TSM Options History — September 2011

In September 2011, TSM traded between $11.43 and $12.41. ATM implied volatility averaged 31.6%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 6.8% (HV 20d: 38.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.61.

Notable Days

  • 2011-09-09: Highest Volume — 3,686 contracts
  • 2011-09-06: Largest IV spike — 60.9% change
  • 2011-09-30: Highest IV Rank — 67.9%
  • 2011-09-30: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.87$11.43$12.41$11.89$11.43
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV31.6%19.9%40.0%30.1%40.0%
Expected Move9.5%5.7%11.5%8.6%11.5%
HV 20d38.5%30.7%49.4%48.8%34.9%
HV 60d38.7%37.8%39.6%39.0%38.7%
IV Rank45.4%13.8%67.9%41.8%67.9%
IV Percentile79.6%15.5%97.6%79.8%97.6%
Term Structure1.7%-3.4%13.4%2.4%-3.4%
VWIV35.1%30.2%51.1%30.2%40.6%
Skew 25d9.6%-10.7%81.7%3.7%-10.7%
Skew 10d16.5%-11.1%112.0%2.1%-11.1%
Call IV 25d31.2%23.3%39.8%30.3%39.8%
Put IV 25d40.8%26.0%112.7%34.0%29.1%
Bid-Ask Spread %19.919.0735.8616.6511.07
Gamma HHI0.430.340.700.340.41
Net GEX227.8K-30.6K943.9K46.6K174.2K
Net DEX2.8M-3.8M6.8M3.6M6.0M
Net VEX-105.4K-115.9K-92.6K-110.1K-92.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.0141.662.321.11
Total Volume758.619233,68673483
Total OI52,018.76250,51055,81750,51051,762

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$11.89$12.5030.1%8.6%48.8%41.8%30.2%3.7%2.4%46.6K3.6M-110.1K2.3216.65225122,31928,191
2011-09-02$11.66$12.5019.9%5.7%49.4%13.8%0.0%7.1%13.4%-11.1K5.5M-105.1K0.309.0730922,32728,219
2011-09-06$11.52$12.5032.0%10.1%45.2%46.5%0.0%11.2%-1.4%-30.6K6.8M-103.4K0.0031.7602322,33928,219
2011-09-07$12.05$12.5029.8%9.4%44.5%40.3%32.8%11.7%0.6%59.9K3.1M-108.0K0.2216.622615722,34428,226
2011-09-08$12.00$12.5024.2%9.3%42.0%25.3%34.6%14.3%1.8%82.3K3.3M-106.5K0.4725.561748222,37128,202
2011-09-09$11.88$12.5027.8%9.4%40.0%35.1%32.8%15.4%2.2%55.0K3.9M-105.9K0.0229.363,6226422,48528,261
2011-09-12$11.94$12.5036.0%9.7%40.0%57.3%51.1%15.3%1.7%209.6K2.5M-109.0K41.6629.16733,04126,04028,283
2011-09-13$11.96$12.5029.4%10.2%39.5%39.5%35.6%11.2%0.4%217.1K2.3M-110.1K0.8629.1930326026,03926,782
2011-09-14$11.82$12.5026.1%10.0%39.4%30.5%37.5%10.0%0.4%147.5K3.3M-107.6K0.6931.121137826,29826,929
2011-09-15$12.11$12.5033.9%9.7%40.3%51.6%34.0%15.3%0.5%297.4K319.8K-110.3K0.0415.783,09513026,37426,951
2011-09-16$12.41$12.5030.3%8.7%37.5%41.8%30.3%16.1%3.4%943.9K-3.8M-115.9K0.189.444538328,86326,954
2011-09-19$12.22$12.5031.3%9.0%37.9%44.3%31.4%15.5%4.8%346.5K-1.5M-111.4K0.099.645184527,24924,226
2011-09-20$12.12$12.5030.3%8.7%37.3%41.9%30.3%-1.5%2.8%365.5K-882.0K-109.1K0.3610.1129710827,52824,231
2011-09-21$11.92$12.5032.6%9.3%33.2%47.9%32.6%-1.8%0.3%308.6K1.1M-106.2K0.4212.94833527,50524,259
2011-09-22$11.52$12.5035.4%10.1%35.3%55.4%37.6%7.1%-0.0%185.2K5.2M-101.0K1.1335.8611613127,55724,254
2011-09-23$11.71$12.5035.9%10.3%33.6%56.9%36.0%-6.0%-1.4%214.0K4.5M-99.7K0.0827.294043227,51724,241
2011-09-26$11.56$12.5034.2%9.8%30.7%52.4%33.9%-3.8%2.5%218.0K5.7M-96.6K0.0126.49178127,81524,235
2011-09-27$12.02$12.5031.6%9.1%32.5%45.4%31.9%81.7%3.1%367.0K1.7M-102.8K0.0313.46279727,83624,225
2011-09-28$11.77$12.5036.6%10.5%33.0%58.8%36.8%-4.5%1.2%289.4K2.8M-102.7K0.0212.121,1422027,96124,217
2011-09-29$11.81$12.5037.0%10.6%33.0%59.8%37.0%-5.3%-0.7%298.3K3.2M-99.9K2.1115.3591928,53824,222
2011-09-30$11.43$12.5040.0%11.5%34.9%67.9%40.6%-10.7%-3.4%174.2K6.0M-92.6K1.1111.0722925427,53024,232