TSM Options History — February 2014

In February 2014, TSM traded between $16.46 and $18.07. ATM implied volatility averaged 21.8%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.0% (HV 20d: 22.8%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 8.01.

Notable Days

2014-02-14: Highest Volume — 10,389 contracts
2014-02-04: Largest IV drop — 13.5% change
2014-02-28: Highest IV Rank — 30.5%
2014-02-28: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.46	$16.46	$18.07	$16.77	$18.07
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	21.8%	19.6%	23.8%	22.6%	23.8%
Expected Move	6.3%	5.6%	6.8%	6.5%	6.8%
HV 20d	22.8%	18.4%	27.3%	24.3%	18.4%
HV 60d	20.1%	19.2%	20.9%	19.3%	19.3%
IV Rank	25.5%	19.7%	30.5%	27.4%	30.5%
IV Percentile	23.2%	11.9%	46.0%	29.0%	46.0%
Term Structure	1.6%	-0.7%	3.2%	2.4%	0.6%
VWIV	21.8%	16.0%	23.7%	22.9%	23.7%
Skew 25d	9.8%	-7.5%	74.0%	-0.6%	4.0%
Skew 10d	21.7%	-5.1%	130.0%	-1.5%	5.2%
Call IV 25d	20.8%	17.3%	25.0%	22.9%	19.9%
Put IV 25d	30.6%	17.5%	94.6%	22.3%	23.9%
Bid-Ask Spread %	11.36	5.26	22.04	13.32	9.46
Gamma HHI	0.52	0.42	0.62	0.43	0.61
Net GEX	-2.1M	-3.7M	-625.0K	-2.1M	-654.5K
Net DEX	19.2M	3.2M	38.3M	36.1M	3.2M
Net VEX	-404.9K	-440.8K	-355.2K	-367.6K	-408.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.01	0.03	49.73	1.05	35.13
Total Volume	2,785.474	113	10,389	904	10,297
Total OI	109,028.737	97,654	124,190	98,138	107,576

Daily Data (19 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
2014-02-03	$16.77	$17.50	22.6%	6.5%	24.3%	27.4%	22.9%	-0.6%	2.4%	-2.1M	36.1M	-367.6K	1.05	13.32	442	462	24,203	73,935
2014-02-04	$16.74	$17.50	19.6%	5.6%	24.3%	19.7%	16.0%	-5.7%	-0.7%	-2.1M	36.9M	-365.9K	49.73	13.91	101	5,023	24,450	73,908
2014-02-05	$16.46	$17.50	21.7%	6.2%	25.0%	25.1%	20.4%	-7.5%	-0.3%	-1.9M	38.3M	-355.2K	0.33	5.26	404	134	24,516	73,138
2014-02-06	$16.99	$17.50	20.9%	6.0%	27.3%	23.0%	20.8%	-3.0%	0.9%	-2.2M	33.6M	-367.8K	0.44	15.28	2,610	1,142	24,524	73,170
2014-02-07	$17.16	$17.50	22.1%	6.5%	26.5%	26.1%	22.6%	-1.6%	1.7%	-2.3M	26.5M	-376.6K	24.63	20.54	206	5,074	26,827	73,499
2014-02-10	$17.26	$17.50	21.6%	6.6%	26.5%	24.9%	23.1%	-1.3%	0.9%	-2.7M	29.1M	-394.4K	1.16	19.33	2,392	2,769	26,735	78,475
2014-02-11	$17.39	$17.50	20.4%	6.3%	26.6%	21.7%	21.1%	3.3%	1.5%	-2.8M	26.9M	-405.0K	0.17	6.81	236	41	28,266	80,733
2014-02-12	$17.38	$17.50	20.9%	6.7%	24.7%	23.2%	0.0%	-0.3%	-0.2%	-2.7M	26.6M	-399.6K	20.22	22.04	205	4,146	28,380	80,704
2014-02-13	$17.45	$17.50	21.9%	6.3%	24.5%	25.6%	21.9%	0.1%	2.3%	-3.0M	27.7M	-423.1K	3.59	20.91	233	836	28,424	84,625
2014-02-14	$17.89	$17.50	22.5%	6.5%	23.1%	27.2%	22.5%	5.7%	3.0%	-2.8M	12.1M	-421.7K	0.03	8.41	10,085	304	28,620	85,407
2014-02-18	$17.79	$17.50	23.3%	6.7%	22.0%	29.1%	23.3%	3.6%	1.8%	-2.4M	7.2M	-436.9K	4.34	7.73	475	2,062	36,664	85,398
2014-02-19	$17.76	$17.50	23.1%	6.6%	21.9%	28.8%	23.2%	3.4%	2.1%	-2.9M	7.8M	-440.8K	7.58	7.63	187	1,418	36,800	87,390
2014-02-20	$17.69	$17.50	22.0%	6.3%	21.2%	25.9%	22.0%	4.1%	2.9%	-3.7M	10.8M	-436.1K	0.59	7.51	301	179	36,200	86,238
2014-02-21	$17.74	$17.50	21.3%	6.1%	20.6%	24.2%	21.3%	4.3%	3.2%	-2.8M	4.7M	-427.6K	0.06	6.76	351	20	36,097	86,267
2014-02-24	$17.69	$17.50	22.4%	6.4%	20.4%	26.9%	22.4%	69.0%	1.4%	-625.0K	9.8M	-418.8K	0.97	7.47	77	75	32,624	74,958
2014-02-25	$17.62	$17.50	21.7%	6.2%	18.4%	25.1%	21.7%	74.0%	2.1%	-647.8K	12.4M	-419.2K	0.22	7.91	323	72	32,625	75,033
2014-02-26	$17.83	$17.50	21.2%	6.1%	18.7%	23.8%	21.1%	4.0%	2.8%	-707.5K	8.5M	-414.9K	1.76	6.62	41	72	32,510	75,023
2014-02-27	$18.01	$17.50	21.9%	6.3%	18.5%	25.6%	21.8%	30.6%	2.7%	-634.9K	6.1M	-413.5K	0.26	9.02	102	27	32,513	75,091
2014-02-28	$18.07	$17.50	23.8%	6.8%	18.4%	30.5%	23.7%	4.0%	0.6%	-654.5K	3.2M	-408.1K	35.13	9.46	285	10,012	32,492	75,084