%640.5K-21.3M-137.5K1.1221.2510411636,79318,036
2011-05-25$13.17$12.5028.2%8.1%17.9%22.9%28.3%7.7%7.1%639.8K-21.1M-136.6K4.1913.313715536,82918,121
2011-05-26$13.34$12.5028.1%8.1%18.2%22.7%0.0%8.5%8.0%635.5K-23.1M-134.7K1.7420.43234036,81918,206
2011-05-27$13.26$12.5019.1%5.5%18.1%9.2%21.2%-1.2%12.8%642.8K-22.8M-133.4K0.1114.554144536,81918,217
2011-05-31$13.66$12.5029.2%8.4%21.1%24.3%0.0%0.3%-2.7%631.6K-26.8M-132.9K0.1212.4997711336,86618,262