TSM Options History — January 2014

In January 2014, TSM traded between $16.76 and $18.15. ATM implied volatility averaged 27.6%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.8% (HV 20d: 19.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 14.68.

Notable Days

  • 2014-01-08: Highest Volume — 22,076 contracts
  • 2014-01-16: Largest IV drop — 52.7% change
  • 2014-01-13: Highest IV Rank — 100.0%
  • 2014-01-03: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.27$16.76$18.15$17.15$16.92
Max Pain$17.26$15.00$17.50$17.50$17.50
ATM IV27.6%21.4%51.0%26.9%23.5%
Expected Move7.0%6.1%8.0%7.7%6.7%
HV 20d19.9%14.2%25.5%14.8%24.4%
HV 60d18.5%17.2%19.5%18.5%19.5%
IV Rank49.5%24.4%100.0%55.9%29.7%
IV Percentile58.4%20.6%100.0%76.2%39.3%
Term Structure0.4%-3.3%2.4%-1.7%0.2%
VWIV24.2%21.4%27.8%26.9%23.5%
Skew 25d14.7%-4.4%73.5%16.0%-2.0%
Skew 10d28.2%-3.7%130.3%23.3%-3.7%
Call IV 25d22.1%17.1%27.6%25.8%23.7%
Put IV 25d36.9%19.4%93.8%41.8%21.7%
Bid-Ask Spread %10.624.8035.159.7912.11
Gamma HHI0.480.400.590.590.43
Net GEX-1.8M-3.3M-822.7K-933.8K-2.1M
Net DEX15.5M-11.6M31.4M4.2M31.4M
Net VEX-300.5K-381.1K-186.9K-187.9K-376.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.680.05248.281.610.66
Total Volume4,740.42921922,076405219
Total OI86,524.61956,185110,02256,18598,074

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$17.15$17.5026.9%7.7%14.8%55.9%26.9%16.0%-1.7%-933.8K4.2M-187.9K1.619.7915525025,62930,556
2014-01-03$16.95$17.5027.8%8.0%15.3%59.3%27.8%-1.3%-3.3%-853.0K7.1M-188.4K0.059.211,0265625,69530,786
2014-01-06$16.90$15.0029.2%6.9%15.1%64.2%22.6%-4.4%1.4%-822.7K7.6M-186.9K248.2835.156716,63526,32230,789
2014-01-07$16.91$15.0029.4%6.9%14.2%65.2%24.5%3.5%1.9%-1.2M16.2M-244.8K1.554.807401,14626,34745,382
2014-01-08$17.09$17.5030.3%7.6%14.9%68.4%26.6%7.7%0.4%-1.4M13.3M-249.4K2.6012.576,13515,94126,99946,163
2014-01-09$16.76$17.5029.8%7.7%15.8%66.5%26.8%5.3%0.9%-1.9M30.7M-301.0K0.578.781,50285632,07261,114
2014-01-10$16.90$17.5027.5%7.6%16.0%58.0%26.5%4.4%0.6%-2.0M28.4M-303.8K3.1313.3324075133,06961,333
2014-01-13$16.91$17.5039.7%7.8%14.3%100.0%27.6%5.6%0.1%-1.9M25.3M-301.3K0.1414.022,64237433,20061,102
2014-01-14$17.38$17.5040.2%7.5%17.4%100.0%26.1%11.5%0.2%-2.1M16.2M-302.9K0.2614.221,47037634,86861,112
2014-01-15$17.56$17.5051.0%7.3%17.7%100.0%24.9%1.6%-0.7%-1.9M8.3M-295.5K0.908.344,8374,33135,90560,503
2014-01-16$18.15$17.5024.1%6.9%20.9%31.3%24.1%6.5%0.3%-1.3M-11.6M-271.6K5.987.152,55615,27735,03161,184
2014-01-17$17.77$17.5021.9%6.3%22.5%25.8%21.9%2.6%1.2%-3.3M605.6K-325.0K0.197.551,26124534,71975,303
2014-01-21$17.69$17.5022.0%6.3%22.6%25.8%22.0%70.9%1.2%-1.7M9.0M-317.5K1.338.8862783721,82561,657
2014-01-22$17.96$17.5021.5%6.2%23.0%24.6%21.5%48.2%2.4%-1.7M6.2M-315.6K0.499.8934917022,07762,307
2014-01-23$17.70$17.5021.4%6.1%23.7%24.4%21.4%63.2%1.6%-1.8M8.5M-319.1K0.718.6721315122,09262,392
2014-01-24$17.57$17.5022.1%6.3%23.9%26.2%22.1%73.5%1.8%-1.8M11.5M-318.9K31.156.2742713,30022,24462,472
2014-01-27$17.15$17.5022.6%6.5%25.5%27.3%22.6%-0.7%1.3%-2.2M28.0M-370.0K0.319.671,22537622,57772,403
2014-01-28$17.16$17.5023.0%6.6%25.5%28.6%23.0%-0.7%0.1%-2.1M26.6M-371.8K3.106.054291,33223,59972,485
2014-01-29$17.01$17.5023.4%6.7%24.6%29.5%23.5%-1.3%-0.0%-2.2M28.6M-380.7K5.118.5713166923,93473,773
2014-01-30$17.14$17.5023.1%6.6%24.7%28.6%23.1%-0.7%-0.5%-2.2M28.4M-381.1K0.118.052022324,00573,918
2014-01-31$16.92$17.5023.5%6.7%24.4%29.7%23.5%-2.0%0.2%-2.1M31.4M-376.7K0.6612.111328724,15473,920