TSM Options History — July 2012

In July 2012, TSM traded between $12.65 and $14.44. ATM implied volatility averaged 28.3%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 7.7% (HV 20d: 36.0%). 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 12 of 21 days. Put/call ratio averaged 3.19.

Notable Days

  • 2012-07-03: Highest Volume — 4,248 contracts
  • 2012-07-05: Largest IV spike — 86.9% change
  • 2012-07-10: Highest IV Rank — 59.6%
  • 2012-07-09: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.27$12.65$14.44$14.27$13.97
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV28.3%16.9%35.7%21.8%20.1%
Expected Move8.1%4.9%9.4%6.3%5.8%
HV 20d36.0%30.4%38.9%30.5%36.0%
HV 60d32.4%30.8%34.3%31.2%31.6%
IV Rank41.0%12.6%59.6%24.9%20.6%
IV Percentile59.7%9.5%90.5%28.2%18.3%
Term Structure1.3%-8.3%12.4%-8.3%7.8%
VWIV31.7%18.7%89.9%38.9%23.2%
Skew 25d14.9%-2.2%49.5%16.6%5.5%
Skew 10d34.3%-3.2%101.6%11.9%6.3%
Call IV 25d22.2%14.4%27.2%20.1%17.9%
Put IV 25d37.1%18.6%76.6%36.7%23.4%
Bid-Ask Spread %19.066.7634.4923.8511.84
Gamma HHI0.550.350.890.360.42
Net GEX-274.9K-1.1M-55.7K-76.0K-56.4K
Net DEX6.4M1.3M10.8M4.6M1.3M
Net VEX-33.8K-51.0K-28.1K-50.8K-29.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.190.0324.000.120.25
Total Volume441.619204,24891252
Total OI25,211.09514,04231,01330,96614,339

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$14.27$15.0021.8%6.3%30.5%24.9%38.9%16.6%-8.3%-76.0K4.6M-50.8K0.1223.85811012,19418,772
2012-07-03$14.44$15.0016.9%4.9%30.4%12.6%89.9%18.4%7.3%-55.7K3.6M-51.0K0.036.764,14210612,24118,772
2012-07-05$13.65$15.0031.6%9.1%36.5%49.4%19.2%16.2%8.4%-114.0K7.2M-42.0K2.2314.1421547911,91018,800
2012-07-06$13.50$15.0030.0%9.1%36.7%45.4%0.0%16.8%0.4%-155.7K7.5M-38.5K3.8127.12166111,94918,647
2012-07-09$13.50$15.0031.6%9.4%36.7%49.4%31.9%15.0%-1.3%-164.4K7.9M-37.9K14.679.5534411,95918,696
2012-07-10$13.28$15.0035.7%9.1%37.1%59.6%0.0%12.4%0.7%-260.9K8.9M-36.3K0.0425.928373011,95818,708
2012-07-11$13.15$15.0029.8%8.8%36.3%44.9%24.8%10.4%0.5%-331.3K9.3M-33.2K4.0012.9141612,00818,726
2012-07-12$12.80$15.0031.4%9.0%37.3%48.8%0.0%7.1%-0.7%-488.9K10.3M-34.3K2.2010.26153312,01218,736
2012-07-13$12.89$15.0029.0%8.3%37.4%42.9%0.0%37.9%1.7%-481.8K9.9M-32.7K0.2415.223308012,02718,685
2012-07-16$12.67$15.0031.0%8.9%37.2%47.7%29.1%3.2%-0.5%-557.4K10.8M-31.5K1.4112.9314520511,85818,729
2012-07-17$12.69$15.0029.7%8.5%36.1%44.6%29.7%2.9%0.4%-715.8K10.7M-31.4K1.4315.9512217511,86318,798
2012-07-18$13.14$15.0029.6%8.5%38.4%44.4%27.1%16.0%0.5%-221.2K8.5M-30.0K24.0031.912150411,91918,880
2012-07-19$12.86$15.0031.9%9.1%38.9%50.0%31.1%9.3%-2.2%-490.0K9.6M-30.8K2.6732.03123211,82218,495
2012-07-20$12.65$15.0027.6%7.9%37.0%39.3%27.6%7.1%2.1%-1.1M9.5M-28.2K1.0130.51686911,83118,507
2012-07-23$12.78$15.0030.6%8.8%36.4%46.7%30.6%49.5%-0.1%-88.2K3.2M-28.3K0.8416.8970594,2229,820
2012-07-24$12.91$15.0029.9%8.6%35.0%45.1%30.0%38.8%1.4%-86.2K3.0M-28.9K1.2132.981271544,2729,842
2012-07-25$13.01$15.0030.7%8.8%35.2%46.9%30.7%25.5%-0.5%-85.3K2.9M-28.1K0.3934.4980314,2599,952
2012-07-26$13.36$15.0032.0%9.2%36.0%50.2%30.4%8.4%-0.3%-80.0K2.3M-28.5K0.8417.561941624,2789,931
2012-07-27$13.68$15.0025.0%7.2%36.9%32.8%26.4%-1.8%-2.2%-65.5K1.7M-29.2K0.157.83164244,4709,956
2012-07-30$13.49$15.0018.2%5.2%34.5%15.8%18.7%-2.2%12.4%-62.5K2.0M-29.0K5.389.5816864,6319,959
2012-07-31$13.97$15.0020.1%5.8%36.0%20.6%23.2%5.5%7.8%-56.4K1.3M-29.0K0.2511.84202504,3759,964