TSM Options History — September 2013

In September 2013, TSM traded between $16.86 and $17.68. ATM implied volatility averaged 25.7%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.5% (HV 20d: 20.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2013-09-20: Highest Volume — 3,308 contracts
  • 2013-09-12: Largest IV spike — 10.7% change
  • 2013-09-30: Highest IV Rank — 63.5%
  • 2013-09-30: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.32$16.86$17.68$16.90$16.96
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV25.7%21.8%29.0%22.4%29.0%
Expected Move7.4%6.2%8.3%6.4%8.3%
HV 20d20.2%19.1%21.9%21.9%19.1%
HV 60d30.4%29.2%31.6%31.3%29.2%
IV Rank51.4%36.9%63.5%39.1%63.5%
IV Percentile70.6%33.7%88.9%38.9%88.9%
Term Structure0.2%-2.4%4.6%2.1%-1.8%
VWIV26.2%21.8%29.0%22.6%29.0%
Skew 25d8.3%0.2%14.0%0.2%10.8%
Skew 10d13.4%-0.5%22.6%-0.5%16.9%
Call IV 25d23.3%18.6%31.5%22.6%27.2%
Put IV 25d31.6%22.8%38.1%22.8%38.1%
Bid-Ask Spread %6.223.3712.437.786.40
Gamma HHI0.470.310.520.520.51
Net GEX874.9K511.2K1.0M919.3K928.3K
Net DEX-35.4M-40.4M-30.1M-30.9M-30.3M
Net VEX-413.7K-423.2K-399.3K-414.2K-399.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.0012.800.050.86
Total Volume943.05953,3082781,249
Total OI73,598.870,90376,10273,44172,375

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$16.90$17.5022.4%6.4%21.9%39.1%22.6%0.2%2.1%919.3K-30.9M-414.2K0.057.782651355,92117,520
2013-09-04$16.86$17.5021.8%6.2%21.3%36.9%21.8%1.1%4.0%924.2K-30.1M-407.1K0.0811.477815955,95417,523
2013-09-05$17.18$17.5022.6%6.5%19.8%39.8%22.6%2.4%4.6%1.0M-34.6M-416.7K0.387.9558421955,95817,554
2013-09-06$17.01$17.5023.8%7.5%20.3%44.2%27.4%6.4%0.4%951.0K-33.0M-412.1K12.8012.43851,08855,73717,598
2013-09-09$17.30$17.5025.8%7.5%20.9%51.6%27.2%9.6%0.0%907.8K-34.3M-412.8K1.856.2630356155,75818,353
2013-09-10$17.48$17.5024.7%7.5%20.4%47.8%26.3%11.3%0.2%855.0K-37.0M-423.2K0.005.80525255,71518,741
2013-09-11$17.44$17.5023.7%7.2%20.3%44.1%24.9%10.0%1.7%831.5K-36.8M-421.5K0.334.761193955,75318,743
2013-09-12$17.28$17.5026.3%7.5%19.9%53.5%26.3%8.5%0.7%809.1K-34.0M-416.9K0.864.58514455,74318,747
2013-09-13$17.33$17.5025.6%7.3%19.7%50.9%25.5%10.4%0.8%813.9K-34.4M-416.0K0.244.672726455,76118,766
2013-09-16$17.62$17.5026.0%7.5%20.1%52.6%26.0%13.0%0.3%833.7K-39.3M-420.9K0.205.822966055,94818,827
2013-09-17$17.68$17.5025.6%7.3%19.3%51.1%25.6%13.5%0.3%856.0K-40.4M-419.4K1.145.488741,00056,02618,841
2013-09-18$17.61$17.5026.2%7.5%19.5%53.3%26.5%2.9%0.1%511.2K-39.0M-419.9K2.886.383861,11256,26119,841
2013-09-19$17.60$17.5027.3%7.8%19.3%57.4%27.3%2.9%-1.7%686.1K-40.0M-417.6K2.555.2014737556,16518,705
2013-09-20$17.31$17.5026.6%7.6%20.1%54.6%27.7%1.8%-0.5%814.2K-34.1M-404.7K1.286.301,4501,85856,17018,600
2013-09-23$17.65$17.5026.5%7.6%20.7%54.4%26.8%12.4%-0.2%970.2K-39.5M-419.6K0.214.52911955,03516,387
2013-09-24$17.56$17.5027.3%7.8%21.0%57.2%27.2%14.0%-1.5%995.3K-38.2M-419.0K0.913.3714012755,03816,370
2013-09-25$17.32$17.5027.1%7.8%20.5%56.4%27.0%12.6%-1.0%970.2K-35.1M-404.2K0.424.982,20192354,54816,355
2013-09-26$17.32$17.5027.4%7.9%19.9%57.7%27.4%12.0%-1.3%979.2K-34.3M-405.8K0.434.89924055,36916,905
2013-09-27$17.07$17.5028.5%8.2%19.1%61.8%28.5%10.6%-2.4%932.0K-32.1M-403.5K0.875.3471962855,42916,936
2013-09-30$16.96$17.5029.0%8.3%19.1%63.5%29.0%10.8%-1.8%928.3K-30.3M-399.3K0.866.4067157855,43916,936