TSM Options History — August 2011

In August 2011, TSM traded between $10.94 and $12.53. ATM implied volatility averaged 36.0%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 6.7% (HV 20d: 42.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 9.05.

Notable Days

  • 2011-08-05: Highest Volume — 10,799 contracts
  • 2011-08-08: Largest IV spike — 94.3% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.62$10.94$12.53$12.53$11.97
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV36.0%26.3%51.9%26.3%30.9%
Expected Move10.3%7.5%14.6%7.5%8.9%
HV 20d42.6%27.2%52.7%27.2%52.0%
HV 60d34.4%27.9%39.2%27.9%39.0%
IV Rank63.3%41.3%100.0%53.6%43.8%
IV Percentile89.8%68.7%100.0%68.7%83.3%
Term Structure-0.7%-5.8%3.7%3.7%1.9%
VWIV34.0%24.7%52.8%25.6%30.9%
Skew 25d30.5%-9.7%107.0%77.3%107.0%
Skew 10d46.6%-7.8%139.5%127.1%138.7%
Call IV 25d33.1%23.7%41.8%26.2%31.3%
Put IV 25d63.7%27.9%138.4%103.5%138.4%
Bid-Ask Spread %25.5810.6088.9710.8012.05
Gamma HHI0.440.330.700.700.34
Net GEX-243.1K-885.6K55.1K-885.6K54.3K
Net DEX9.4M2.6M18.9M7.2M3.1M
Net VEX-105.3K-123.0K-93.9K-123.0K-109.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.050.0092.901.420.34
Total Volume1,638.7833710,79918443
Total OI48,762.82644,39753,23851,86350,511

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$12.53$12.5026.3%7.5%27.2%53.6%25.6%77.3%3.7%-885.6K7.2M-123.0K1.4210.807610818,50633,357
2011-08-02$12.19$12.5027.9%8.0%28.4%60.0%27.8%8.0%0.7%-815.2K10.5M-119.0K11.6911.112630418,52533,296
2011-08-03$12.16$12.5028.1%8.1%28.0%60.9%28.0%104.5%-0.4%-799.0K13.0M-118.0K0.0515.071,0425318,51633,528
2011-08-04$11.58$12.5031.3%9.0%31.6%73.8%24.7%-4.5%-2.9%-469.0K16.0M-111.3K0.8517.1017915319,54233,549
2011-08-05$11.56$12.5026.7%9.7%31.5%55.4%33.8%-5.8%0.5%-397.3K18.9M-106.7K92.9032.3811510,68419,66333,575
2011-08-08$10.94$12.5051.9%14.6%36.0%100.0%52.8%11.6%-2.1%-99.0K10.5M-95.8K23.7288.971373,25019,63724,760
2011-08-09$11.50$12.5043.8%10.3%41.1%79.1%38.6%8.6%-4.1%-189.3K10.1M-99.9K0.7654.6717413319,63027,178
2011-08-10$11.07$12.5045.8%13.4%42.2%84.2%0.0%8.1%-3.6%-160.4K11.3M-96.1K0.6340.51644019,68727,144
2011-08-11$11.52$12.5038.3%11.0%44.6%65.0%38.8%7.4%-2.9%-150.4K9.5M-103.2K0.3535.171184119,67627,149
2011-08-12$11.46$12.5036.0%10.3%44.5%59.3%36.1%8.2%-1.9%-163.8K10.2M-100.1K0.0035.8537019,69827,161
2011-08-15$11.67$12.5031.5%9.0%45.1%47.6%0.0%9.3%1.5%-157.9K9.4M-98.3K0.4821.42964619,72627,159
2011-08-16$11.52$12.5033.8%9.7%45.1%53.4%33.8%8.0%-0.3%-154.5K10.1M-97.3K8.0822.535144,15219,74727,119
2011-08-17$11.51$12.5035.5%10.2%44.3%57.9%35.5%-7.2%-2.9%-225.6K11.9M-100.0K0.0214.25154319,61430,511
2011-08-18$11.05$12.5047.2%13.5%45.9%88.0%35.3%21.9%-5.8%-232.8K12.8M-93.9K0.9131.3834431219,60528,963
2011-08-19$10.94$12.5050.3%14.4%43.6%95.8%30.4%25.4%-4.1%-223.5K12.6M-94.6K57.2728.92301,71819,61629,110
2011-08-22$11.24$12.5047.5%13.6%45.2%88.8%30.1%7.3%-4.3%-246.3K10.0M-98.5K0.1532.533615516,68727,894
2011-08-23$11.84$12.5033.8%9.7%49.4%53.6%34.0%12.3%1.2%-175.4K6.5M-106.1K0.0510.603,95219217,01327,888
2011-08-24$11.74$12.5032.3%9.3%48.7%47.5%46.4%11.7%2.5%-68.5K5.3M-110.2K0.0711.471,3689620,72927,717
2011-08-25$11.35$12.5036.1%10.4%49.6%57.8%37.6%-9.7%-2.2%-80.8K6.9M-107.4K0.0618.513,42519721,66627,746
2011-08-26$11.81$12.5032.1%9.2%51.9%47.1%33.8%90.6%3.2%-30.6K4.8M-110.1K2.5014.3716842020,77227,780
2011-08-29$12.13$12.5030.0%8.6%52.7%41.3%30.2%98.5%3.3%25.0K2.6M-111.7K0.0316.261,3714121,54528,169
2011-08-30$11.97$12.5030.1%8.6%52.0%41.6%30.2%104.0%2.9%55.1K2.8M-111.9K5.8612.432771,62322,29828,183
2011-08-31$11.97$12.5030.9%8.9%52.0%43.8%30.9%107.0%1.9%54.3K3.1M-109.8K0.3412.05321122,32928,182