TSM Options History — June 2013

In June 2013, TSM traded between $16.93 and $18.94. ATM implied volatility averaged 26.2%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.5% (HV 20d: 19.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.94.

Notable Days

2013-06-25: Highest Volume — 24,801 contracts
2013-06-13: Largest IV spike — 100.4% change
2013-06-25: Highest IV Rank — 79.9%
2013-06-25: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.15	$16.93	$18.94	$18.71	$18.32
Max Pain	$18.00	$17.50	$20.00	$20.00	$17.50
ATM IV	26.2%	16.0%	33.8%	27.0%	30.7%
Expected Move	8.2%	4.6%	9.7%	7.7%	8.8%
HV 20d	19.7%	15.1%	26.7%	20.2%	26.7%
HV 60d	24.6%	23.3%	26.3%	24.3%	26.3%
IV Rank	50.5%	13.9%	79.9%	50.4%	68.5%
IV Percentile	64.1%	9.1%	96.8%	82.9%	90.1%
Term Structure	-1.9%	-8.1%	16.3%	6.0%	-3.2%
VWIV	29.4%	17.0%	33.8%	24.2%	31.8%
Skew 25d	0.2%	-11.1%	9.7%	0.4%	9.7%
Skew 10d	0.5%	-7.4%	11.1%	1.9%	11.1%
Call IV 25d	25.4%	14.2%	30.5%	26.1%	19.0%
Put IV 25d	25.6%	15.2%	31.6%	26.5%	28.7%
Bid-Ask Spread %	6.87	2.66	14.68	3.18	6.16
Gamma HHI	0.65	0.53	0.80	0.58	0.74
Net GEX	682.2K	451.7K	1.2M	561.6K	1.2M
Net DEX	-10.3M	-33.3M	-283.5K	-9.4M	-33.3M
Net VEX	-81.8K	-239.3K	-47.5K	-59.5K	-239.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.00	3.33	0.18	0.35
Total Volume	1,584.55	13	24,801	137	264
Total OI	28,121.8	23,782	47,336	24,051	47,336

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-06-03	$18.71	$20.00	27.0%	7.7%	20.2%	50.4%	0.0%	0.4%	6.0%	561.6K	-9.4M	-59.5K	0.18	3.18	116	21	17,217	6,834
2013-06-04	$18.94	$20.00	18.5%	5.3%	20.6%	22.1%	24.2%	4.3%	11.2%	552.5K	-10.7M	-58.9K	3.30	2.66	56	185	17,227	6,855
2013-06-05	$18.66	$20.00	16.0%	4.6%	21.1%	13.9%	17.0%	-11.1%	16.3%	544.4K	-9.7M	-58.6K	0.23	4.38	71	16	17,241	6,766
2013-06-06	$18.60	$20.00	16.2%	4.7%	15.1%	14.6%	21.7%	1.9%	15.1%	576.3K	-8.9M	-56.6K	0.14	3.88	76	11	17,257	6,772
2013-06-07	$18.69	$17.50	21.1%	9.0%	15.4%	30.8%	32.3%	-0.1%	-8.1%	575.3K	-9.3M	-56.5K	0.73	7.74	41	30	17,287	6,767
2013-06-10	$18.81	$17.50	17.3%	6.0%	15.8%	18.0%	32.2%	4.5%	-0.4%	580.4K	-10.2M	-54.3K	0.00	8.31	137	0	17,292	6,781
2013-06-11	$18.52	$17.50	18.2%	9.0%	16.1%	21.0%	31.6%	2.3%	-5.3%	606.0K	-8.5M	-53.5K	0.11	8.71	72	8	17,346	6,781
2013-06-12	$18.36	$17.50	16.0%	9.5%	16.2%	13.9%	31.6%	2.1%	-6.1%	592.9K	-7.7M	-53.5K	0.10	13.12	393	40	17,405	6,789
2013-06-13	$18.27	$17.50	32.1%	9.2%	16.2%	67.4%	0.0%	-0.9%	-5.6%	617.2K	-7.2M	-53.3K	0.10	13.56	723	74	17,655	6,811
2013-06-14	$17.99	$17.50	32.1%	9.2%	16.0%	67.3%	30.6%	-4.4%	-7.1%	635.5K	-6.0M	-55.1K	1.22	5.30	406	494	18,265	6,885
2013-06-17	$18.12	$17.50	33.1%	9.5%	16.3%	70.7%	32.0%	-2.4%	-7.8%	650.9K	-6.9M	-55.8K	0.91	5.37	420	384	18,562	7,151
2013-06-18	$18.43	$17.50	31.9%	9.2%	17.8%	73.0%	0.0%	2.4%	-6.8%	660.3K	-9.1M	-56.3K	3.33	5.31	3	10	18,742	7,475
2013-06-19	$17.99	$17.50	31.2%	8.9%	19.3%	70.2%	30.9%	-3.4%	-5.4%	662.4K	-6.6M	-54.8K	2.68	4.41	25	67	18,745	7,475
2013-06-20	$17.41	$17.50	31.6%	9.1%	21.4%	71.7%	31.6%	-1.9%	-5.4%	586.4K	-2.1M	-50.9K	1.41	5.83	258	365	18,603	7,477
2013-06-21	$17.18	$17.50	31.8%	9.1%	21.6%	72.3%	30.9%	-7.1%	-5.2%	544.4K	-283.5K	-49.1K	1.29	7.98	235	303	18,645	7,662
2013-06-24	$16.93	$17.50	23.8%	6.8%	21.6%	43.2%	25.0%	3.5%	-4.5%	451.7K	-2.2M	-47.5K	1.41	14.68	383	539	17,503	6,279
2013-06-25	$17.53	$17.50	33.8%	9.7%	25.4%	79.9%	33.8%	-0.6%	-6.7%	601.4K	-4.0M	-50.9K	0.02	5.56	24,296	505	17,501	6,526
2013-06-26	$17.64	$17.50	31.3%	9.0%	25.1%	70.8%	31.1%	0.7%	-4.6%	1.2M	-25.2M	-233.7K	0.95	6.19	171	163	40,382	6,813
2013-06-27	$17.93	$17.50	31.0%	8.9%	25.9%	69.4%	31.0%	5.0%	-4.8%	1.2M	-29.2M	-237.8K	0.23	5.02	269	61	40,440	6,886
2013-06-28	$18.32	$17.50	30.7%	8.8%	26.7%	68.5%	31.8%	9.7%	-3.2%	1.2M	-33.3M	-239.3K	0.35	6.16	195	69	40,445	6,891