TSM Options History — June 2012

In June 2012, TSM traded between $13.02 and $14.13. ATM implied volatility averaged 31.4%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 2.7% (HV 20d: 28.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 28.74.

Notable Days

  • 2012-06-01: Highest Volume — 533 contracts
  • 2012-06-20: Largest IV spike — 45.7% change
  • 2012-06-13: Highest IV Rank — 75.0%
  • 2012-06-27: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.56$13.02$14.13$13.06$13.96
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV31.4%18.8%41.9%34.6%21.4%
Expected Move9.8%5.4%11.3%9.9%6.1%
HV 20d28.8%25.4%32.9%25.4%29.9%
HV 60d29.1%28.1%31.0%29.1%31.0%
IV Rank48.9%17.3%75.0%56.7%23.8%
IV Percentile68.3%14.7%97.6%90.1%25.8%
Term Structure-3.7%-10.6%8.7%1.6%-4.8%
VWIV33.7%14.7%73.0%34.3%73.0%
Skew 25d16.0%1.5%23.8%7.0%8.9%
Skew 10d25.2%9.0%37.2%9.1%9.0%
Call IV 25d21.1%14.1%34.9%27.6%20.5%
Put IV 25d37.1%28.5%43.4%34.6%29.4%
Bid-Ask Spread %25.509.2045.3127.6430.95
Gamma HHI0.380.360.430.380.38
Net GEX-138.1K-198.9K-83.4K-141.9K-117.0K
Net DEX7.9M5.6M10.4M9.7M6.4M
Net VEX-54.4K-61.2K-45.3K-61.2K-50.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio28.740.00274.001.380.20
Total Volume158.381153353360
Total OI31,900.28630,80032,67932,56631,092

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$13.06$15.0034.6%9.9%25.4%56.7%34.3%7.0%1.6%-141.9K9.7M-61.2K1.3827.6422430913,00119,565
2012-06-04$13.02$15.0036.9%10.9%25.4%62.5%37.9%8.5%-5.0%-149.7K10.4M-58.8K0.6845.3124616712,95219,639
2012-06-05$13.21$15.0022.7%10.5%26.6%27.1%36.2%23.8%-3.9%-147.5K9.6M-58.2K1.2640.52354412,97319,611
2012-06-06$13.50$15.0019.8%10.4%28.3%19.7%15.1%20.9%-2.5%-137.5K8.4M-59.6K0.4913.74412012,97319,620
2012-06-07$13.54$15.0024.5%10.8%28.4%31.6%34.0%13.3%-4.8%-122.0K7.7M-59.7K2.1419.066914812,97019,632
2012-06-08$13.46$15.0026.2%10.5%27.1%35.7%30.8%21.9%-4.3%-142.9K8.7M-59.3K1.0825.38485213,01419,618
2012-06-11$13.41$15.0034.8%10.3%27.0%57.2%35.5%19.5%-3.2%-144.4K8.5M-55.9K0.3614.59281013,05019,629
2012-06-12$13.70$15.0035.3%11.0%28.3%58.5%16.3%21.7%-3.3%-115.0K7.3M-58.9K0.079.202241613,05019,623
2012-06-13$13.55$15.0041.9%10.8%27.9%75.0%0.0%21.6%-4.0%-132.7K8.0M-55.9K0.0020.591012,95319,634
2012-06-14$13.47$15.0037.5%10.7%27.5%63.9%37.0%21.3%-2.9%-152.9K8.5M-54.9K0.0021.9905612,95419,515
2012-06-15$13.67$15.0039.3%11.3%28.1%68.4%0.0%18.4%-10.6%-137.3K7.9M-56.0K0.0822.1013112,95419,516
2012-06-18$13.96$15.0027.0%7.8%27.7%37.9%14.7%18.6%-1.8%-112.8K6.2M-54.1K164.6732.18349412,40118,682
2012-06-19$14.11$15.0018.8%5.4%27.7%17.3%29.2%12.4%8.7%-103.1K6.1M-56.8K0.0432.05137512,39919,132
2012-06-20$14.13$15.0027.4%7.9%27.7%38.7%28.1%1.5%-7.3%-94.7K5.6M-57.5K0.6132.74714312,50219,131
2012-06-21$13.58$15.0035.2%10.1%30.1%58.1%36.3%16.5%-3.8%-138.0K7.7M-51.3K114.0025.53111412,49919,111
2012-06-22$13.83$15.0025.8%7.4%30.8%34.8%0.0%21.4%1.5%-83.4K6.1M-49.9K0.5027.72201012,21518,585
2012-06-25$13.38$15.0037.3%10.7%32.9%63.5%37.6%14.9%-5.9%-170.1K8.3M-45.3K6.2010.6653112,21518,595
2012-06-26$13.31$15.0037.4%10.7%32.4%63.6%35.8%14.1%-6.7%-198.9K8.8M-45.6K274.0026.75127412,22018,597
2012-06-27$13.54$15.0039.4%11.3%32.8%68.7%37.9%16.2%-8.4%-162.9K8.0M-47.1K5.2019.974623912,22018,777
2012-06-28$13.44$15.0037.3%10.7%32.6%63.5%36.4%14.1%-6.5%-195.7K8.5M-45.4K1.8636.8571312,21418,873
2012-06-29$13.96$15.0021.4%6.1%29.9%23.8%73.0%8.9%-4.8%-117.0K6.4M-50.3K0.2030.95501012,21918,873