TSM Options History — November 2012

In November 2012, TSM traded between $15.77 and $17.27. ATM implied volatility averaged 22.8%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.2% (HV 20d: 21.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2012-11-27: Highest Volume — 1,520 contracts
  • 2012-11-26: Largest IV spike — 71.3% change
  • 2012-11-14: Highest IV Rank — 85.1%
  • 2012-11-07: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.37$15.77$17.27$16.11$17.27
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV22.8%14.2%37.4%25.7%20.6%
Expected Move6.0%3.8%7.5%7.4%5.9%
HV 20d21.7%19.3%24.5%22.2%21.6%
HV 60d22.1%21.2%23.2%21.2%21.9%
IV Rank36.4%7.7%85.1%46.1%29.0%
IV Percentile46.0%5.6%98.4%63.9%35.7%
Term Structure2.6%-2.4%10.2%4.4%1.0%
VWIV22.1%12.8%29.0%19.8%20.7%
Skew 25d4.2%-5.3%13.9%13.6%-0.1%
Skew 10d17.8%-5.0%74.9%17.5%-0.0%
Call IV 25d17.0%13.5%24.6%16.2%20.2%
Put IV 25d21.2%12.0%30.3%29.8%20.1%
Bid-Ask Spread %13.164.7736.014.826.54
Gamma HHI0.510.450.720.480.72
Net GEX148.4K-26.5K314.9K22.6K314.9K
Net DEX-6.0M-9.0M-4.5M-4.9M-9.0M
Net VEX-21.6K-23.8K-19.7K-23.8K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.001.400.000.31
Total Volume339.238241,520169955
Total OI16,158.8114,43117,60116,66216,391

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$16.11$15.0025.7%7.4%22.2%46.1%19.8%13.6%4.4%22.6K-4.9M-23.8K0.004.8216905,93110,731
2012-11-02$15.77$15.0020.2%5.8%23.5%27.7%0.0%-5.2%-1.3%-26.5K-4.5M-23.5K0.137.1782115,92110,731
2012-11-05$15.88$15.0019.8%7.5%23.5%26.4%0.0%13.9%-0.4%33.1K-4.9M-22.2K0.007.427105,98110,732
2012-11-06$16.20$15.0022.2%6.3%24.5%34.3%0.0%11.0%7.6%105.0K-5.6M-21.4K0.2828.3536106,00210,732
2012-11-07$16.17$15.0022.1%7.5%20.9%33.9%0.0%12.2%0.1%105.5K-5.6M-21.3K0.1912.00100195,97710,732
2012-11-08$16.13$15.0035.5%7.2%20.4%78.6%25.3%10.1%-0.0%29.0K-5.0M-22.3K0.0310.50453155,97810,726
2012-11-09$16.36$15.0021.3%3.8%19.6%31.4%26.0%10.3%9.2%143.1K-6.1M-21.7K0.2323.30283656,32910,741
2012-11-12$16.45$15.0021.9%6.7%19.3%33.4%24.4%1.0%-0.4%165.4K-6.4M-21.0K0.5112.19144746,47010,776
2012-11-13$16.18$15.0030.8%5.7%20.7%63.0%12.8%-1.4%0.1%162.2K-5.9M-21.2K1.404.771081516,53310,826
2012-11-14$15.92$15.0037.4%5.2%21.6%85.1%24.1%-5.2%0.1%110.2K-5.3M-21.9K0.706.012671886,57810,863
2012-11-15$16.05$15.0025.3%7.2%21.4%44.6%18.6%9.3%0.8%156.7K-5.4M-22.2K0.9610.5497936,52710,995
2012-11-16$16.19$15.0025.0%7.2%21.4%43.6%22.2%10.1%2.7%153.6K-5.7M-21.9K0.1814.60134246,55911,042
2012-11-19$16.34$15.0020.8%6.0%21.5%29.8%0.0%4.1%7.2%177.7K-5.5M-20.9K0.186.3357106,1648,280
2012-11-20$16.25$15.0016.4%4.7%19.8%15.0%0.0%2.0%10.2%170.9K-5.4M-20.9K0.0136.0117926,1588,280
2012-11-21$16.26$15.0014.6%4.2%19.8%9.2%29.0%-0.3%6.8%175.3K-5.4M-21.2K0.045.162316,1558,278
2012-11-23$16.84$15.0014.2%4.1%22.4%7.7%0.0%2.5%3.9%175.5K-6.6M-19.9K0.0628.81235146,1548,277
2012-11-26$16.62$15.0024.3%7.0%23.1%41.4%24.2%-5.3%-2.4%174.1K-6.2M-20.3K0.1410.43235346,1608,291
2012-11-27$16.83$15.0021.4%6.1%22.9%31.7%21.7%-1.8%-1.2%181.6K-6.6M-19.7K0.0110.821,503176,2038,301
2012-11-28$16.90$15.0019.3%5.5%22.9%24.6%20.0%6.3%6.0%291.4K-7.5M-21.8K0.0921.62286267,5408,318
2012-11-29$17.13$15.0020.5%5.9%21.8%28.6%20.4%1.1%-0.2%295.8K-8.3M-22.0K0.079.02891627,6548,318
2012-11-30$17.27$15.0020.6%5.9%21.6%29.0%20.7%-0.1%1.0%314.9K-9.0M-23.4K0.316.547292268,0498,342