TSM Options History — May 2014

In May 2014, TSM traded between $19.62 and $20.89. ATM implied volatility averaged 20.2%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.1% (HV 20d: 20.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.91.

Notable Days

  • 2014-05-08: Highest Volume — 8,248 contracts
  • 2014-05-14: Largest IV drop — 20.5% change
  • 2014-05-13: Highest IV Rank — 26.8%
  • 2014-05-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.45$19.62$20.89$19.77$20.56
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV20.2%17.0%24.3%22.7%18.2%
Expected Move5.6%4.9%6.5%6.5%5.2%
HV 20d20.1%12.3%24.4%23.4%12.3%
HV 60d21.3%20.9%22.3%22.3%20.9%
IV Rank15.7%6.9%26.8%22.4%10.2%
IV Percentile18.6%5.2%54.0%34.1%9.1%
Term Structure3.5%-0.9%5.6%-0.9%2.9%
VWIV20.3%17.3%22.7%22.7%20.6%
Skew 25d4.6%-1.1%7.3%-0.6%2.9%
Skew 10d6.3%-1.6%11.5%-0.4%1.1%
Call IV 25d16.4%14.1%21.7%21.7%17.3%
Put IV 25d21.0%17.9%24.2%21.1%20.2%
Bid-Ask Spread %11.425.2516.935.2511.75
Gamma HHI0.640.550.750.680.60
Net GEX-4.3M-8.5M-3.1M-5.4M-3.7M
Net DEX20.0M2.2M80.3M45.3M11.5M
Net VEX-376.5K-480.8K-335.3K-410.0K-346.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.910.0559.650.544.03
Total Volume1,803.7141188,2484681,651
Total OI144,259.714139,943168,024144,933143,662

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$19.77$20.0022.7%6.5%23.4%22.4%22.7%-0.6%-0.9%-5.4M45.3M-410.0K0.545.2530416424,770120,163
2014-05-02$19.62$20.0021.5%6.2%23.5%19.3%21.5%-1.1%-0.3%-5.5M50.1M-412.1K0.337.6630010024,946120,198
2014-05-05$19.66$20.0021.6%5.8%23.3%19.4%20.2%6.6%3.8%-8.5M80.3M-480.8K21.5216.933557,63825,116142,908
2014-05-06$20.00$20.0021.6%5.9%24.1%19.6%19.9%1.6%3.3%-5.1M33.4M-391.5K0.296.2359917425,377114,566
2014-05-07$20.33$20.0021.8%6.1%24.4%20.1%21.2%4.5%4.1%-4.8M22.3M-382.4K0.307.1580223825,797114,641
2014-05-08$20.51$20.0023.7%6.3%24.4%25.3%22.0%6.5%3.4%-4.5M17.1M-384.1K59.657.331368,11226,268114,798
2014-05-09$20.41$20.0022.5%6.1%23.7%21.9%21.5%5.7%3.9%-5.2M22.7M-400.7K0.2612.961784726,275119,135
2014-05-12$20.59$20.0022.9%5.5%23.8%23.1%22.7%7.3%3.2%-4.7M17.4M-381.5K3.3411.0222876126,341119,166
2014-05-13$20.64$20.0024.3%5.7%23.0%26.8%20.5%5.8%3.2%-4.6M13.8M-376.5K1.1813.441,1511,35426,315119,172
2014-05-14$20.58$20.0019.3%5.6%22.6%13.2%20.6%5.4%3.2%-4.3M10.5M-368.6K0.3414.7334811927,404120,369
2014-05-15$20.66$20.0019.1%5.5%21.6%12.6%20.9%6.3%3.9%-3.7M10.3M-366.8K1.0115.421,1641,18127,001118,221
2014-05-16$20.77$20.0019.7%5.7%19.3%14.3%20.3%5.8%3.9%-3.2M7.4M-365.8K4.1614.499573,97827,369118,524
2014-05-19$20.66$20.0018.6%5.3%19.2%11.1%21.2%6.6%4.9%-3.3M12.8M-371.8K0.2815.253128627,340112,610
2014-05-20$20.51$20.0019.8%5.7%19.4%14.6%20.0%4.2%3.1%-3.5M15.2M-366.6K1.3013.4529338027,472112,637
2014-05-21$20.50$20.0019.9%5.7%19.2%14.7%19.7%4.0%5.6%-3.6M15.4M-363.8K0.059.321901027,697112,694
2014-05-22$20.64$20.0017.9%5.1%19.2%9.5%18.9%4.9%5.0%-3.3M10.7M-355.8K2.1316.234721,00727,833112,687
2014-05-23$20.66$20.0017.1%4.9%14.9%7.2%17.6%4.1%4.1%-3.5M10.1M-359.1K0.9511.2730729228,157113,463
2014-05-27$20.89$20.0018.1%5.2%13.8%10.1%19.4%6.3%3.3%-3.2M4.3M-341.8K0.2511.981,49237928,355113,623
2014-05-28$20.86$20.0017.3%5.0%13.2%7.8%17.9%6.0%5.2%-3.1M2.2M-343.7K0.848.82645429,379113,791
2014-05-29$20.70$20.0017.0%4.9%13.6%6.9%17.3%3.0%5.2%-3.5M6.3M-335.3K0.339.1337712429,377113,837
2014-05-30$20.56$20.0018.2%5.2%12.3%10.2%20.6%2.9%2.9%-3.7M11.5M-346.6K4.0311.753281,32329,711113,951