TSM Options History — June 2014

In June 2014, TSM traded between $20.66 and $21.69. ATM implied volatility averaged 22.8%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 8.0% (HV 20d: 14.8%). 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 5 of 21 days. Put/call ratio averaged 12.55.

Notable Days

  • 2014-06-13: Highest Volume — 30,532 contracts
  • 2014-06-12: Largest IV spike — 23.5% change
  • 2014-06-30: Highest IV Rank — 38.2%
  • 2014-06-30: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.15$20.66$21.69$20.66$21.39
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV22.8%16.8%28.4%18.3%28.4%
Expected Move6.9%5.2%8.2%5.2%8.2%
HV 20d14.8%11.8%17.8%11.8%17.8%
HV 60d19.2%18.0%21.0%20.3%18.2%
IV Rank22.8%6.3%38.2%10.5%38.2%
IV Percentile43.3%3.6%84.9%9.9%84.9%
Term Structure-1.6%-7.9%4.8%4.4%-7.9%
VWIV24.4%18.7%30.8%19.1%30.8%
Skew 25d6.9%2.3%10.6%2.8%7.7%
Skew 10d11.2%2.7%18.3%2.9%18.3%
Call IV 25d17.9%13.1%22.5%16.7%19.8%
Put IV 25d24.9%16.9%27.8%19.5%27.5%
Bid-Ask Spread %16.536.8525.9611.9113.67
Gamma HHI0.420.230.620.590.31
Net GEX-2.0M-3.8M-951.6K-3.8M-1.4M
Net DEX-2.2M-10.0M9.2M9.2M-3.9M
Net VEX-319.9K-346.4K-295.5K-341.6K-295.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.550.10177.552.000.10
Total Volume2,812.1913530,532141682
Total OI147,130.619133,080156,673145,019133,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$20.66$20.0018.3%5.2%11.8%10.5%19.1%2.8%4.4%-3.8M9.2M-341.6K2.0011.91479429,904115,115
2014-06-03$21.24$20.0020.7%5.9%14.8%16.9%20.8%9.3%3.5%-2.5M-8.1M-317.5K4.666.858123,78229,931115,164
2014-06-04$21.10$20.0019.2%5.5%14.4%12.9%19.2%7.0%4.8%-2.9M-4.9M-323.8K0.718.8137226330,464118,263
2014-06-05$21.20$20.0019.3%5.5%13.4%13.2%18.7%2.9%3.9%-2.6M-4.8M-328.7K0.968.7434733230,657118,478
2014-06-06$21.09$20.0017.4%6.9%13.4%8.1%26.3%5.3%-2.0%-2.6M-5.0M-322.7K16.4819.151342,20830,908118,771
2014-06-09$21.21$20.0018.9%7.2%13.3%12.0%26.7%3.6%-2.6%-2.4M-7.6M-313.4K0.8225.9623119030,864119,963
2014-06-10$21.30$20.0016.8%7.2%13.1%6.3%23.9%2.3%-4.4%-1.9M-10.0M-304.5K1.8623.9417031630,974120,111
2014-06-11$21.13$20.0020.3%7.0%13.5%15.9%24.8%3.5%-2.3%-2.6M-6.1M-315.8K5.2116.678424,38331,031120,327
2014-06-12$21.11$20.0025.1%7.2%13.5%29.0%25.8%3.9%-1.8%-2.6M-3.9M-317.1K0.8722.7919517031,455124,488
2014-06-13$21.09$20.0025.4%7.3%13.5%29.8%25.3%10.4%-1.9%-2.6M-3.7M-315.3K177.5516.2717130,36131,494124,476
2014-06-16$21.21$20.0026.2%7.5%13.5%32.2%27.0%10.3%-3.2%-1.4M1.1M-346.4K1.6515.54518431,544125,076
2014-06-17$21.26$20.0025.7%7.4%13.3%30.6%26.2%10.5%-2.7%-1.4M-342.9K-345.6K0.8516.2216914431,529125,144
2014-06-18$21.35$20.0023.9%6.9%12.9%25.9%25.3%9.0%-2.7%-1.5M-3.0M-337.7K0.1920.393506731,469125,192
2014-06-19$21.69$20.0025.1%7.2%13.7%29.1%25.3%4.9%-2.8%-1.5M-9.0M-332.1K4.6718.8220595731,492125,095
2014-06-20$21.15$20.0024.0%6.9%16.9%26.2%24.7%8.8%-1.2%-951.6K-2.3M-328.0K0.8420.0437131331,479124,692
2014-06-23$20.85$20.0022.5%6.5%17.7%22.0%24.1%8.3%0.2%-1.8M8.9M-318.0K43.0113.701576,75228,992108,945
2014-06-24$20.78$20.0023.5%6.7%17.3%24.7%25.2%7.5%-2.5%-1.4M3.9M-301.1K0.3518.391946729,041104,464
2014-06-25$21.03$20.0025.0%7.2%17.8%28.9%25.3%10.6%-3.2%-1.4M2.7M-309.8K0.2017.621,35927329,138104,317
2014-06-26$21.02$20.0025.5%7.3%17.6%30.3%20.2%7.9%-3.9%-1.4M1.3M-296.1K0.2018.931563128,632104,464
2014-06-27$21.28$20.0027.4%7.8%17.8%35.3%27.2%9.3%-5.5%-1.5M-419.3K-307.6K0.2912.7996928528,591104,489
2014-06-30$21.39$20.0028.4%8.2%17.8%38.2%30.8%7.7%-7.9%-1.4M-3.9M-295.5K0.1013.676206228,591104,529