TSM Options History — June 2011

In June 2011, TSM traded between $12.35 and $13.88. ATM implied volatility averaged 30.3%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.9% (HV 20d: 25.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2011-06-28: Highest Volume — 98,333 contracts
  • 2011-06-30: Largest IV drop — 49.5% change
  • 2011-06-14: Highest IV Rank — 37.2%
  • 2011-06-14: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.12$12.35$13.88$13.68$12.61
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV30.3%15.7%37.8%25.0%15.7%
Expected Move9.1%4.5%10.8%7.2%4.5%
HV 20d25.4%20.3%33.7%21.1%33.7%
HV 60d26.6%25.3%29.4%26.8%29.3%
IV Rank26.0%4.2%37.2%18.1%4.2%
IV Percentile78.9%3.2%98.8%63.1%3.2%
Term Structure-3.1%-15.8%12.5%9.8%11.4%
VWIV33.8%15.7%57.5%35.7%15.7%
Skew 25d8.8%-2.8%85.5%5.1%85.5%
Skew 10d11.0%1.8%79.6%6.9%79.6%
Call IV 25d27.2%18.0%34.4%18.9%34.4%
Put IV 25d35.9%21.7%119.9%24.0%119.9%
Bid-Ask Spread %13.219.2628.2713.7514.47
Gamma HHI0.620.480.790.510.59
Net GEX630.9K-521.9K911.4K655.5K-521.9K
Net DEX-17.3M-29.2M4.2M-27.4M1.8M
Net VEX-133.2K-150.3K-98.5K-130.5K-98.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0012.881.300.58
Total Volume4,920.4554898,333177150
Total OI58,323.77340,53363,04256,13140,945

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$13.68$12.5025.0%7.2%21.1%18.1%0.0%5.1%9.8%655.5K-27.4M-130.5K1.3013.757710037,78218,349
2011-06-02$13.70$12.5021.9%6.3%21.0%13.4%0.0%3.5%12.5%661.3K-28.5M-124.9K0.1712.7641737,79018,413
2011-06-03$13.64$12.5022.3%10.1%20.9%14.0%35.7%8.4%-5.6%653.4K-27.2M-128.8K0.9312.44585437,78818,410
2011-06-06$13.68$12.5023.6%10.2%20.3%16.0%32.2%8.0%-5.2%657.7K-27.7M-127.7K2.1517.467516137,83518,410
2011-06-07$13.88$12.5024.1%6.9%20.8%16.6%31.0%5.9%0.5%646.2K-29.2M-125.7K0.0728.275203437,86118,558
2011-06-08$13.72$12.5027.0%10.0%21.2%21.0%25.9%7.4%-5.1%666.5K-28.6M-123.0K0.7914.1418915038,03018,590
2011-06-09$13.56$12.5036.0%10.3%20.5%34.5%36.0%17.4%-5.4%675.3K-26.3M-126.2K5.9912.3016397738,07918,740
2011-06-10$13.05$12.5035.3%10.1%22.9%33.5%36.6%6.9%-5.9%710.0K-18.3M-130.4K0.0111.41557837,98719,292
2011-06-13$12.99$12.5033.0%9.5%22.3%30.0%34.3%4.6%-5.1%740.8K-17.5M-150.3K0.2612.65581540,46622,563
2011-06-14$13.33$12.5037.8%10.8%24.2%37.2%31.3%2.4%-15.8%687.9K-20.4M-150.2K12.5010.881417540,48222,560
2011-06-15$13.12$12.5036.4%10.4%24.8%35.1%36.3%9.5%-6.9%703.9K-19.9M-148.5K0.419.461506240,49122,547
2011-06-16$13.00$12.5035.8%10.3%24.5%34.2%35.8%6.4%-5.5%741.0K-17.7M-145.3K12.8811.714254140,30921,703
2011-06-17$12.72$12.5035.3%10.1%25.5%33.5%35.3%2.7%-3.8%756.9K-13.3M-146.4K0.6312.0875047640,31722,240
2011-06-20$12.90$12.5033.1%9.5%26.2%30.1%33.3%-2.8%-7.0%794.0K-13.5M-143.2K0.9311.1652048440,03722,178
2011-06-21$13.27$12.5033.7%9.7%27.2%31.0%33.2%7.7%-4.8%778.8K-20.8M-141.5K1.1011.6417419240,16622,393
2011-06-22$12.92$12.5034.4%9.9%28.8%32.2%41.9%-2.0%-12.9%794.6K-13.9M-140.9K0.419.79923839,81622,080
2011-06-23$12.84$12.5032.1%9.2%28.9%28.7%32.2%5.5%-2.9%845.9K-12.7M-140.6K1.399.2611916539,88722,108
2011-06-24$12.40$12.5029.8%8.6%30.7%25.3%29.7%0.7%-1.1%777.9K-5.9M-133.2K0.9810.5843943039,91922,095
2011-06-27$12.53$12.5030.3%8.7%31.1%25.9%30.2%2.5%-0.6%842.9K-6.2M-133.8K0.1317.697239240,30022,426
2011-06-28$12.82$12.5032.9%9.4%30.2%29.8%57.5%5.4%-3.5%911.4K-11.7M-138.5K0.0011.7498,20013340,21022,438
2011-06-29$12.35$12.5031.1%8.9%32.5%27.2%31.5%1.8%-5.9%-301.2K4.2M-101.3K0.8214.8746538018,04022,493
2011-06-30$12.61$12.5015.7%4.5%33.7%4.2%15.7%85.5%11.4%-521.9K1.8M-98.5K0.5814.47955518,36922,576