TSM Options History — May 2012

In May 2012, TSM traded between $13.73 and $16.10. ATM implied volatility averaged 24.7%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 7.9% (HV 20d: 32.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.03.

Notable Days

  • 2012-05-11: Highest Volume — 4,821 contracts
  • 2012-05-31: Largest IV spike — 63.0% change
  • 2012-05-31: Highest IV Rank — 57.8%
  • 2012-05-31: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.80$13.73$16.10$15.53$13.73
Max Pain$13.86$12.50$15.00$15.00$12.50
ATM IV24.7%14.6%35.0%23.6%35.0%
Expected Move7.2%4.2%10.0%6.8%10.0%
HV 20d32.6%21.3%37.1%31.5%21.3%
HV 60d27.3%26.0%27.6%26.0%27.6%
IV Rank32.0%6.9%57.8%29.4%57.8%
IV Percentile39.0%3.6%90.5%31.7%90.5%
Term Structure4.9%1.4%12.8%1.4%5.2%
VWIV25.3%15.9%32.5%23.6%22.8%
Skew 25d9.8%-2.8%97.3%3.2%9.9%
Skew 10d13.3%-4.8%128.0%4.1%12.1%
Call IV 25d21.5%15.3%27.6%20.6%20.3%
Put IV 25d31.4%15.2%122.6%23.7%30.2%
Bid-Ask Spread %18.475.8735.059.3024.39
Gamma HHI0.590.290.880.740.32
Net GEX332.9K-105.6K1.2M415.3K-36.5K
Net DEX-2.0M-11.9M5.4M-8.0M4.1M
Net VEX-63.2K-71.0K-55.9K-61.8K-64.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.030.0117.981.235.52
Total Volume1,124.318744,8213283,408
Total OI28,308.18226,08430,09226,37130,092

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$15.53$15.0023.6%6.8%31.5%29.4%23.6%3.2%1.4%415.3K-8.0M-61.8K1.239.3014718113,44812,923
2012-05-02$16.10$15.0023.7%6.8%33.6%29.5%16.9%14.1%7.2%245.8K-11.9M-58.2K1.066.02838813,53613,078
2012-05-03$15.70$15.0014.6%4.2%34.5%6.9%15.9%-2.8%9.3%298.0K-10.8M-55.9K0.435.871566713,43613,027
2012-05-04$15.44$12.5017.6%7.1%34.7%14.4%24.9%5.1%4.2%480.2K-7.9M-60.3K0.1735.054457413,50413,094
2012-05-07$15.42$12.5026.1%7.6%33.4%35.6%26.7%7.5%1.7%492.7K-8.1M-60.9K6.9722.813952,75513,84613,133
2012-05-08$15.16$15.0025.6%7.0%33.4%34.4%24.5%4.8%3.5%544.3K-4.5M-70.5K1.048.4842143914,22915,259
2012-05-09$15.13$15.0024.6%7.5%33.2%31.9%26.3%6.9%2.4%634.0K-4.5M-71.0K1.4222.597811114,52515,304
2012-05-10$15.39$15.0025.4%7.3%33.6%33.6%25.4%7.9%3.8%545.2K-7.4M-68.6K1.1921.82425014,59815,334
2012-05-11$15.39$15.0027.6%7.9%33.4%39.3%27.6%6.5%4.1%596.5K-7.8M-67.9K17.988.822544,56714,59215,346
2012-05-14$15.08$15.0028.2%8.1%34.2%40.8%28.2%8.2%2.9%781.0K-5.2M-65.8K6.4023.80106414,70514,359
2012-05-15$14.79$15.0027.2%7.8%34.8%38.3%27.2%3.2%5.5%795.4K-1.9M-64.4K1.087.8022624414,69914,365
2012-05-16$14.92$15.0028.6%8.2%34.9%41.8%28.6%6.1%3.2%1.2M-2.8M-64.2K4.6624.614119114,73114,400
2012-05-17$14.70$15.0028.5%8.2%35.3%41.6%28.5%5.5%3.6%714.1K586.0K-63.5K2.2324.435712714,71714,542
2012-05-18$14.28$15.0028.4%8.1%36.5%41.2%32.5%1.2%3.2%-24.4K2.8M-60.6K7.7028.663182,45014,71914,557
2012-05-21$14.42$12.5025.8%7.4%36.5%34.8%25.7%0.4%3.4%-69.0K3.2M-63.9K2.689.7222599,73816,346
2012-05-22$14.40$12.5025.4%7.3%36.5%33.7%25.4%97.3%3.9%-86.5K2.9M-61.6K2.6711.932035439,73716,361
2012-05-23$14.08$12.5026.2%7.5%37.1%35.8%22.6%1.1%2.3%-92.8K5.0M-61.0K0.6128.852441509,78616,696
2012-05-24$13.96$12.5026.3%7.5%29.0%35.9%26.8%0.7%1.6%-105.6K5.4M-59.9K0.1822.763,5176269,89716,772
2012-05-25$13.98$12.5016.0%4.6%27.4%10.3%0.0%8.6%12.4%-21.1K5.0M-61.3K0.0124.881,5792112,12917,143
2012-05-29$14.15$12.5017.0%4.9%26.0%12.8%0.0%9.4%12.8%16.6K3.8M-63.8K0.7210.77503612,88617,142
2012-05-30$13.93$12.5021.5%6.2%26.3%24.0%0.0%11.6%10.8%-8.0K5.1M-61.4K0.6322.991207612,89617,153
2012-05-31$13.73$12.5035.0%10.0%21.3%57.8%22.8%9.9%5.2%-36.5K4.1M-64.1K5.5224.395232,88512,92117,171