TSM Options History — March 2014

In March 2014, TSM traded between $18.03 and $20.02. ATM implied volatility averaged 21.9%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.7% (HV 20d: 20.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.98.

Notable Days

  • 2014-03-13: Highest Volume — 42,226 contracts
  • 2014-03-13: Largest IV spike — 44.3% change
  • 2014-03-03: Highest IV Rank — 34.2%
  • 2014-03-24: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.95$18.03$20.02$18.03$20.02
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV21.9%15.8%26.5%25.2%24.7%
Expected Move6.4%4.5%7.6%7.2%7.1%
HV 20d20.2%15.1%24.4%17.6%24.4%
HV 60d21.1%19.3%22.5%19.3%22.4%
IV Rank21.9%6.7%34.2%34.2%27.9%
IV Percentile32.1%2.4%69.0%56.7%54.8%
Term Structure1.3%-2.2%10.4%-0.9%-0.7%
VWIV22.9%16.0%26.0%25.2%24.6%
Skew 25d3.0%-7.7%7.8%4.7%4.6%
Skew 10d12.4%-3.0%78.3%8.6%7.3%
Call IV 25d22.1%14.6%24.3%21.5%20.9%
Put IV 25d25.1%16.6%31.4%26.1%25.5%
Bid-Ask Spread %21.844.4483.429.346.73
Gamma HHI0.420.290.640.590.29
Net GEX-766.9K-1.3M-414.8K-662.1K-1.1M
Net DEX-1.6M-18.1M13.5M5.6M-7.0M
Net VEX-392.6K-422.8K-363.1K-408.3K-391.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.980.0094.870.240.16
Total Volume3,932.71412642,2261262,067
Total OI117,888.619107,606129,751107,606129,720

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$18.03$17.5025.2%7.2%17.6%34.2%25.2%4.7%-0.9%-662.1K5.6M-408.3K0.249.341022432,53475,072
2014-03-04$18.04$17.5022.7%6.5%17.0%27.8%0.0%2.4%0.5%-622.9K2.2M-394.2K0.069.636454132,58375,071
2014-03-05$18.39$17.5018.1%5.2%17.8%16.0%19.5%6.3%10.4%-684.7K-3.3M-384.7K0.145.116048232,62175,071
2014-03-06$18.87$17.5015.8%4.5%17.3%10.1%16.0%4.7%7.5%-670.6K-11.2M-368.9K0.004.444,9001532,57275,082
2014-03-07$18.77$17.5017.2%5.1%15.1%13.7%23.5%1.6%0.7%-560.0K-11.3M-374.9K1.2615.988661,08733,55275,087
2014-03-10$18.96$17.5022.5%6.3%15.2%27.1%24.4%2.9%0.2%-621.9K-11.2M-376.0K0.1913.9761411833,51575,148
2014-03-11$18.77$17.5018.7%5.4%16.1%11.7%23.4%1.5%-0.0%-594.6K-11.5M-378.9K0.0318.793771033,67075,196
2014-03-12$19.43$17.5016.9%6.9%19.3%6.7%26.0%5.2%1.2%-584.6K-17.9M-363.1K0.3012.056,9082,06733,61775,156
2014-03-13$19.27$17.5024.4%7.0%19.8%27.2%25.3%3.9%0.2%-414.8K-18.1M-366.0K3.329.269,76932,45735,28774,772
2014-03-14$18.90$17.5022.4%6.4%21.7%21.7%25.1%3.6%2.0%-563.0K-718.4K-422.8K0.3411.242849640,79485,474
2014-03-17$19.11$17.5022.9%6.6%20.4%23.2%24.8%5.9%1.5%-678.1K3.5M-419.9K0.3512.821625637,55485,487
2014-03-18$19.18$17.5023.3%6.7%20.2%24.2%24.0%5.3%0.3%-661.8K2.0M-413.8K0.2815.032,56471837,39985,480
2014-03-19$18.88$17.5018.2%5.2%21.2%10.3%22.6%4.5%0.2%-792.7K409.4K-391.7K0.1915.194478539,74685,575
2014-03-20$18.85$17.5020.4%5.9%21.2%16.3%23.0%5.0%2.5%-879.1K6.6M-403.9K0.0216.407241539,30085,134
2014-03-21$18.53$17.5024.3%7.0%22.4%26.9%21.4%2.6%6.9%-1.0M7.3M-390.3K0.2713.5679321339,58885,124
2014-03-24$18.64$17.5026.5%7.6%22.3%32.8%25.8%1.8%-0.4%-1.0M13.5M-381.9K0.5710.481729836,60984,705
2014-03-25$19.12$17.5023.6%6.8%23.6%24.9%19.2%7.8%-2.2%-704.6K5.0M-398.3K1.3783.3444660936,55984,769
2014-03-26$19.09$17.5024.2%6.9%23.5%26.5%16.9%-7.7%-0.8%-692.4K2.1M-390.4K94.8783.11878,25436,56685,030
2014-03-27$19.42$17.5023.9%6.9%23.9%25.8%23.8%-4.1%-1.3%-1.3M9.1M-416.6K0.5583.4231217136,55093,201
2014-03-28$19.64$17.5023.8%6.8%24.0%25.6%23.9%0.8%-0.1%-1.2M2.2M-409.9K0.028.823,4527636,47293,219
2014-03-31$20.02$17.5024.7%7.1%24.4%27.9%24.6%4.6%-0.7%-1.1M-7.0M-391.0K0.166.731,77828936,50193,219