TSM Options History — November 2013

In November 2013, TSM traded between $17.02 and $18.47. ATM implied volatility averaged 19.7%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.7% (HV 20d: 18.1%). 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 19 of 20 days. Put/call ratio averaged 2.80.

Notable Days

2013-11-11: Highest Volume — 4,788 contracts
2013-11-14: Largest IV spike — 20.8% change
2013-11-20: Highest IV Rank — 42.4%
2013-11-04: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.73	$17.02	$18.47	$18.47	$17.73
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	19.7%	14.8%	23.3%	20.1%	22.6%
Expected Move	6.3%	5.7%	7.1%	5.7%	6.5%
HV 20d	18.1%	13.1%	21.8%	21.2%	17.7%
HV 60d	20.0%	19.4%	20.5%	19.9%	19.4%
IV Rank	29.2%	10.9%	42.4%	30.5%	40.1%
IV Percentile	21.3%	4.0%	44.0%	16.3%	40.1%
Term Structure	2.3%	-0.2%	4.2%	-0.2%	1.6%
VWIV	21.9%	20.3%	22.9%	22.5%	22.6%
Skew 25d	10.6%	-2.5%	80.6%	-2.5%	71.2%
Skew 10d	18.6%	0.6%	138.2%	4.9%	138.2%
Call IV 25d	18.6%	13.7%	23.2%	17.4%	19.3%
Put IV 25d	29.2%	15.0%	99.5%	15.0%	90.5%
Bid-Ask Spread %	10.50	4.71	27.81	4.71	6.81
Gamma HHI	0.36	0.26	0.42	0.39	0.27
Net GEX	825.2K	477.0K	1.0M	1.0M	560.3K
Net DEX	-34.6M	-44.0M	-24.5M	-44.0M	-32.0M
Net VEX	-401.4K	-415.0K	-378.5K	-415.0K	-407.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.80	0.06	15.61	1.82	2.26
Total Volume	865.4	48	4,788	48	150
Total OI	73,798.1	69,516	79,643	69,518	79,643

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
2013-11-01	$18.47	$17.50	20.1%	5.7%	21.2%	30.5%	0.0%	-2.5%	-0.2%	1.0M	-44.0M	-415.0K	1.82	4.71	17	31	52,617	16,901
2013-11-04	$18.34	$17.50	18.9%	7.1%	21.4%	26.1%	0.0%	1.5%	1.5%	980.9K	-42.6M	-411.4K	0.18	9.61	230	41	52,610	16,907
2013-11-05	$18.08	$17.50	18.8%	6.4%	21.8%	25.9%	22.5%	0.5%	2.5%	957.6K	-39.6M	-404.7K	1.74	20.22	77	134	52,614	16,902
2013-11-06	$18.27	$17.50	16.2%	6.3%	21.5%	16.1%	22.0%	8.8%	2.3%	973.5K	-41.4M	-402.2K	0.69	21.91	59	41	52,612	16,970
2013-11-07	$18.13	$17.50	15.0%	6.6%	20.3%	11.6%	22.9%	7.3%	1.5%	959.1K	-40.5M	-403.4K	1.46	21.54	307	447	52,632	16,976
2013-11-08	$18.01	$17.50	14.8%	6.5%	18.7%	10.9%	22.5%	7.0%	2.2%	923.2K	-38.5M	-401.6K	1.19	5.76	372	441	52,699	17,305
2013-11-11	$17.73	$17.50	16.9%	6.3%	19.4%	18.7%	22.1%	6.2%	3.1%	891.5K	-36.1M	-397.2K	0.40	7.21	3,431	1,357	52,972	17,622
2013-11-12	$17.81	$17.50	16.5%	6.5%	19.3%	17.4%	22.8%	5.0%	2.2%	918.1K	-36.1M	-406.4K	14.71	7.28	45	662	55,871	18,599
2013-11-13	$17.61	$17.50	18.6%	6.5%	19.4%	25.1%	22.6%	3.8%	3.0%	928.3K	-34.2M	-401.9K	0.31	9.20	189	59	55,872	18,501
2013-11-14	$17.50	$17.50	22.5%	6.4%	17.6%	39.5%	22.5%	2.8%	1.7%	946.0K	-32.8M	-400.1K	4.52	7.25	64	289	55,806	18,423
2013-11-15	$17.66	$17.50	21.4%	6.1%	15.5%	35.3%	21.4%	5.2%	3.6%	957.6K	-35.2M	-398.5K	0.45	7.10	711	321	55,852	18,423
2013-11-18	$17.70	$17.50	22.2%	6.4%	15.6%	38.3%	22.2%	4.7%	2.1%	895.1K	-35.7M	-397.2K	0.07	10.08	153	11	55,611	18,271
2013-11-19	$17.57	$17.50	22.3%	6.4%	14.9%	38.6%	22.3%	2.1%	2.4%	871.1K	-34.5M	-395.3K	0.15	6.21	124	18	55,655	18,277
2013-11-20	$17.55	$17.50	23.3%	6.7%	13.1%	42.4%	0.0%	3.3%	0.7%	881.2K	-33.4M	-399.0K	0.09	27.81	173	15	55,757	18,287
2013-11-21	$17.02	$17.50	20.3%	5.8%	16.3%	31.2%	20.3%	1.0%	4.2%	764.4K	-26.6M	-378.5K	7.12	8.61	402	2,864	55,857	18,292
2013-11-22	$17.13	$17.50	20.5%	5.9%	16.6%	32.2%	20.5%	0.5%	3.1%	607.6K	-26.0M	-389.2K	15.61	7.94	195	3,044	55,970	20,245
2013-11-25	$17.17	$17.50	21.2%	6.1%	16.2%	34.6%	21.2%	2.5%	2.8%	477.0K	-24.5M	-400.5K	2.73	7.60	184	502	56,007	23,200
2013-11-26	$17.46	$17.50	21.8%	6.3%	17.3%	37.1%	21.8%	1.5%	1.7%	502.7K	-28.4M	-408.1K	0.36	6.39	70	25	56,081	23,507
2013-11-27	$17.58	$17.50	20.8%	6.0%	17.5%	33.3%	20.8%	80.6%	3.3%	497.8K	-29.8M	-411.0K	0.06	6.76	50	3	56,101	23,515
2013-11-29	$17.73	$17.50	22.6%	6.5%	17.7%	40.1%	22.6%	71.2%	1.6%	560.3K	-32.0M	-407.1K	2.26	6.81	46	104	56,125	23,518