TSM Options History — January 2012

In January 2012, TSM traded between $13.14 and $14.26. ATM implied volatility averaged 20.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 5.5% (HV 20d: 26.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2012-01-23: Highest Volume — 6,115 contracts
  • 2012-01-13: Largest IV spike — 80.5% change
  • 2012-01-13: Highest IV Rank — 43.3%
  • 2012-01-13: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.76$13.14$14.26$13.26$14.08
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV20.7%12.2%30.9%27.7%16.2%
Expected Move6.0%3.5%8.8%8.0%4.6%
HV 20d26.1%24.8%27.7%27.6%25.9%
HV 60d30.2%27.9%31.1%31.0%27.9%
IV Rank19.1%0.0%43.3%34.9%10.1%
IV Percentile19.8%0.0%72.2%43.7%2.4%
Term Structure5.4%-4.7%15.3%1.7%10.2%
VWIV23.3%13.5%32.1%27.7%22.0%
Skew 25d6.4%-8.2%13.0%4.5%5.6%
Skew 10d14.7%-9.5%74.6%74.6%7.2%
Call IV 25d16.4%11.2%24.4%22.5%14.4%
Put IV 25d22.8%14.2%30.4%27.0%20.1%
Bid-Ask Spread %30.065.18105.875.188.46
Gamma HHI0.430.360.640.540.37
Net GEX259.2K116.1K446.7K376.6K202.9K
Net DEX-16.7M-32.1M-3.6M-18.2M-4.8M
Net VEX-54.1K-66.0K-41.1K-60.0K-63.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.005.560.050.00
Total Volume1,239.9606,1151031,239
Total OI39,946.6517,47353,89547,75524,659

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$13.26$12.5027.7%8.0%27.6%34.9%27.7%4.5%1.7%376.6K-18.2M-60.0K0.055.1898527,18920,566
2012-01-04$13.14$12.5029.2%8.4%27.7%38.8%29.2%4.9%0.1%385.0K-16.9M-61.9K0.0614.431,1516527,16220,566
2012-01-05$13.26$12.5020.9%6.0%26.7%16.6%14.2%10.1%15.3%379.9K-18.3M-59.5K0.345.6164022027,21020,585
2012-01-06$13.15$12.5024.4%8.3%25.8%25.9%29.0%10.5%-1.8%380.8K-18.5M-57.6K0.0726.831691227,51820,769
2012-01-09$13.38$12.5028.0%8.1%25.3%35.6%28.0%9.7%0.3%396.2K-19.5M-55.8K0.2226.171,36729927,53020,758
2012-01-10$13.77$12.5020.8%5.1%26.9%16.1%27.2%13.0%9.4%168.2K-25.6M-41.8K0.2732.1485323427,92020,883
2012-01-11$13.66$12.5026.7%8.0%26.7%32.0%28.3%10.1%1.6%197.3K-24.5M-44.3K0.0232.8159127,70220,797
2012-01-12$13.83$12.5017.1%4.9%25.9%6.2%28.6%12.2%8.5%446.7K-24.1M-50.3K0.0228.21242427,71620,728
2012-01-13$13.75$12.5030.9%8.8%25.3%43.3%31.2%12.7%-2.6%203.5K-24.9M-43.6K0.0731.654082827,69120,732
2012-01-17$13.46$12.5029.8%8.5%26.8%40.3%32.1%8.1%-4.7%399.4K-20.8M-49.4K0.2030.0580416427,94820,747
2012-01-18$13.83$12.5012.2%3.5%27.4%0.0%15.4%3.7%11.5%129.4K-25.7M-41.1K0.02105.874,4166828,23120,881
2012-01-19$14.26$12.5015.2%4.3%24.8%7.5%13.5%6.4%12.5%280.4K-32.1M-44.2K0.0199.061,7801331,92320,924
2012-01-20$13.97$12.5012.6%3.6%25.5%0.9%13.8%0.1%9.6%188.2K-30.9M-47.9K0.25102.6654913932,97920,916
2012-01-23$14.01$12.5012.6%3.6%25.5%0.9%15.3%3.8%11.4%204.4K-6.8M-44.4K5.567.679325,1839,9027,571
2012-01-24$13.93$12.5020.5%5.9%25.4%21.0%25.4%-8.2%-3.2%116.4K-3.6M-58.9K0.316.742247010,61611,420
2012-01-25$14.16$12.5021.6%6.2%25.8%23.6%0.0%8.3%0.3%116.1K-4.1M-60.6K0.079.442,48317010,79611,474
2012-01-26$14.23$12.5013.1%3.7%25.8%2.2%20.6%3.6%6.5%209.0K-5.4M-64.9K0.0110.06156112,96511,629
2012-01-27$14.11$12.5016.5%4.7%25.8%10.8%21.7%3.2%9.6%207.7K-4.9M-66.0K0.389.12501913,01111,629
2012-01-30$13.98$12.5018.1%5.2%26.2%14.8%20.5%5.2%11.5%195.7K-4.1M-65.7K0.009.08483013,05111,639
2012-01-31$14.08$12.5016.2%4.6%25.9%10.1%22.0%5.6%10.2%202.9K-4.8M-63.5K0.008.461,239013,02011,639