TSM Options History — October 2011

In October 2011, TSM traded between $11.31 and $12.95. ATM implied volatility averaged 31.2%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 2.6% (HV 20d: 33.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2011-10-25: Highest Volume — 11,350 contracts
  • 2011-10-10: Largest IV spike — 17.7% change
  • 2011-10-10: Highest IV Rank — 61.6%
  • 2011-10-10: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.12$11.31$12.95$11.31$12.62
Max Pain$11.43$10.00$12.50$12.50$12.50
ATM IV31.2%24.9%37.7%31.8%27.9%
Expected Move9.1%7.1%10.9%9.1%8.0%
HV 20d33.8%31.5%36.8%34.4%34.9%
HV 60d39.3%38.7%40.9%38.7%39.8%
IV Rank44.2%27.3%61.6%45.9%35.4%
IV Percentile74.0%38.1%96.4%83.7%53.6%
Term Structure1.6%-1.6%5.2%1.3%0.7%
VWIV32.2%24.9%39.1%38.4%27.6%
Skew 25d24.3%-9.0%112.8%-9.0%9.8%
Skew 10d36.4%-7.4%142.5%-7.4%18.6%
Call IV 25d31.5%23.6%39.7%38.7%26.7%
Put IV 25d55.8%27.2%145.8%29.7%36.5%
Bid-Ask Spread %24.579.2054.0010.6629.33
Gamma HHI0.540.340.720.400.53
Net GEX440.0K10.3K941.5K148.9K457.2K
Net DEX507.3K-13.1M8.2M7.4M-9.9M
Net VEX-100.7K-121.6K-84.0K-89.3K-113.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.0011.190.330.55
Total Volume1,627.191211,35012277
Total OI52,778.04838,21460,98551,95848,974

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$11.31$12.5031.8%9.1%34.4%45.9%38.4%-9.0%1.3%148.9K7.4M-89.3K0.3310.669327,50624,452
2011-10-04$11.74$12.5034.2%9.8%36.8%52.3%38.9%95.7%-0.3%243.8K5.2M-95.0K0.0113.773,8512127,50324,449
2011-10-05$11.82$12.5036.8%10.5%33.0%59.2%37.2%104.3%0.5%344.3K3.0M-105.8K0.0012.5756030,84824,448
2011-10-06$11.83$12.5033.2%9.5%33.0%49.6%33.1%112.8%4.9%375.8K3.1M-105.6K1.1615.03252930,88924,448
2011-10-07$11.80$10.0032.0%10.5%32.8%46.4%36.8%6.3%1.1%389.9K3.2M-104.0K0.3249.351103530,87924,453
2011-10-10$12.02$10.0037.7%10.9%33.5%61.6%39.1%-2.3%-1.6%463.2K443.3K-104.5K0.0052.76126030,93624,453
2011-10-11$11.86$10.0032.8%10.2%33.8%48.5%0.0%-5.0%-0.6%429.9K3.3M-99.3K0.3054.001685130,93324,453
2011-10-12$12.16$10.0029.5%9.1%34.7%39.6%31.9%14.6%2.5%642.1K247.8K-102.2K1.5249.29649730,98024,433
2011-10-13$12.17$10.0032.3%9.2%33.6%47.1%32.3%14.7%1.8%697.9K242.4K-101.3K0.4249.4748420430,97624,463
2011-10-14$12.30$12.5029.8%8.5%32.7%40.5%29.8%57.9%2.4%898.5K-1.3M-101.5K0.0636.781671031,31424,547
2011-10-17$12.01$12.5034.1%9.8%33.3%51.9%37.4%-1.0%-0.7%509.4K5.0M-90.8K0.2343.8560813931,32124,537
2011-10-18$12.21$10.0031.4%9.0%33.7%44.9%31.3%-1.7%2.1%941.5K2.7M-93.2K1.5912.839014331,43224,537
2011-10-19$12.11$10.0029.3%8.4%33.3%39.1%28.2%-1.9%3.8%618.4K4.6M-89.6K0.3011.103229631,41324,573
2011-10-20$11.81$10.0031.4%9.0%32.2%44.8%31.5%-4.3%0.7%93.2K7.9M-84.0K11.199.706417,17131,38024,605
2011-10-21$12.18$10.0029.5%8.5%33.5%39.6%29.5%72.0%3.0%522.3K8.2M-95.6K3.419.5124182231,86229,123
2011-10-24$12.48$12.5029.1%8.3%33.9%38.6%29.1%5.1%0.9%10.3K-797.6K-91.5K0.009.202,6701218,07720,137
2011-10-25$12.19$12.5029.5%8.5%32.5%39.7%29.5%2.5%-0.1%109.1K-713.6K-96.2K0.0011.7211,2975320,22020,144
2011-10-26$12.25$12.5028.5%8.2%31.5%36.9%28.5%3.4%5.2%424.1K-7.1M-121.6K0.039.891,9935730,67220,143
2011-10-27$12.95$12.5029.2%8.4%36.8%38.8%29.2%32.5%1.8%456.6K-13.1M-115.0K0.2313.081,38032228,84320,148
2011-10-28$12.74$12.5024.9%7.1%35.0%27.3%24.9%3.7%4.1%463.8K-10.9M-115.0K1.5712.0612720028,73620,099
2011-10-31$12.62$12.5027.9%8.0%34.9%35.4%27.6%9.8%0.7%457.2K-9.9M-113.2K0.5529.331799828,76920,205