TSM Options History — April 2014

In April 2014, TSM traded between $19.74 and $20.72. ATM implied volatility averaged 24.7%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.2% (HV 20d: 22.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.78.

Notable Days

  • 2014-04-25: Highest Volume — 23,532 contracts
  • 2014-04-10: Largest IV drop — 15.0% change
  • 2014-04-08: Highest IV Rank — 41.3%
  • 2014-04-15: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.18$19.74$20.72$20.32$20.10
Max Pain$19.64$17.50$20.00$17.50$20.00
ATM IV24.7%20.9%29.6%26.5%22.3%
Expected Move6.9%6.0%7.7%7.6%6.4%
HV 20d22.6%20.1%25.0%24.6%23.2%
HV 60d21.8%20.8%22.6%22.3%21.9%
IV Rank28.0%17.7%41.3%32.8%21.5%
IV Percentile51.1%15.1%85.7%70.2%28.2%
Term Structure-0.6%-1.8%2.0%-1.3%-0.4%
VWIV23.4%19.8%26.8%26.4%22.3%
Skew 25d7.0%-0.9%43.2%7.1%2.5%
Skew 10d16.2%-3.6%125.4%10.5%3.7%
Call IV 25d19.7%15.0%25.3%20.3%19.9%
Put IV 25d26.7%19.8%60.3%27.4%22.3%
Bid-Ask Spread %13.754.4489.946.775.68
Gamma HHI0.430.240.700.290.70
Net GEX-2.1M-5.5M-91.7K-490.2K-5.5M
Net DEX1.0M-37.9M37.4M-18.1M37.4M
Net VEX-408.6K-462.3K-342.8K-404.4K-416.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.780.0020.280.000.44
Total Volume3,980.1913223,5327,914305
Total OI141,452.095122,381150,928134,532144,663

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$20.32$17.5026.5%7.6%24.6%32.8%26.4%7.1%-1.3%-490.2K-18.1M-404.4K0.006.777,8773741,09193,441
2014-04-02$20.04$17.5024.6%7.0%25.0%27.6%24.6%3.3%-0.5%-91.7K-18.7M-432.6K0.607.783,4012,04747,01193,428
2014-04-03$19.94$17.5026.1%7.5%23.9%31.9%23.1%2.6%-1.8%-363.4K-10.2M-433.6K3.637.6022380945,56195,368
2014-04-04$19.77$20.0026.6%7.0%24.1%33.2%24.6%7.1%-0.4%-416.3K-8.1M-431.6K11.5913.8687510,14545,56396,160
2014-04-07$19.74$20.0028.7%7.2%23.9%38.9%25.3%7.0%-1.6%-1.2M5.5M-462.3K1.6522.647211945,181104,212
2014-04-08$19.98$20.0029.6%7.3%23.8%41.3%25.1%1.6%-1.2%-1.1M-2.0M-446.4K0.1220.752613145,166104,309
2014-04-09$20.15$20.0028.9%7.2%20.8%39.5%25.0%3.4%-0.5%-1.1M-8.4M-440.8K0.5921.5826815845,200104,339
2014-04-10$19.82$20.0024.6%7.0%21.5%27.6%24.6%-0.7%-0.5%-1.1M-1.4M-428.1K0.516.5949925545,330104,479
2014-04-11$19.89$20.0025.4%7.3%20.1%30.0%19.8%1.3%-0.8%-989.3K-344.0K-438.0K1.4020.76557745,301104,695
2014-04-14$20.26$20.0025.0%7.2%20.7%28.9%25.0%3.2%-0.2%-812.5K-12.9M-417.6K0.236.1853612145,340104,681
2014-04-15$20.51$20.0026.9%7.7%20.9%34.0%26.8%-0.9%-1.0%-739.5K-21.0M-411.4K0.566.631,24969645,490104,772
2014-04-16$20.15$20.0026.1%7.5%21.2%31.9%26.1%2.3%-1.2%-838.0K-11.8M-402.1K8.2989.941,1119,21545,576104,989
2014-04-17$20.72$20.0023.0%6.6%22.8%23.2%19.8%7.5%2.0%-2.3M-37.9M-373.8K0.096.669,11881846,017104,911
2014-04-21$20.56$20.0022.8%6.5%21.8%22.7%22.8%43.2%-0.7%-3.2M6.9M-367.3K1.775.9127348226,826100,446
2014-04-22$20.56$20.0021.9%6.3%21.9%20.3%21.8%39.2%-0.0%-3.3M4.8M-363.2K2.287.5211225527,079100,664
2014-04-23$20.41$20.0021.6%6.2%20.9%19.5%20.5%5.4%-0.6%-3.4M8.6M-372.0K0.444.4439317227,118100,913
2014-04-24$20.56$20.0020.9%6.0%20.9%17.7%21.0%5.7%0.8%-3.5M14.7M-342.8K0.028.364,8937721,306101,075
2014-04-25$19.91$20.0021.6%6.2%23.8%19.6%21.6%0.8%-0.2%-3.9M27.5M-371.6K20.286.101,10622,42623,089101,139
2014-04-28$20.30$20.0023.6%6.8%24.4%25.0%23.6%3.9%-1.3%-5.0M32.1M-416.0K3.696.464581,69123,782120,688
2014-04-29$20.10$20.0022.4%6.4%23.8%21.7%22.4%2.2%-0.4%-5.3M34.8M-409.6K0.236.5170416424,104119,991
2014-04-30$20.10$20.0022.3%6.4%23.2%21.5%22.3%2.5%-0.4%-5.5M37.4M-416.0K0.445.682129324,589120,074