TSM Options History — July 2014

In July 2014, TSM traded between $20.00 and $22.95. ATM implied volatility averaged 25.3%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.5% (HV 20d: 27.8%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.94.

Notable Days

  • 2014-07-11: Highest Volume — 79,041 contracts
  • 2014-07-10: Largest IV drop — 33.9% change
  • 2014-07-08: Highest IV Rank — 54.1%
  • 2014-07-03: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.45$20.00$22.95$21.97$20.00
Max Pain$21.50$20.00$22.00$20.00$22.00
ATM IV25.3%21.2%34.2%26.4%23.9%
Expected Move6.8%6.1%8.3%7.6%6.9%
HV 20d27.8%17.6%35.7%17.6%35.0%
HV 60d21.6%18.0%24.7%18.8%24.7%
IV Rank29.6%18.5%54.1%32.7%25.9%
IV Percentile57.5%21.4%96.8%76.2%56.7%
Term Structure-1.2%-7.3%1.6%-3.0%-1.9%
VWIV23.6%20.5%31.9%25.5%23.5%
Skew 25d2.0%-1.5%10.3%6.2%0.6%
Skew 10d4.4%-7.7%16.3%10.8%2.0%
Call IV 25d23.1%20.1%28.6%24.1%24.5%
Put IV 25d25.1%19.3%30.7%30.3%25.1%
Bid-Ask Spread %19.8910.2732.1613.8818.97
Gamma HHI0.270.200.340.320.24
Net GEX-1.4M-3.2M-125.4K-1.2M-1.8M
Net DEX8.0M-40.0M49.2M-15.8M47.3M
Net VEX-254.4K-285.9K-209.0K-285.9K-262.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.0115.370.187.46
Total Volume8,104.09124779,0414,1976,475
Total OI119,866.13689,718152,368134,19598,221

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$21.97$20.0026.4%7.6%17.6%32.7%25.5%6.2%-3.0%-1.2M-15.8M-285.9K0.1813.883,56962829,386104,809
2014-07-02$22.38$20.0028.3%8.1%18.3%37.9%31.9%6.1%-5.2%-701.5K-26.1M-262.6K0.2018.0562912731,942104,962
2014-07-03$22.71$20.0028.9%8.3%18.8%39.5%26.8%10.3%-7.3%-645.9K-36.3M-230.0K15.3710.2783212,78731,896104,942
2014-07-07$22.67$21.0033.2%6.4%18.6%51.2%20.7%1.4%0.8%-534.2K-35.2M-230.5K1.5522.096641,03232,396101,687
2014-07-08$22.57$21.0034.2%6.4%18.8%54.1%20.5%1.2%-0.3%-556.8K-31.4M-238.7K0.5522.0183746332,520102,009
2014-07-09$22.42$21.0033.2%6.3%19.1%51.3%22.1%0.7%0.9%-593.9K-30.2M-237.7K0.3722.681806732,489102,211
2014-07-10$22.95$21.0022.0%6.3%20.0%20.5%20.9%2.7%1.4%-645.5K-40.0M-209.0K0.1332.161,24216032,480102,272
2014-07-11$22.81$21.0023.4%6.7%20.3%24.4%23.0%2.1%-0.6%-125.4K-40.0M-213.2K0.0118.2778,57746433,223102,349
2014-07-14$22.66$22.0025.5%7.3%20.6%30.1%26.1%3.4%-2.7%-295.7K-6.7M-223.3K5.1117.921,7278,83220,934102,702
2014-07-15$22.47$22.0028.0%8.0%21.0%37.1%28.6%1.2%-3.5%-1.2M988.0K-237.6K0.3328.9816,9795,61421,032109,412
2014-07-16$20.93$22.0024.1%6.9%33.6%26.2%24.3%0.9%0.9%-3.2M30.9M-257.7K0.7021.187,1544,98632,438113,385
2014-07-17$20.20$22.0022.9%6.6%35.7%23.2%23.0%1.7%1.6%-3.1M49.2M-253.8K0.7121.362,5621,82435,847115,432
2014-07-18$20.48$22.0023.3%6.7%35.6%24.0%23.3%0.8%0.7%-2.6M43.1M-260.8K0.3918.993,6651,41836,471115,897
2014-07-21$20.43$22.0024.8%7.1%34.6%28.4%24.1%2.9%-2.1%-1.7M35.8M-270.3K0.8419.661,2081,02028,80060,918
2014-07-22$20.71$22.0021.2%6.1%34.6%18.5%21.9%1.0%0.2%-1.8M29.8M-275.0K0.3926.132,8341,11428,94761,903
2014-07-23$20.68$22.0022.1%6.3%34.6%20.8%22.4%-1.5%-0.2%-1.7M29.4M-279.6K1.1616.2968379330,86262,852
2014-07-24$20.89$22.0021.3%6.1%34.5%18.8%21.7%0.2%-0.4%-1.8M26.0M-280.5K1.0414.2830231331,05863,346
2014-07-25$20.35$22.0023.0%6.6%35.7%23.3%22.2%-0.8%-1.3%-1.7M38.0M-266.7K1.4313.197261,03531,16163,575
2014-07-28$20.37$22.0022.3%6.4%35.4%21.4%22.1%3.1%-0.4%-1.8M40.1M-262.5K4.3320.296162,66931,25364,177
2014-07-29$20.54$22.0022.6%6.5%35.5%22.2%22.5%-0.6%-1.4%-2.0M34.3M-279.4K0.0619.963992331,33566,112
2014-07-30$20.72$22.0022.1%6.3%34.1%20.9%22.1%0.1%-1.7%-2.0M32.1M-279.4K0.3520.9378627531,30666,106
2014-07-31$20.00$22.0023.9%6.9%35.0%25.9%23.5%0.6%-1.9%-1.8M47.3M-262.9K7.4618.977655,71031,86066,361