TSM Options History — July 2011

In July 2011, TSM traded between $12.14 and $12.98. ATM implied volatility averaged 29.8%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 2.9% (HV 20d: 32.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 3.44.

Notable Days

  • 2011-07-13: Highest Volume — 17,169 contracts
  • 2011-07-05: Largest IV drop — 19.6% change
  • 2011-07-13: Highest IV Rank — 79.5%
  • 2011-07-13: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.51$12.14$12.98$12.91$12.36
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV29.8%25.0%32.7%31.1%29.4%
Expected Move8.6%7.7%9.1%8.9%8.4%
HV 20d32.8%28.2%35.7%35.1%28.2%
HV 60d28.8%26.8%30.0%29.3%27.8%
IV Rank54.6%18.0%79.5%27.1%66.3%
IV Percentile86.7%62.3%94.4%91.3%84.5%
Term Structure-1.9%-24.8%1.0%-24.8%1.0%
VWIV29.6%22.8%31.9%22.8%29.4%
Skew 25d7.4%-17.9%45.8%-17.9%9.3%
Skew 10d15.4%-1.0%93.6%-1.0%14.3%
Call IV 25d27.9%22.4%40.6%40.6%27.9%
Put IV 25d35.2%22.7%70.6%22.7%37.1%
Bid-Ask Spread %16.726.7437.9917.0623.61
Gamma HHI0.620.390.750.390.67
Net GEX-636.0K-1.0M-132.9K-132.9K-741.6K
Net DEX6.3M327.8K15.9M1.8M9.0M
Net VEX-117.8K-132.1K-101.8K-102.1K-123.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.440.0333.831.560.85
Total Volume1,693.919217,169796553
Total OI48,959.5540,91158,78740,97751,730

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$12.91$12.5031.1%8.9%35.1%27.1%22.8%-17.9%-24.8%-132.9K1.8M-102.1K1.5617.0631148518,43022,547
2011-07-05$12.72$12.5025.0%8.5%35.3%18.0%29.5%3.9%-1.6%-391.7K1.0M-103.4K0.3024.911484418,47222,439
2011-07-06$12.53$12.5027.1%8.4%34.8%21.1%29.2%6.6%-0.7%-430.9K2.9M-102.8K0.0910.492482218,47922,452
2011-07-07$12.76$12.5029.4%8.4%35.7%24.7%29.2%6.3%-0.2%-348.1K327.8K-101.8K0.8137.9958547418,66222,345
2011-07-08$12.62$12.5026.2%7.7%35.7%19.9%26.8%45.8%1.0%-466.9K1.5M-102.7K0.036.771,9115119,00822,443
2011-07-11$12.37$12.5028.8%8.0%33.8%23.7%28.0%3.5%0.9%-435.5K2.5M-104.6K1.4625.2510815820,78022,487
2011-07-12$12.24$12.5028.8%7.8%34.0%23.8%27.2%2.3%0.8%-362.8K4.2M-102.3K2.2210.8917839520,86222,551
2011-07-13$12.44$12.5032.7%9.1%33.0%79.5%31.9%3.0%-2.3%-505.0K1.6M-104.4K33.836.7449316,67620,90222,567
2011-07-14$12.15$12.5031.6%9.1%33.5%75.1%31.6%1.6%-1.0%-922.5K15.5M-126.0K7.8623.632217321,14337,488
2011-07-15$12.22$12.5030.3%8.7%33.6%69.7%30.3%1.9%-0.0%-1.0M15.9M-124.8K1.3922.4415721821,14437,643
2011-07-18$12.14$12.5031.3%9.0%32.9%73.9%31.3%0.9%0.0%-670.7K11.8M-121.3K4.618.383541,63316,72633,048
2011-07-19$12.22$12.5029.7%8.5%32.5%67.2%29.7%4.0%-1.8%-755.0K12.2M-124.8K5.2924.043211,69716,92834,096
2011-07-20$12.47$12.5030.1%8.6%31.6%69.0%30.1%6.4%-1.4%-823.1K10.1M-130.9K0.1622.5485814117,14535,702
2011-07-21$12.57$12.5028.7%8.2%30.6%63.3%28.7%8.3%0.1%-847.1K8.3M-132.1K0.3422.6552717917,60735,772
2011-07-22$12.98$12.5031.6%9.1%32.7%75.1%31.6%36.1%-2.4%-747.0K3.3M-131.9K0.5210.2724112518,06135,818
2011-07-25$12.75$12.5030.7%8.8%30.8%71.4%30.7%6.7%-0.2%-803.3K5.5M-131.8K5.538.363712,05318,16935,837
2011-07-26$12.90$12.5031.6%9.1%30.8%75.1%31.6%7.5%-1.2%-872.9K4.1M-130.6K1.788.1045280617,99737,742
2011-07-27$12.56$12.5031.0%8.9%31.3%72.5%31.0%3.9%-0.0%-732.9K6.4M-128.2K0.078.422801918,28434,011
2011-07-28$12.31$12.5031.7%9.1%29.2%75.4%31.7%7.1%-4.3%-686.0K8.4M-125.6K0.1911.793456618,44433,230
2011-07-29$12.36$12.5029.4%8.4%28.2%66.3%29.4%9.3%1.0%-741.6K9.0M-123.5K0.8523.6129925418,49933,231