TSM Options History — December 2011

In December 2011, TSM traded between $12.32 and $13.22. ATM implied volatility averaged 25.8%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 6.1% (HV 20d: 31.9%). 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 18 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2011-12-15: Highest Volume — 1,096 contracts
  • 2011-12-13: Largest IV spike — 33.9% change
  • 2011-12-05: Highest IV Rank — 48.9%
  • 2011-12-13: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.88$12.32$13.22$13.21$12.91
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV25.8%19.6%32.9%31.3%27.8%
Expected Move8.1%7.0%9.2%9.0%8.0%
HV 20d31.9%25.9%35.3%32.2%25.9%
HV 60d32.5%30.5%33.4%32.7%30.6%
IV Rank29.6%13.0%48.9%44.5%35.1%
IV Percentile36.5%7.5%85.3%74.6%44.8%
Term Structure1.3%-0.8%3.5%-0.8%1.3%
VWIV28.4%24.6%32.0%31.3%27.8%
Skew 25d17.8%0.8%56.4%6.2%5.3%
Skew 10d38.0%1.9%96.6%8.3%9.8%
Call IV 25d21.6%16.7%25.6%24.8%23.5%
Put IV 25d39.4%25.8%79.7%31.0%28.8%
Bid-Ask Spread %11.666.5727.6017.777.42
Gamma HHI0.600.460.830.500.62
Net GEX520.3K326.0K1.2M495.6K407.1K
Net DEX-13.7M-20.2M-4.5M-18.4M-13.3M
Net VEX-82.2K-95.6K-67.2K-95.6K-69.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.015.670.155.67
Total Volume345.286251,096515180
Total OI50,969.71447,44753,67853,28447,706

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$13.21$12.5031.3%9.0%32.2%44.5%31.3%6.2%-0.8%495.6K-18.4M-95.6K0.1517.774496630,95022,334
2011-12-02$13.12$12.5029.5%8.5%32.0%39.7%29.6%3.6%0.5%519.9K-17.9M-92.7K0.4417.7742218630,89522,288
2011-12-05$13.22$12.5032.9%8.8%32.0%48.9%30.5%11.1%0.6%501.3K-19.1M-88.3K0.086.572191730,90922,246
2011-12-06$12.94$12.5024.6%8.8%33.0%26.6%30.7%10.9%-0.1%537.5K-15.4M-90.9K0.418.161456030,87022,253
2011-12-07$13.22$12.5019.6%8.7%33.8%13.0%30.2%13.1%0.7%442.0K-20.2M-85.8K1.8610.5937970530,84222,267
2011-12-08$12.94$12.5022.6%9.0%32.1%21.0%31.5%11.2%0.0%561.0K-15.8M-91.8K0.179.623045131,02522,622
2011-12-09$13.08$12.5021.1%9.0%31.9%17.2%31.3%12.5%0.1%479.8K-18.1M-88.5K0.1410.8522330,95922,672
2011-12-12$12.93$12.5020.3%9.0%31.3%14.8%31.3%40.7%0.4%524.0K-15.8M-86.8K0.039.1340130,95422,674
2011-12-13$12.72$12.5027.2%9.2%31.8%33.3%32.0%8.2%-0.6%652.2K-12.0M-89.2K0.4810.741045030,94622,674
2011-12-14$12.55$12.5023.1%8.2%31.9%22.5%28.6%5.5%2.5%823.5K-9.1M-87.6K0.078.242581830,95222,724
2011-12-15$12.50$12.5027.5%7.9%30.6%34.3%27.5%56.4%2.6%1.2M-7.4M-85.3K3.237.9125983730,94722,731
2011-12-16$12.76$12.5026.1%7.5%31.5%30.4%26.1%44.6%3.2%644.9K-14.5M-81.8K1.5510.2339962030,99822,285
2011-12-19$12.32$12.5028.2%8.1%33.9%36.1%28.2%0.8%0.0%326.0K-4.5M-79.2K0.189.734598126,87620,571
2011-12-20$12.66$12.5025.8%7.4%35.3%29.6%25.8%53.3%2.2%393.4K-8.4M-78.5K0.2511.601403527,00820,601
2011-12-21$12.71$12.5024.6%7.0%35.3%26.4%24.6%5.9%2.1%402.7K-10.2M-76.3K1.9810.72479327,04520,605
2011-12-22$12.91$12.5025.1%7.2%33.9%27.7%25.1%30.9%3.5%397.4K-12.3M-76.4K0.0112.24145227,07720,640
2011-12-23$12.92$12.5025.5%7.3%33.5%28.8%25.5%30.9%3.3%408.6K-12.5M-75.5K0.0427.6027127,15920,640
2011-12-27$13.02$12.5026.9%7.7%30.8%32.6%26.9%5.8%1.7%407.4K-14.8M-69.4K0.1213.532593127,16420,640
2011-12-28$12.92$12.5025.0%7.2%30.6%27.5%25.0%5.1%3.5%420.5K-13.9M-69.2K0.0212.7250127,24320,640
2011-12-29$13.02$12.5026.7%7.6%27.1%32.0%26.5%12.3%1.2%422.5K-14.7M-67.2K0.1311.65761027,22020,512
2011-12-30$12.91$12.5027.8%8.0%25.9%35.1%27.8%5.3%1.3%407.1K-13.3M-69.9K5.677.422715327,18920,517