TSM Options History — October 2013

In October 2013, TSM traded between $17.26 and $19.16. ATM implied volatility averaged 26.6%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.7% (HV 20d: 20.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.75.

Notable Days

  • 2013-10-09: Highest Volume — 3,523 contracts
  • 2013-10-29: Largest IV drop — 34.6% change
  • 2013-10-09: Highest IV Rank — 94.7%
  • 2013-10-16: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.21$17.26$19.16$17.42$18.41
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV26.6%16.0%37.4%29.6%19.3%
Expected Move7.4%4.6%8.8%8.5%5.5%
HV 20d20.9%18.3%22.8%20.1%21.3%
HV 60d23.5%19.9%28.9%28.9%19.9%
IV Rank54.7%15.5%94.7%66.0%27.6%
IV Percentile64.8%4.8%98.8%90.1%12.3%
Term Structure0.4%-3.2%9.2%-2.4%-0.9%
VWIV25.9%17.7%29.8%29.6%25.2%
Skew 25d5.2%-5.6%15.7%14.5%-3.8%
Skew 10d10.4%-4.8%72.6%22.9%4.9%
Call IV 25d20.5%13.4%27.7%25.4%17.4%
Put IV 25d25.7%13.6%41.0%40.0%13.6%
Bid-Ask Spread %5.723.6410.697.264.57
Gamma HHI0.420.330.510.510.39
Net GEX968.3K736.2K1.1M994.4K986.2K
Net DEX-44.3M-58.7M-34.9M-35.4M-43.8M
Net VEX-417.0K-429.0K-403.0K-407.3K-414.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.0412.150.780.43
Total Volume868.8261223,5231,248181
Total OI74,192.08768,36381,24273,52369,551

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$17.42$17.5029.6%8.5%20.1%66.0%29.6%14.5%-2.4%994.4K-35.4M-407.3K0.787.2670154755,97017,553
2013-10-02$17.47$17.5029.8%8.5%20.1%66.7%29.8%15.7%-3.2%1.0M-36.6M-409.7K0.083.835023856,56418,066
2013-10-03$17.70$17.5029.3%8.4%19.5%64.8%29.3%5.4%-2.9%1.1M-40.0M-417.8K0.195.0288917356,85418,091
2013-10-04$17.68$17.5031.3%7.7%19.1%72.0%27.1%5.5%-0.3%1.1M-39.6M-418.5K0.403.732098357,38218,192
2013-10-07$17.62$17.5031.1%7.9%18.3%71.3%27.4%5.2%0.2%1.1M-39.2M-417.4K0.873.9127924357,43018,222
2013-10-08$17.46$17.5033.0%8.3%18.3%78.3%29.1%3.5%-1.6%1.0M-37.4M-410.8K0.825.4539031957,58718,397
2013-10-09$17.26$17.5037.4%8.4%18.7%94.7%0.0%10.1%-1.8%1.0M-34.9M-403.0K12.153.882683,25557,50918,336
2013-10-10$17.67$17.5029.5%8.5%20.2%65.5%29.5%14.8%-1.6%782.8K-37.7M-417.3K0.163.643766057,66520,791
2013-10-11$18.09$17.5029.0%8.3%21.7%63.7%26.2%0.9%-1.4%837.3K-44.8M-419.1K1.684.177641,28157,66820,794
2013-10-14$18.01$17.5029.7%8.5%21.2%66.4%29.7%8.8%-1.7%738.6K-42.8M-412.9K11.524.621341,54457,62021,608
2013-10-15$18.15$17.5028.6%8.2%21.3%62.3%27.2%0.6%-0.4%736.2K-44.6M-426.3K0.044.418083657,64023,062
2013-10-16$18.28$17.5030.7%8.8%21.3%69.9%28.5%1.5%-2.8%764.3K-47.2M-429.0K0.4510.521,13251158,16523,077
2013-10-17$18.65$17.5026.0%7.5%22.2%52.6%23.4%3.9%0.3%963.7K-54.6M-420.3K0.328.2156317958,06322,985
2013-10-18$19.08$17.5020.0%5.7%22.0%30.2%20.7%3.7%4.5%1.0M-58.7M-427.6K0.146.3494413358,01523,106
2013-10-21$18.98$17.5022.2%6.4%21.6%38.4%22.2%2.8%2.3%1.0M-50.2M-423.5K1.065.6115116052,03316,344
2013-10-22$19.16$17.5023.3%6.7%21.4%42.5%24.2%-5.6%0.7%1.0M-52.2M-422.4K1.145.4731435952,04516,318
2013-10-23$18.72$17.5027.1%7.8%22.7%56.5%24.4%1.6%-1.6%1.0M-47.3M-417.6K0.3010.6973121652,16016,230
2013-10-24$18.68$17.5025.8%7.4%22.8%51.8%23.2%10.3%-1.5%1.0M-47.0M-416.2K1.3110.6117623152,52916,374
2013-10-25$18.47$17.5020.5%5.9%22.4%32.3%24.8%10.7%8.6%1.0M-44.3M-418.9K1.187.2913115452,65116,356
2013-10-28$18.61$17.5025.6%7.3%22.1%50.9%25.5%8.5%-1.0%1.0M-46.1M-414.7K0.183.661061952,63716,474
2013-10-29$18.77$17.5016.7%4.8%20.6%18.1%0.0%0.1%9.2%1.1M-47.9M-414.2K0.943.93635952,64216,474
2013-10-30$18.58$17.5016.0%4.6%21.2%15.5%17.7%0.3%7.7%1.0M-45.7M-413.3K4.144.7411146052,68616,502
2013-10-31$18.41$17.5019.3%5.5%21.3%27.6%25.2%-3.8%-0.9%986.2K-43.8M-414.1K0.434.571275452,68216,869