TSM Options History — December 2013

In December 2013, TSM traded between $16.99 and $17.62. ATM implied volatility averaged 24.4%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 7.2% (HV 20d: 17.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 6.71.

Notable Days

  • 2013-12-13: Highest Volume — 38,555 contracts
  • 2013-12-09: Largest IV spike — 17.2% change
  • 2013-12-31: Highest IV Rank — 57.7%
  • 2013-12-31: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.29$16.99$17.62$17.40$17.44
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV24.4%21.8%27.4%21.9%27.4%
Expected Move7.1%6.3%7.9%6.3%7.9%
HV 20d17.3%13.9%19.2%18.6%13.9%
HV 60d19.1%17.9%19.8%19.7%18.2%
IV Rank46.8%36.8%57.7%37.2%57.7%
IV Percentile55.3%28.6%79.8%31.7%79.8%
Term Structure1.3%-2.0%3.5%2.6%-2.0%
VWIV24.3%18.8%27.4%21.9%27.4%
Skew 25d-1.4%-9.1%3.6%3.1%1.2%
Skew 10d-2.1%-15.8%5.6%4.8%2.0%
Call IV 25d25.0%21.1%32.2%21.1%23.9%
Put IV 25d23.6%21.4%26.9%24.2%25.1%
Bid-Ask Spread %13.237.3134.357.348.72
Gamma HHI0.310.210.620.260.58
Net GEX132.7K-1.1M477.4K453.0K-918.9K
Net DEX-19.2M-30.1M5.1M-27.6M1.5M
Net VEX-347.3K-421.9K-189.2K-402.9K-189.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.710.0044.270.250.13
Total Volume2,915.2382838,555335842
Total OI75,440.28650,56590,68779,75355,624

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$17.40$17.5021.9%6.3%18.6%37.2%21.9%3.1%2.6%453.0K-27.6M-402.9K0.257.342676856,13523,618
2013-12-03$17.53$17.5022.5%6.4%18.9%39.5%22.5%1.2%2.2%477.4K-28.3M-406.7K0.038.17154556,22123,649
2013-12-04$17.54$17.5022.3%6.4%18.3%38.8%22.3%0.9%2.6%449.8K-29.4M-403.9K0.759.85161256,18823,650
2013-12-05$17.40$17.5023.0%6.6%17.9%41.4%23.0%3.6%1.8%430.8K-28.4M-399.3K0.068.955923556,20423,660
2013-12-06$17.62$17.5021.8%7.1%18.6%36.8%27.2%-5.3%1.8%445.8K-29.8M-400.9K1.3616.5616222056,73923,658
2013-12-09$17.57$17.5025.5%7.1%18.5%50.7%24.8%-5.6%1.7%463.9K-30.1M-398.4K1.6914.806511056,75523,586
2013-12-10$17.37$17.5024.5%7.2%18.1%47.0%21.3%-6.8%1.8%405.1K-27.3M-397.9K0.0014.9656056,76123,696
2013-12-11$17.48$17.5023.6%7.1%18.2%43.8%18.8%-5.9%2.1%385.6K-28.9M-399.1K0.0613.7371456,77823,696
2013-12-12$17.12$17.5024.8%7.1%19.2%48.0%26.3%-7.0%2.0%350.1K-24.6M-386.3K0.557.311025656,79023,700
2013-12-13$17.08$17.5024.2%6.9%19.1%46.0%23.9%0.3%2.6%359.8K-22.8M-384.5K0.018.3938,07448156,79923,630
2013-12-16$17.11$17.5025.6%7.4%18.7%51.2%25.6%-9.1%1.3%425.3K-27.2M-421.9K8.2115.083932066,60224,085
2013-12-17$17.08$17.5025.9%7.4%18.7%52.0%25.4%-0.9%1.3%301.6K-24.7M-380.3K27.6934.351022,82458,28824,094
2013-12-18$17.00$17.5022.8%6.5%18.6%40.5%22.5%-0.2%3.5%305.1K-18.8M-383.4K1.1521.7821424758,16126,893
2013-12-19$17.05$17.5024.4%7.0%18.7%46.4%24.3%-0.1%2.1%387.1K-21.2M-381.3K25.9323.341122,90458,08826,121
2013-12-20$16.99$17.5025.8%7.4%15.2%51.8%25.6%0.1%-0.2%205.8K-17.7M-387.3K1.1221.619041,01058,19028,900
2013-12-23$17.14$17.5025.1%7.2%15.4%49.1%25.1%-1.7%-0.8%408.4K-23.0M-391.8K2.559.0336894056,21725,926
2013-12-24$17.19$17.5024.4%7.0%15.4%46.8%24.3%-1.1%1.4%-298.0K62.0K-194.6K0.149.38711024,84926,287
2013-12-26$17.18$17.5026.1%7.5%14.1%52.8%26.1%-1.4%-0.2%-289.0K-512.1K-189.2K44.279.161456,41924,87825,687
2013-12-27$17.26$17.5026.9%7.7%13.9%55.9%26.9%1.3%-1.2%-902.7K5.1M-198.3K2.217.51286224,90431,800
2013-12-30$17.58$17.5025.0%7.2%15.2%48.7%25.0%3.1%1.5%-1.1M1.4M-195.9K22.737.811312,97824,91431,825
2013-12-31$17.44$17.5027.4%7.9%13.9%57.7%27.4%1.2%-2.0%-918.9K1.5M-189.6K0.138.727439925,00330,621