TSM Options History — January 2013

In January 2013, TSM traded between $17.52 and $18.27. ATM implied volatility averaged 21.0%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 4.2% (HV 20d: 25.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2013-01-31: Highest Volume — 21,532 contracts
  • 2013-01-09: Largest IV drop — 16.9% change
  • 2013-01-08: Highest IV Rank — 42.4%
  • 2013-01-07: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.91$17.52$18.27$18.10$17.74
Max Pain$17.26$15.00$17.50$15.00$17.50
ATM IV21.0%18.0%24.6%21.8%20.3%
Expected Move6.0%5.2%6.7%6.2%5.8%
HV 20d25.2%21.6%28.9%23.1%21.6%
HV 60d21.9%20.8%22.6%22.2%21.6%
IV Rank30.2%20.4%42.4%33.0%27.9%
IV Percentile42.3%22.6%68.3%51.6%36.5%
Term Structure2.3%0.9%4.4%1.0%2.9%
VWIV20.7%18.0%23.2%21.7%20.3%
Skew 25d9.5%-2.7%43.5%3.4%43.5%
Skew 10d25.2%-5.7%96.8%4.6%96.8%
Call IV 25d17.1%14.0%23.8%18.3%20.0%
Put IV 25d26.6%19.1%63.4%21.7%63.4%
Bid-Ask Spread %6.373.9511.427.657.19
Gamma HHI0.530.400.770.770.43
Net GEX538.6K253.3K988.2K477.7K319.8K
Net DEX-15.5M-23.1M-6.4M-18.5M-7.7M
Net VEX-39.1K-43.9K-24.4K-24.4K-43.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.015.380.210.01
Total Volume2,167.61911321,5321,53921,532
Total OI23,453.28615,83230,30821,66217,983

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$18.10$15.0021.8%6.2%23.1%33.0%21.7%3.4%1.0%477.7K-18.5M-24.4K0.217.651,27426512,7588,904
2013-01-03$18.09$15.0022.5%6.5%21.6%35.4%22.5%3.6%0.9%468.2K-18.3M-25.0K0.077.413,01319612,8598,805
2013-01-04$17.96$17.5021.2%6.6%21.7%31.0%22.2%-2.7%1.4%612.0K-18.5M-33.2K0.155.396689915,3228,971
2013-01-07$17.70$17.5023.4%6.7%22.5%38.4%23.2%4.3%1.3%667.1K-17.3M-33.4K0.143.951,28517715,5999,066
2013-01-08$17.54$17.5024.6%6.6%22.8%42.4%22.9%1.9%1.7%701.2K-16.6M-37.1K0.425.412,4931,05316,5829,197
2013-01-09$17.54$17.5020.4%6.5%22.5%28.6%21.2%1.7%1.7%988.2K-17.1M-42.5K0.184.625379518,4859,943
2013-01-10$18.18$17.5022.4%6.4%25.0%35.2%18.8%19.2%1.9%693.5K-22.4M-42.3K0.146.266428818,73210,012
2013-01-11$18.15$17.5022.8%6.5%24.7%36.4%21.7%8.1%1.5%623.8K-23.1M-41.5K0.066.266003619,09610,066
2013-01-14$18.01$17.5021.9%6.3%25.0%33.3%21.8%6.2%2.3%815.5K-21.0M-41.3K5.386.2217393119,00110,099
2013-01-15$17.89$17.5020.9%6.0%24.9%30.0%20.9%30.4%4.1%845.0K-20.8M-40.6K0.285.142807819,02010,945
2013-01-16$17.80$17.5021.1%6.0%25.0%30.7%21.1%3.9%3.1%947.3K-19.0M-41.9K0.716.7619714019,07010,984
2013-01-17$18.26$17.5021.0%6.0%26.3%30.4%21.0%6.8%3.4%353.3K-22.9M-40.7K0.038.867402418,97311,097
2013-01-18$18.14$17.5020.2%5.8%26.5%27.5%20.1%9.2%2.4%253.3K-22.3M-39.4K0.027.234,4287719,18911,119
2013-01-22$18.16$17.5019.3%5.5%26.5%24.7%19.3%4.0%3.6%442.0K-10.4M-41.1K0.156.184927612,9512,881
2013-01-23$18.27$17.5019.7%5.6%26.1%25.9%19.8%5.2%2.1%452.1K-11.0M-41.6K0.1111.426246813,3482,925
2013-01-24$17.81$17.5018.0%5.2%28.1%20.4%18.0%2.5%4.4%444.4K-9.2M-40.3K2.945.885801,70313,4502,992
2013-01-25$17.75$17.5019.4%5.6%28.2%25.1%19.4%2.7%2.3%300.5K-7.4M-43.9K0.324.352156813,4064,626
2013-01-28$17.52$17.5018.7%5.4%28.7%22.8%18.7%1.7%2.7%291.1K-6.4M-42.7K0.155.822363613,3344,680
2013-01-29$17.76$17.5020.7%5.9%28.9%29.4%20.7%42.5%1.4%304.9K-7.3M-43.3K0.045.82109413,3284,693
2013-01-30$17.80$17.5019.8%5.7%28.9%26.4%19.8%2.3%2.5%309.0K-7.6M-42.2K0.615.981177113,3394,689
2013-01-31$17.74$17.5020.3%5.8%21.6%27.9%20.3%43.5%2.9%319.8K-7.7M-43.3K0.017.1921,29423813,3224,661