TSM Options History — August 2012

In August 2012, TSM traded between $13.87 and $14.70. ATM implied volatility averaged 18.7%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 5.0% (HV 20d: 23.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.92.

Notable Days

  • 2012-08-17: Highest Volume — 1,524 contracts
  • 2012-08-31: Largest IV spike — 27.3% change
  • 2012-08-23: Highest IV Rank — 30.8%
  • 2012-08-06: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.32$13.87$14.70$13.88$14.70
Max Pain$13.70$12.50$15.00$15.00$12.50
ATM IV18.7%14.8%23.4%17.8%19.3%
Expected Move5.8%4.3%6.7%5.1%5.5%
HV 20d23.7%14.8%35.7%35.7%16.9%
HV 60d30.4%27.9%31.8%31.6%28.6%
IV Rank19.4%7.3%30.8%14.7%24.7%
IV Percentile17.9%4.0%36.1%13.5%19.8%
Term Structure4.5%0.4%12.8%6.3%4.4%
VWIV21.7%19.3%28.8%20.9%19.3%
Skew 25d20.3%-4.4%106.5%-1.4%103.1%
Skew 10d26.9%-3.2%138.6%-0.2%138.6%
Call IV 25d20.1%12.8%23.4%19.8%20.4%
Put IV 25d40.4%18.4%126.2%18.4%123.4%
Bid-Ask Spread %15.276.7533.0610.7112.62
Gamma HHI0.440.280.710.360.71
Net GEX61.5K-51.8K256.9K-51.8K256.9K
Net DEX-322.4K-2.4M1.3M1.3M-2.4M
Net VEX-30.1K-32.2K-27.3K-29.9K-30.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.005.105.100.65
Total Volume237.783131,52461271
Total OI16,178.91314,70517,74314,70517,743

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$13.88$15.0017.8%5.1%35.7%14.7%0.0%-1.4%6.3%-51.8K1.3M-29.9K5.1010.7110514,7209,985
2012-08-02$13.87$15.0019.8%5.7%29.3%19.7%20.9%-0.2%5.9%-51.4K1.3M-28.9K0.177.13147254,71010,016
2012-08-03$14.18$15.0019.5%5.6%29.9%19.1%23.6%5.4%6.6%-35.9K586.5K-28.8K0.2512.11217544,83210,003
2012-08-06$14.24$15.0014.8%6.7%29.9%7.3%23.5%6.3%2.4%-26.9K445.4K-29.5K0.1633.06279444,9509,982
2012-08-07$14.17$15.0015.6%6.6%29.2%9.4%0.0%-3.5%0.8%-16.5K445.9K-29.7K0.498.1767335,22910,002
2012-08-08$14.09$15.0016.0%6.6%29.0%10.8%28.8%-4.4%1.1%-22.8K666.5K-29.9K1.0027.1614145,19710,010
2012-08-09$14.33$15.0017.2%6.5%27.0%13.8%22.0%-1.5%2.0%-19.7K189.6K-29.3K0.0610.15534325,18610,010
2012-08-10$14.49$15.0017.5%6.1%27.1%14.6%21.4%71.2%1.7%-407-495.5K-27.3K0.2020.59254515,62710,000
2012-08-13$14.31$15.0019.8%6.5%26.6%20.6%0.0%-1.4%2.3%16.8K-132.8K-30.0K3.1712.816195,71810,025
2012-08-14$14.40$15.0019.5%6.3%26.5%19.9%0.0%-0.5%2.3%19.9K-237.1K-30.0K0.9115.222572345,71810,030
2012-08-15$14.42$15.0023.4%6.6%24.3%30.1%23.0%-2.6%0.4%22.0K-375.7K-30.5K0.3012.3381245,88810,238
2012-08-16$14.45$12.5021.6%6.2%22.3%25.3%21.7%-1.4%2.2%28.0K-511.5K-30.5K0.9012.7021195,95510,192
2012-08-17$14.40$12.5021.5%6.2%21.0%25.0%21.5%-1.0%3.0%24.6K-416.5K-29.8K0.0015.371,52405,93710,180
2012-08-20$14.50$12.5019.7%5.6%21.0%20.4%19.8%85.1%4.1%153.2K-1.2M-31.4K0.0016.151907,2319,806
2012-08-21$14.65$12.5020.3%5.8%21.0%23.5%20.3%82.4%3.4%165.6K-1.8M-30.6K0.0423.7911047,2409,806
2012-08-22$14.40$12.5020.7%5.9%22.6%29.4%20.7%0.4%2.9%147.2K-999.6K-31.5K2.4417.829227,2769,810
2012-08-23$14.33$12.5021.1%6.1%21.3%30.8%20.8%-0.5%3.3%132.6K-745.5K-31.2K0.2418.342567,2849,808
2012-08-24$14.37$12.5020.6%5.9%20.0%29.0%0.0%0.2%3.2%138.3K-791.4K-31.1K2.8022.5710287,3009,814
2012-08-27$14.38$12.5016.2%4.6%19.0%14.3%0.0%9.1%12.5%137.0K-572.6K-32.2K1.6021.60587,3009,812
2012-08-28$14.31$12.5016.3%4.7%15.0%14.7%19.4%7.2%12.6%133.7K-560.8K-30.0K0.447.2545207,3019,820
2012-08-29$14.35$12.5017.1%4.9%14.8%17.3%19.8%106.5%7.1%142.8K-718.8K-29.4K0.036.8813347,3369,825
2012-08-30$14.25$12.5015.2%4.3%15.1%10.9%0.0%7.6%12.8%121.5K-310.2K-29.2K0.286.755791607,4399,824
2012-08-31$14.70$12.5019.3%5.5%16.9%24.7%19.3%103.1%4.4%256.9K-2.4M-30.6K0.6512.621641078,0119,732