TSM Options History — August 2013

In August 2013, TSM traded between $15.75 and $17.25. ATM implied volatility averaged 24.6%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 5.0% (HV 20d: 29.6%). 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 20 of 22 days. Put/call ratio averaged 1.40.

Notable Days

  • 2013-08-15: Highest Volume — 3,759 contracts
  • 2013-08-26: Largest IV spike — 60.4% change
  • 2013-08-14: Highest IV Rank — 99.2%
  • 2013-08-16: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.26$15.75$17.25$17.25$16.56
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV24.6%14.5%38.6%20.7%23.4%
Expected Move7.0%4.1%7.7%5.9%6.7%
HV 20d29.6%19.5%42.6%41.8%20.6%
HV 60d30.4%30.0%31.0%30.7%31.0%
IV Rank47.4%9.8%99.2%32.8%42.8%
IV Percentile60.7%5.6%99.6%31.0%49.6%
Term Structure2.1%-3.3%11.9%2.6%3.4%
VWIV22.1%13.1%26.5%20.7%22.7%
Skew 25d2.7%-7.0%12.6%-0.9%-3.8%
Skew 10d4.3%-9.4%15.6%-2.1%-5.0%
Call IV 25d20.7%13.6%27.9%21.5%23.5%
Put IV 25d23.4%13.9%26.9%20.7%19.7%
Bid-Ask Spread %7.923.2313.364.8611.17
Gamma HHI0.480.440.520.510.49
Net GEX755.9K604.6K974.5K974.5K821.3K
Net DEX-22.9M-31.4M-18.0M-31.4M-28.0M
Net VEX-383.1K-403.7K-359.8K-399.0K-403.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.097.510.390.56
Total Volume777283,7592,76728
Total OI70,785.59166,27874,44766,27873,432

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$17.25$17.5020.7%5.9%41.8%32.8%20.7%-0.9%2.6%974.5K-31.4M-399.0K0.394.861,98877952,36113,917
2013-08-02$16.80$17.5026.3%7.5%42.6%53.4%0.0%-4.1%-3.3%921.5K-27.9M-393.9K0.136.802082853,52314,198
2013-08-05$16.82$17.5018.1%6.7%41.1%23.2%23.4%5.3%1.3%923.2K-26.9M-383.8K1.6413.3614523853,28414,197
2013-08-06$16.59$17.5023.8%6.7%40.8%44.2%23.4%4.5%2.2%869.4K-25.7M-381.8K0.647.3143327653,41614,282
2013-08-07$16.17$17.5027.9%7.6%41.5%59.5%26.5%2.7%1.2%780.0K-20.8M-366.8K2.997.0918756053,47514,516
2013-08-08$16.22$17.5021.5%7.4%38.4%35.8%22.9%2.3%2.6%726.5K-21.0M-367.2K1.3811.059613253,61815,035
2013-08-09$16.21$17.5023.1%7.6%38.5%41.9%23.5%1.8%0.9%717.8K-21.0M-367.3K0.7512.01856453,68515,105
2013-08-12$16.05$17.5024.2%7.6%38.5%45.9%24.5%3.6%1.6%693.5K-19.6M-360.9K6.095.902021,23153,72615,169
2013-08-13$16.27$17.5029.3%6.8%39.0%64.8%24.4%2.0%1.6%742.1K-20.2M-359.8K4.758.532201,04453,87815,423
2013-08-14$16.06$17.5038.6%7.2%39.0%99.2%21.7%1.9%3.6%692.4K-20.2M-368.0K0.957.0854652054,03116,430
2013-08-15$16.00$17.5025.2%7.2%22.0%49.4%13.1%9.0%3.0%682.3K-18.0M-371.1K0.099.113,43432554,17916,919
2013-08-16$15.97$17.5027.0%7.7%21.1%56.1%26.4%12.6%1.5%708.2K-21.7M-391.2K0.956.0332731157,25417,193
2013-08-19$15.81$17.5025.8%7.4%21.0%51.9%18.1%10.1%1.7%675.8K-21.4M-389.7K0.435.461717355,35216,336
2013-08-20$15.83$17.5026.2%7.5%20.8%53.3%26.2%10.3%0.8%683.7K-20.7M-387.8K7.516.351491,11955,44016,385
2013-08-21$15.75$17.5026.2%7.5%19.5%53.2%0.0%10.0%0.8%604.6K-19.3M-386.8K0.316.40842655,47617,359
2013-08-22$16.06$17.5024.3%7.0%20.7%46.4%0.0%9.4%3.3%677.1K-21.4M-390.5K0.2011.101703455,53617,385
2013-08-23$16.22$17.5014.5%4.1%20.6%9.8%13.2%0.2%11.9%737.8K-23.1M-388.4K0.454.211265755,53717,419
2013-08-26$16.26$17.5023.2%6.7%20.3%42.2%21.1%-5.2%1.0%738.3K-23.9M-389.8K0.094.572182055,65017,423
2013-08-27$15.98$17.5025.9%7.4%20.0%52.3%23.6%-2.8%1.6%675.2K-21.3M-387.8K0.1411.541051555,72917,443
2013-08-28$16.26$17.5024.2%6.9%21.2%45.7%0.0%-7.0%-0.6%735.8K-23.5M-389.2K0.223.2327655,83017,447
2013-08-29$16.67$17.5022.1%6.3%22.5%38.1%22.1%-2.2%3.8%848.9K-28.0M-403.7K0.2011.061,07521255,84317,447
2013-08-30$16.56$17.5023.4%6.7%20.6%42.8%22.7%-3.8%3.4%821.3K-28.0M-403.6K0.5611.17181055,91717,515