TSM Options History — March 2012

In March 2012, TSM traded between $14.16 and $15.38. ATM implied volatility averaged 18.6%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 5.4% (HV 20d: 23.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.61.

Notable Days

  • 2012-03-23: Highest Volume — 2,923 contracts
  • 2012-03-15: Largest IV spike — 75.7% change
  • 2012-03-22: Highest IV Rank — 24.7%
  • 2012-03-07: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.85$14.16$15.38$14.64$15.28
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV18.6%11.9%21.8%17.4%20.7%
Expected Move6.0%4.4%6.8%5.0%5.9%
HV 20d23.9%21.9%25.4%23.4%24.7%
HV 60d24.1%23.2%24.9%24.9%23.7%
IV Rank16.5%0.0%24.7%13.1%22.1%
IV Percentile14.2%0.0%25.4%8.7%19.4%
Term Structure4.6%1.3%12.2%10.7%5.1%
VWIV21.0%11.9%27.9%11.9%20.7%
Skew 25d17.0%-5.2%74.9%18.1%51.5%
Skew 10d30.2%-4.3%127.9%14.2%122.2%
Call IV 25d19.3%10.7%23.0%15.2%19.8%
Put IV 25d36.3%17.7%95.7%33.3%71.4%
Bid-Ask Spread %14.448.5461.4325.5912.87
Gamma HHI0.750.520.870.600.87
Net GEX530.4K351.5K895.0K386.1K895.0K
Net DEX-11.0M-17.2M-5.8M-8.5M-16.0M
Net VEX-74.0K-77.2K-69.5K-74.1K-76.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.0023.840.300.56
Total Volume579.182582,923249255
Total OI31,120.529,06834,72229,06834,722

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$14.64$12.5017.4%5.0%23.4%13.1%11.9%18.1%10.7%386.1K-8.5M-74.1K0.3025.591925716,70412,364
2012-03-02$14.59$12.5015.2%4.4%22.1%7.6%27.9%22.6%12.2%379.8K-8.5M-73.8K0.1625.4950816,85312,371
2012-03-05$14.33$12.5013.3%5.8%23.0%2.7%19.8%-2.0%5.0%387.1K-6.7M-70.2K1.9410.2921341416,85712,379
2012-03-06$14.16$12.5015.3%6.6%23.4%7.9%19.9%-5.2%1.3%351.5K-5.8M-69.5K0.009.2972016,96612,432
2012-03-07$14.40$12.5016.1%6.8%24.1%9.8%25.1%-3.0%2.6%368.8K-7.3M-74.3K1.5111.0754582516,97812,432
2012-03-08$14.61$12.5016.7%6.4%24.3%11.3%21.7%1.0%4.7%411.2K-8.5M-74.7K0.008.5474017,41612,868
2012-03-09$14.60$12.5014.3%5.9%24.3%5.4%20.5%1.6%4.9%422.5K-8.3M-73.7K2.1811.52398517,40412,868
2012-03-12$14.40$12.5020.1%6.4%21.9%19.9%0.0%-0.3%3.1%393.6K-7.5M-71.0K1.7112.047312517,41312,883
2012-03-13$14.87$12.5018.1%6.0%23.6%14.8%20.8%67.1%4.7%446.5K-10.5M-74.0K0.459.442149617,47012,871
2012-03-14$14.81$12.5011.9%6.3%23.7%0.0%21.9%3.8%4.2%447.0K-10.6M-74.6K0.3210.5539612717,53112,890
2012-03-15$14.94$12.5020.9%6.0%23.7%22.5%20.9%66.4%5.5%465.0K-11.2M-74.9K0.3710.51431617,70912,959
2012-03-16$14.79$12.5019.0%5.4%23.6%17.7%19.0%4.0%7.0%520.5K-10.2M-73.9K10.2110.061919417,68412,968
2012-03-19$15.16$12.5020.2%5.8%25.0%20.7%20.2%2.3%4.0%507.6K-12.6M-74.2K0.0361.431,2514017,25912,896
2012-03-20$14.94$12.5021.1%6.1%24.8%23.2%21.1%4.9%3.6%500.0K-11.0M-72.6K0.4210.9948320417,35912,903
2012-03-21$15.21$12.5021.4%6.1%25.4%23.9%21.5%6.0%3.1%473.0K-12.9M-71.8K2.329.5518943917,29513,022
2012-03-22$15.03$12.5021.8%6.2%24.1%24.7%21.8%5.5%3.9%472.2K-11.5M-73.6K0.4110.9881833417,33713,406
2012-03-23$14.99$12.5020.7%5.9%23.7%22.1%20.7%5.3%3.0%527.5K-11.2M-74.4K0.0210.592,8725117,91013,673
2012-03-26$15.38$12.5021.3%6.1%25.1%23.6%21.3%38.9%3.0%788.2K-17.0M-76.9K9.8713.109896720,62713,708
2012-03-27$15.37$12.5020.7%5.9%24.3%22.1%20.7%5.0%3.5%793.1K-17.2M-75.9K0.4910.07974820,67713,710
2012-03-28$15.18$12.5021.3%6.1%24.3%23.7%21.3%4.4%2.6%848.8K-15.3M-76.3K0.2612.53782020,74913,709
2012-03-29$15.08$12.5021.5%6.2%24.4%24.0%21.5%74.9%3.0%883.2K-13.8M-77.2K23.8411.132559620,70813,711
2012-03-30$15.28$12.5020.7%5.9%24.7%22.1%20.7%51.5%5.1%895.0K-16.0M-76.4K0.5612.871639220,72313,999