TSM Options History — July 2013

In July 2013, TSM traded between $16.49 and $18.54. ATM implied volatility averaged 29.0%, placing in the 64.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 6.7% (HV 20d: 35.7%). 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 8 of 22 days. Put/call ratio averaged 3.60.

Notable Days

  • 2013-07-09: Highest Volume — 18,521 contracts
  • 2013-07-11: Largest IV drop — 25.2% change
  • 2013-07-10: Highest IV Rank — 100.0%
  • 2013-07-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.60$16.49$18.54$18.45$16.98
Max Pain$18.86$17.50$20.00$17.50$17.50
ATM IV29.0%21.5%38.8%32.5%21.5%
Expected Move7.9%6.2%10.3%9.3%6.2%
HV 20d35.7%26.5%45.0%26.8%41.7%
HV 60d28.3%23.9%30.6%26.3%30.5%
IV Rank64.5%36.0%100.0%75.1%36.0%
IV Percentile81.2%39.3%100.0%97.2%39.3%
Term Structure-1.1%-10.5%2.2%-5.2%2.2%
VWIV26.8%15.3%51.3%33.3%21.5%
Skew 25d-0.2%-6.4%7.6%-2.4%-1.1%
Skew 10d-0.1%-6.9%10.3%-4.5%-2.9%
Call IV 25d25.2%18.1%35.1%33.3%21.8%
Put IV 25d25.0%18.2%32.6%30.9%20.7%
Bid-Ask Spread %6.103.858.986.486.66
Gamma HHI0.660.480.950.730.49
Net GEX1.1M812.9K1.6M1.3M855.6K
Net DEX-33.5M-51.8M-20.0M-35.0M-28.3M
Net VEX-340.2K-397.3K-235.6K-237.3K-392.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.600.0025.240.1812.74
Total Volume2,767.90917618,5217022,913
Total OI62,597.95547,32572,39247,32566,585

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$18.45$17.5032.5%9.3%26.8%75.1%33.3%-2.4%-5.2%1.3M-35.0M-237.3K0.186.4859710540,4276,898
2013-07-02$18.50$17.5036.0%10.3%26.5%94.5%51.3%-3.3%-10.5%1.2M-35.4M-238.5K1.427.062,7143,85640,8136,978
2013-07-03$18.12$17.5030.8%8.8%26.9%74.1%30.8%7.6%-4.1%1.1M-27.1M-243.7K0.215.4573915840,14610,651
2013-07-05$18.21$20.0033.5%7.9%27.0%84.6%27.3%0.3%-0.2%1.1M-29.6M-243.9K0.236.681954440,74910,554
2013-07-08$17.60$20.0035.0%8.2%29.3%90.6%15.7%4.9%-1.0%1.2M-22.3M-235.6K1.063.931,0991,17040,71810,470
2013-07-09$17.84$20.0034.9%8.0%29.7%90.1%15.3%7.0%-0.7%1.3M-27.3M-237.7K0.003.8518,5012041,6429,437
2013-07-10$17.84$20.0038.8%8.3%29.4%100.0%29.1%7.0%-1.4%1.6M-42.0M-386.6K25.244.06621,56560,1299,439
2013-07-11$18.54$20.0029.0%8.3%32.5%63.8%27.6%1.6%-1.1%1.4M-51.8M-397.3K0.596.0423213760,14010,518
2013-07-12$18.44$20.0028.9%8.3%32.5%63.4%27.5%1.5%-1.3%1.4M-50.4M-395.5K2.198.4316235560,13710,634
2013-07-15$18.40$20.0029.6%8.5%32.0%65.9%28.4%1.1%-2.8%1.4M-49.6M-391.0K10.137.098384160,12510,747
2013-07-16$18.43$20.0028.3%8.1%31.9%61.1%28.2%0.9%-0.7%1.4M-49.8M-390.3K0.788.98997760,17110,997
2013-07-17$18.45$20.0030.7%8.8%31.3%70.0%29.3%2.5%-3.3%1.4M-50.5M-388.7K0.076.861,81512860,21511,027
2013-07-18$16.81$20.0027.9%8.0%45.0%59.4%27.1%-5.3%-2.2%1.3M-22.0M-344.3K0.985.182,6682,61661,69510,091
2013-07-19$16.49$20.0027.8%8.0%44.1%59.2%28.2%4.8%-0.9%845.1K-20.0M-331.7K1.607.791,6912,69962,9919,401
2013-07-22$16.62$20.0023.6%6.8%44.0%43.6%24.2%-5.3%0.8%931.1K-25.3M-337.3K0.196.741,30825350,5356,760
2013-07-23$16.74$17.5024.8%7.1%43.9%48.2%20.8%-6.4%0.2%985.4K-29.2M-341.3K13.215.474726,23451,5495,651
2013-07-24$17.02$17.5024.3%7.0%42.4%46.2%24.2%-3.6%1.8%909.3K-30.2M-384.2K4.454.636452,86951,61211,393
2013-07-25$17.18$17.5024.6%7.0%42.4%47.2%24.6%-2.0%2.1%835.7K-29.9M-396.7K0.044.957133251,73814,037
2013-07-26$16.90$17.5024.5%7.0%42.2%47.1%24.5%-4.7%1.6%839.1K-27.8M-394.0K2.175.6912126352,29114,025
2013-07-29$16.70$17.5025.3%7.3%41.3%50.0%25.2%-5.5%1.1%812.9K-25.6M-384.1K1.226.4913216152,30414,165
2013-07-30$16.97$17.5024.9%7.1%41.8%48.4%24.9%-3.3%1.4%851.0K-27.8M-392.0K0.435.5724510552,26414,306
2013-07-31$16.98$17.5021.5%6.2%41.7%36.0%21.5%-1.1%2.2%855.6K-28.3M-392.8K12.746.662122,70152,24914,336