TSM Options History — May 2013

In May 2013, TSM traded between $18.66 and $20.21. ATM implied volatility averaged 23.3%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.7% (HV 20d: 26.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2013-05-08: Highest Volume — 1,901 contracts
  • 2013-05-31: Largest IV drop — 20.2% change
  • 2013-05-13: Highest IV Rank — 44.5%
  • 2013-05-01: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.42$18.66$20.21$19.11$18.66
Max Pain$19.66$17.50$20.00$17.50$20.00
ATM IV23.3%19.1%25.2%25.2%19.1%
Expected Move6.7%5.5%7.2%7.2%5.5%
HV 20d26.0%20.2%31.9%29.2%20.2%
HV 60d25.1%23.9%26.4%25.2%24.3%
IV Rank38.0%24.1%44.5%44.3%24.1%
IV Percentile52.4%18.3%65.9%64.3%18.3%
Term Structure2.2%-1.7%7.3%-1.7%6.8%
VWIV23.4%20.6%26.6%20.6%24.7%
Skew 25d-2.5%-10.4%5.3%-7.0%-10.4%
Skew 10d0.3%-8.9%48.3%-8.6%-8.9%
Call IV 25d21.1%15.9%24.9%24.9%24.7%
Put IV 25d18.6%14.3%24.4%17.8%14.3%
Bid-Ask Spread %5.622.6212.666.382.62
Gamma HHI0.580.460.780.780.58
Net GEX467.4K319.5K667.3K667.3K544.1K
Net DEX-22.4M-33.7M-9.3M-26.1M-9.3M
Net VEX-63.4K-71.4K-59.3K-71.4K-59.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.013.091.010.10
Total Volume522.545901,901324376
Total OI27,857.36422,26932,14629,79623,857

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$19.11$17.5025.2%7.2%29.2%44.3%20.6%-7.0%-1.7%667.3K-26.1M-71.4K1.016.3816116322,8436,953
2013-05-02$19.53$17.5022.5%6.5%29.7%35.5%22.5%-2.6%0.8%430.5K-29.0M-67.3K3.094.9520563322,9467,024
2013-05-03$19.41$17.5023.0%6.6%29.7%37.0%22.9%-3.0%0.2%497.6K-28.4M-69.0K0.468.021346222,9867,466
2013-05-06$19.55$20.0022.7%6.7%29.7%36.2%23.5%5.3%1.1%424.4K-29.5M-65.9K0.753.1020415423,0127,500
2013-05-07$19.47$20.0023.4%6.7%30.0%38.4%23.4%4.2%0.7%446.9K-29.0M-65.0K0.293.773179323,0697,515
2013-05-08$20.21$20.0023.7%6.7%31.8%39.3%23.3%2.7%2.1%319.5K-33.6M-61.0K0.173.891,62028122,9817,604
2013-05-09$20.21$20.0023.7%6.5%31.9%39.4%22.6%2.5%2.5%411.5K-33.7M-61.9K1.813.6521639023,6827,814
2013-05-10$20.17$20.0023.7%6.6%31.9%39.3%21.1%2.0%2.3%394.5K-33.1M-61.7K0.514.0137018823,6107,920
2013-05-13$19.93$20.0025.2%6.8%30.5%44.5%0.0%0.9%2.5%402.8K-30.8M-61.3K0.074.903642623,4218,020
2013-05-14$19.89$20.0023.4%6.7%30.4%38.5%23.5%-0.9%2.4%428.6K-30.6M-61.5K0.084.016765523,4817,978
2013-05-15$19.80$20.0022.3%6.9%30.1%34.6%24.2%-2.4%2.2%462.0K-29.8M-65.0K0.123.583293824,0118,015
2013-05-16$19.45$20.0023.3%6.7%27.0%38.1%23.3%-4.3%2.5%441.5K-27.1M-63.8K0.305.7437911223,9528,015
2013-05-17$19.51$20.0023.0%6.6%21.8%37.2%21.7%-2.1%2.8%446.9K-27.6M-64.4K0.533.741146024,1248,022
2013-05-20$19.37$20.0022.8%6.5%21.0%36.3%23.6%-4.2%3.2%444.3K-13.5M-63.0K0.014.931,046816,1266,143
2013-05-21$19.23$20.0022.6%6.5%20.6%35.7%23.3%-5.9%3.6%484.3K-12.9M-63.9K0.584.7942724716,5806,145
2013-05-22$18.89$20.0024.3%7.0%21.7%41.6%23.5%-9.6%0.8%502.0K-10.9M-62.1K1.155.3917620316,4936,367
2013-05-23$18.75$20.0023.3%6.7%21.4%38.2%23.5%-0.2%7.3%516.7K-10.0M-61.9K0.6712.5837024716,6166,377
2013-05-24$18.86$20.0023.3%6.7%21.2%38.0%25.4%0.8%1.8%504.0K-10.7M-62.0K0.2112.661252616,7866,536
2013-05-28$19.05$20.0023.6%6.8%20.8%39.0%23.9%-6.8%1.1%504.6K-12.0M-60.5K1.017.5827227516,8406,557
2013-05-29$19.24$20.0024.1%6.9%20.5%40.7%23.9%-7.2%2.2%486.8K-12.7M-62.1K0.047.042541016,8706,801
2013-05-30$18.97$20.0023.9%6.9%21.2%40.2%26.6%-7.2%1.1%521.1K-11.3M-60.8K0.206.30751517,0076,797
2013-05-31$18.66$20.0019.1%5.5%20.2%24.1%24.7%-10.4%6.8%544.1K-9.3M-59.3K0.102.623413517,0456,812