TSM Options History — October 2012

In October 2012, TSM traded between $15.03 and $16.16. ATM implied volatility averaged 21.6%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.7% (HV 20d: 23.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2012-10-03: Highest Volume — 2,754 contracts
  • 2012-10-11: Largest IV spike — 43.1% change
  • 2012-10-15: Highest IV Rank — 49.3%
  • 2012-10-08: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.52$15.03$16.16$15.90$15.90
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV21.6%12.7%26.7%12.7%20.9%
Expected Move6.6%3.6%7.8%3.6%6.0%
HV 20d23.3%19.8%25.9%24.3%21.8%
HV 60d22.6%20.7%24.1%23.9%21.0%
IV Rank32.5%2.7%49.3%2.7%30.0%
IV Percentile42.1%1.6%68.7%1.6%35.7%
Term Structure2.8%-1.7%14.8%14.8%11.0%
VWIV21.9%11.4%27.2%11.4%15.0%
Skew 25d12.4%-2.3%51.9%0.8%9.5%
Skew 10d28.4%-2.7%120.1%-0.7%13.4%
Call IV 25d18.5%13.5%22.0%14.5%16.2%
Put IV 25d30.9%13.1%72.3%15.3%25.7%
Bid-Ask Spread %23.464.1986.7223.844.19
Gamma HHI0.580.390.830.640.44
Net GEX116.7K-92.2K537.8K203.6K-20.5K
Net DEX-6.9M-12.3M-1.9M-11.9M-4.2M
Net VEX-28.5K-34.6K-22.4K-22.5K-25.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.0916.320.150.09
Total Volume538.286472,754485170
Total OI21,669.61916,33725,31220,35416,637

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$15.90$15.0012.7%3.6%24.3%2.7%11.4%0.8%14.8%203.6K-11.9M-22.5K0.1523.844236210,22010,134
2012-10-02$16.00$15.0013.9%4.0%22.3%6.8%15.5%-2.3%10.2%196.8K-12.3M-22.4K1.8913.6521240010,36510,166
2012-10-03$16.05$15.0013.1%3.8%21.1%4.2%13.1%0.4%10.0%274.0K-10.9M-26.9K16.3213.381592,59510,37210,564
2012-10-04$16.16$15.0014.0%4.0%20.8%7.2%13.7%0.2%11.6%-1.7K-12.0M-24.6K2.959.564221,24310,36413,110
2012-10-05$16.07$15.0015.3%7.2%21.2%11.3%11.7%12.0%1.0%19.5K-11.5M-26.2K0.247.853027210,37313,711
2012-10-08$15.53$15.0017.5%7.8%25.1%18.7%27.2%9.3%-1.7%186.0K-7.9M-32.2K0.2122.714319110,47813,744
2012-10-09$15.36$15.0024.8%7.1%25.1%43.0%24.7%8.1%0.3%193.7K-6.2M-34.2K0.716.9717412410,49013,758
2012-10-10$15.12$15.0016.9%7.3%25.9%16.8%25.6%8.7%-0.3%283.0K-4.0M-34.6K0.3024.171976010,52413,832
2012-10-11$15.03$15.0024.2%6.9%25.9%41.1%24.2%6.5%0.9%249.0K-3.0M-34.4K0.6223.77291810,52613,862
2012-10-12$15.12$15.0026.4%7.6%24.7%48.3%26.3%7.4%-0.9%329.7K-3.9M-33.2K0.7423.5540629910,55013,859
2012-10-15$15.29$15.0026.7%7.7%23.4%49.3%26.7%9.1%-0.8%313.1K-6.9M-31.9K0.2130.6392019710,86814,103
2012-10-16$15.45$15.0025.9%7.4%23.6%46.6%25.8%7.5%-0.4%80.3K-9.8M-29.0K0.4429.431536711,00114,263
2012-10-17$15.60$15.0025.5%7.3%23.7%45.5%25.5%25.0%-0.1%11.4K-10.7M-27.6K0.2733.012115811,06014,252
2012-10-18$15.55$15.0025.0%7.2%22.8%43.7%25.0%28.0%0.5%31.8K-10.5M-27.0K0.3531.351485210,96413,628
2012-10-19$15.22$15.0024.3%7.0%24.4%41.2%24.2%8.0%1.1%537.8K-8.2M-28.8K0.2132.8768514410,91213,645
2012-10-22$15.33$15.0025.8%7.4%24.5%46.4%25.8%51.9%-0.0%-89.9K-2.1M-27.6K0.2333.26251585,62410,713
2012-10-23$15.22$15.0026.1%7.5%24.6%47.4%26.1%8.6%-0.3%-87.0K-2.0M-28.2K0.1223.34207255,82610,709
2012-10-24$15.15$15.0026.3%7.5%24.3%48.0%25.9%8.5%0.8%-92.2K-1.9M-28.1K0.5386.7285455,86110,723
2012-10-25$15.38$15.0026.2%7.5%20.3%47.8%25.5%49.7%-1.1%-83.1K-2.5M-27.7K0.387.8845175,88210,737
2012-10-26$15.50$15.0022.9%6.6%19.8%36.7%0.0%4.0%1.9%-84.9K-3.2M-27.1K0.8810.6125225,92210,730
2012-10-31$15.90$15.0020.9%6.0%21.8%30.0%15.0%9.5%11.0%-20.5K-4.2M-25.3K0.094.19156145,90710,730