TSM Options History — April 2013

In April 2013, TSM traded between $16.73 and $19.08. ATM implied volatility averaged 26.7%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.3% (HV 20d: 23.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2013-04-10: Highest Volume — 5,730 contracts
  • 2013-04-30: Largest IV spike — 28.3% change
  • 2013-04-09: Highest IV Rank — 66.3%
  • 2013-04-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.66$16.73$19.08$17.08$19.08
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV26.7%19.8%31.8%28.3%25.4%
Expected Move7.5%5.7%8.1%8.1%7.3%
HV 20d23.4%18.1%30.9%18.1%30.9%
HV 60d22.9%20.7%25.5%21.7%25.3%
IV Rank49.5%26.4%66.3%54.8%45.0%
IV Percentile76.6%25.0%92.9%86.5%68.3%
Term Structure-0.1%-2.5%8.5%-2.5%-2.2%
VWIV26.2%19.9%28.8%28.2%25.8%
Skew 25d1.9%-8.5%12.5%-3.2%-8.5%
Skew 10d14.3%-9.4%102.2%-2.8%-9.4%
Call IV 25d22.3%15.0%26.7%26.3%25.6%
Put IV 25d24.2%17.1%29.1%23.1%17.1%
Bid-Ask Spread %6.633.1411.584.766.11
Gamma HHI0.750.520.890.530.80
Net GEX1.1M684.4K1.8M1.2M684.4K
Net DEX-14.7M-40.4M-2.9M-8.0M-25.5M
Net VEX-70.0K-81.8K-58.6K-70.4K-71.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.002.570.400.54
Total Volume1,599.9551015,730101995
Total OI62,829.77326,14783,77176,56529,572

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$17.08$17.5028.3%8.1%18.1%54.8%28.2%-3.2%-2.5%1.2M-8.0M-70.4K0.404.76722968,7717,794
2013-04-02$17.11$17.5025.6%7.3%18.1%45.8%25.3%-2.3%0.1%1.1M-7.5M-68.0K0.364.9636213168,8317,793
2013-04-03$16.74$17.5026.8%7.7%18.6%49.9%26.8%-5.9%-0.7%850.3K-3.4M-62.6K0.366.5240214468,9597,872
2013-04-04$16.83$17.5025.5%7.3%18.7%45.6%19.9%-3.9%-0.3%876.7K-3.9M-61.6K0.007.30242168,9177,893
2013-04-05$16.73$17.5025.2%7.3%18.7%44.4%25.6%4.2%-0.6%833.9K-2.9M-58.6K0.1411.581,35718668,9407,894
2013-04-08$16.84$17.5028.9%7.5%19.0%56.8%27.6%5.9%-0.1%953.1K-4.2M-60.7K0.1410.221932769,6348,027
2013-04-09$16.95$17.5031.8%7.7%19.1%66.3%26.7%6.1%0.2%1.0M-6.1M-64.6K0.024.584,8709069,6748,052
2013-04-10$17.19$17.5030.9%7.5%19.9%63.5%26.0%-0.3%-0.8%1.2M-9.5M-68.7K0.054.985,47925169,7908,141
2013-04-11$17.34$17.5025.2%7.2%19.3%44.5%25.2%1.3%0.1%1.5M-13.5M-81.8K0.144.901,68324074,5778,067
2013-04-12$17.31$17.5025.6%7.3%19.2%45.6%0.0%1.3%-0.2%1.4M-12.3M-76.9K1.925.439718672,2678,231
2013-04-15$16.89$17.5026.6%7.6%19.5%49.0%26.6%-4.1%0.2%1.2M-6.5M-67.8K0.097.032362172,2488,294
2013-04-16$17.24$17.5027.6%7.9%19.4%52.3%27.7%0.4%-0.7%1.4M-10.8M-72.2K0.085.8098872,2938,293
2013-04-17$17.08$17.5027.4%7.9%19.4%51.7%27.4%-1.5%-1.1%1.3M-9.4M-68.3K0.047.283,72716372,2768,285
2013-04-18$17.94$17.5026.9%7.7%26.0%50.1%26.6%5.6%2.0%1.8M-29.9M-66.8K0.3610.253,1051,12773,4627,879
2013-04-19$18.80$17.5024.2%6.9%29.0%41.2%28.8%3.6%1.2%1.0M-40.4M-70.8K0.1111.324,38946475,4778,294
2013-04-22$18.50$17.5027.2%7.8%29.9%51.2%26.1%1.7%-0.2%943.7K-21.5M-73.6K0.335.7540413421,2284,919
2013-04-23$18.28$17.5026.8%7.7%30.2%49.7%26.8%9.0%-1.2%978.7K-20.0M-74.3K0.917.4638134821,5385,050
2013-04-24$18.44$17.5027.6%7.9%30.2%52.4%27.5%9.8%-0.7%953.3K-21.3M-75.1K1.055.0318919921,7505,298
2013-04-25$18.69$17.5028.0%8.0%30.4%53.8%23.3%12.5%-2.1%895.5K-23.3M-74.5K2.576.276471,66021,9095,348
2013-04-26$18.53$17.5026.5%7.6%30.7%48.6%26.4%-0.2%-1.6%898.9K-20.5M-77.0K0.465.2044920822,3306,840
2013-04-29$18.83$17.5019.8%5.7%30.8%26.4%26.3%10.6%8.5%814.4K-23.3M-73.7K0.613.141277822,6526,896
2013-04-30$19.08$17.5025.4%7.3%30.9%45.0%25.8%-8.5%-2.2%684.4K-25.5M-71.8K0.546.1164535022,6826,890