TSM Options History — November 2011

In November 2011, TSM traded between $12.07 and $13.08. ATM implied volatility averaged 29.2%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 3.7% (HV 20d: 33.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2011-11-07: Highest Volume — 4,108 contracts
  • 2011-11-09: Largest IV spike — 31.9% change
  • 2011-11-28: Highest IV Rank — 45.6%
  • 2011-11-04: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.69$12.07$13.08$12.45$12.92
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV29.2%21.8%31.7%30.3%30.8%
Expected Move8.6%7.7%9.1%8.7%8.8%
HV 20d33.0%25.2%36.1%33.4%32.1%
HV 60d34.3%31.4%38.1%38.1%33.6%
IV Rank39.0%18.8%45.6%41.9%43.1%
IV Percentile62.8%18.3%80.6%71.8%71.8%
Term Structure1.1%-1.5%3.9%2.9%-0.6%
VWIV30.0%27.0%31.8%30.3%30.8%
Skew 25d31.6%1.0%89.5%84.8%4.1%
Skew 10d57.3%1.3%131.9%131.9%5.5%
Call IV 25d25.5%20.6%30.1%29.3%26.6%
Put IV 25d57.1%27.2%118.9%114.1%30.8%
Bid-Ask Spread %25.0911.1533.2713.3611.15
Gamma HHI0.580.510.680.520.54
Net GEX562.2K400.5K820.4K415.5K486.3K
Net DEX-11.4M-18.3M-2.3M-7.8M-13.1M
Net VEX-108.6K-114.7K-97.9K-113.6K-97.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.009.450.320.02
Total Volume933.238294,1081953,406
Total OI52,204.1949,10054,97649,10052,288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$12.45$12.5030.3%8.7%33.4%41.9%30.3%84.8%2.9%415.5K-7.8M-113.6K0.3213.361484728,87820,222
2011-11-02$12.72$12.5030.2%8.7%34.1%41.5%30.2%64.4%3.5%450.2K-10.7M-114.7K0.1712.213345728,92220,221
2011-11-03$12.90$12.5027.0%7.7%34.2%33.0%27.0%1.0%3.9%494.1K-12.7M-111.6K0.0914.391241129,07120,237
2011-11-04$12.98$12.5028.6%9.1%34.1%37.3%31.8%11.7%-1.5%490.7K-13.9M-110.7K0.2728.472857729,14620,227
2011-11-07$13.00$12.5024.8%8.5%33.8%26.9%29.7%32.9%0.7%520.7K-14.0M-108.3K0.0728.403,83827029,16520,252
2011-11-08$12.93$12.5021.8%8.0%33.3%18.8%27.8%35.2%2.0%670.3K-15.7M-113.0K0.0526.81166932,04220,404
2011-11-09$12.48$12.5028.7%8.7%35.2%37.5%30.3%7.3%1.1%645.6K-10.1M-114.0K2.2225.9810423132,04820,412
2011-11-10$12.67$12.5029.4%8.4%35.6%39.4%29.4%48.6%1.3%713.2K-12.5M-114.4K0.5126.4525813132,05820,598
2011-11-11$12.95$12.5027.5%7.9%36.1%34.2%27.5%8.4%2.7%648.0K-16.7M-111.7K0.5328.4843723232,17620,689
2011-11-14$12.98$12.5030.4%8.7%34.8%42.2%30.4%9.9%1.3%624.7K-17.2M-109.6K0.5228.3067134932,23420,890
2011-11-15$13.08$12.5028.8%8.3%34.5%37.7%28.7%25.0%1.6%622.4K-18.3M-107.6K0.0027.5129032,52721,043
2011-11-16$12.74$12.5031.6%9.1%35.9%45.3%31.6%12.1%-0.5%737.9K-13.8M-109.0K9.4529.301561,47432,53021,043
2011-11-17$12.71$12.5030.7%8.8%34.4%42.8%30.7%53.2%0.2%770.7K-13.0M-111.4K0.1029.795856032,58122,395
2011-11-18$12.66$12.5031.5%9.0%33.0%45.0%31.5%11.5%-0.7%820.4K-12.2M-110.5K0.1030.912923032,45822,425
2011-11-21$12.56$12.5030.8%8.8%32.0%43.1%30.8%9.8%0.9%463.5K-9.0M-107.6K0.8533.2732327330,40722,057
2011-11-22$12.56$12.5028.6%8.2%30.8%37.2%28.6%65.1%1.6%473.6K-8.2M-106.0K0.0628.487935030,45122,269
2011-11-23$12.20$12.5030.1%8.6%32.6%41.3%30.1%7.3%0.8%421.1K-4.1M-105.0K0.1129.484104630,89522,319
2011-11-25$12.07$12.5029.4%8.4%25.2%39.4%29.5%89.5%2.2%400.5K-2.3M-101.7K0.0130.44532530,88422,320
2011-11-28$12.55$12.5031.7%9.1%28.8%45.6%31.7%76.0%0.1%473.0K-8.1M-101.5K1.0130.3613814030,39522,320
2011-11-29$12.40$12.5031.5%9.0%29.0%45.0%31.5%5.4%0.1%464.8K-6.3M-99.9K0.0013.353,0621530,43422,355
2011-11-30$12.92$12.5030.8%8.8%32.1%43.1%30.8%4.1%-0.6%486.3K-13.1M-97.9K0.0211.153,3367029,93522,353