TSM Options History — August 2014

In August 2014, TSM traded between $19.79 and $20.94. ATM implied volatility averaged 21.2%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 7.5% (HV 20d: 28.7%). Max pain ranged from $18.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2014-08-14: Highest Volume — 3,816 contracts
  • 2014-08-14: Largest IV spike — 47.4% change
  • 2014-08-05: Highest IV Rank — 34.9%
  • 2014-08-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.44$19.79$20.94$20.20$20.94
Max Pain$20.32$18.00$26.00$22.00$20.00
ATM IV21.2%14.2%27.2%25.6%18.1%
Expected Move6.7%6.0%7.3%7.3%6.6%
HV 20d28.7%19.0%37.6%34.6%19.0%
HV 60d25.9%24.5%26.3%24.5%25.7%
IV Rank18.6%0.0%34.9%30.5%10.4%
IV Percentile31.3%0.0%83.7%71.4%6.7%
Term Structure2.7%-2.6%4.6%-2.6%4.4%
VWIV23.3%19.9%25.8%25.5%23.4%
Skew 25d1.7%-8.1%3.7%-8.1%1.3%
Skew 10d3.5%-3.5%13.2%-1.7%13.2%
Call IV 25d20.8%18.3%26.1%26.1%19.0%
Put IV 25d22.5%18.0%25.6%18.0%20.3%
Bid-Ask Spread %30.4116.9547.4323.6047.43
Gamma HHI0.260.240.280.250.25
Net GEX-1.7M-1.9M-1.4M-1.8M-1.5M
Net DEX33.5M14.9M53.0M44.9M14.9M
Net VEX-254.4K-267.8K-235.6K-266.7K-235.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.067.440.650.21
Total Volume944.2382353,816362726
Total OI90,927.57178,739103,70598,62781,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$20.20$22.0025.6%7.3%34.6%30.5%25.5%-8.1%-2.6%-1.8M44.9M-266.7K0.6523.6022014231,94466,683
2014-08-04$20.51$21.0024.6%6.5%35.4%27.8%22.8%2.3%1.5%-1.8M40.1M-267.8K6.2522.2113383131,85566,687
2014-08-05$19.80$21.0027.2%6.4%37.0%34.9%23.0%2.3%2.2%-1.8M52.5M-257.0K0.1528.831,35319731,89167,167
2014-08-06$20.04$20.0025.4%6.6%37.6%30.0%23.0%1.9%1.8%-1.7M49.3M-256.4K1.1123.781,1791,31032,80767,198
2014-08-07$19.91$20.0024.8%6.7%36.0%28.3%19.9%0.8%1.7%-1.7M51.0M-265.7K7.4428.881511,12333,11668,174
2014-08-08$19.79$20.0022.5%6.7%36.0%21.9%23.1%2.3%1.0%-1.8M53.0M-256.2K0.3625.492749933,09369,083
2014-08-11$20.05$20.0023.9%6.6%36.7%25.9%23.7%2.0%1.4%-1.8M50.6M-259.1K0.3423.1858320033,23969,066
2014-08-12$19.99$20.0023.5%6.5%36.7%24.7%22.4%2.7%2.3%-1.9M51.8M-253.1K5.1821.883819732,77669,134
2014-08-13$20.33$20.0014.2%6.3%28.3%0.0%21.9%2.5%1.9%-1.8M45.8M-251.5K1.0324.8744846332,77069,153
2014-08-14$20.53$20.0021.0%6.0%25.5%18.4%21.1%3.4%3.5%-1.8M40.3M-252.6K1.1116.951,8062,01032,40268,337
2014-08-15$20.45$20.0021.6%6.2%25.1%20.1%21.3%2.3%2.8%-1.8M43.9M-260.3K0.0618.417984633,70270,003
2014-08-18$20.47$0.0021.1%7.2%25.1%18.7%0.0%2.7%2.3%-1.6M24.3M-256.0K0.9743.1512912520,75157,988
2014-08-19$20.74$0.0018.8%7.0%25.0%12.4%23.0%1.8%4.6%-1.5M18.9M-253.7K0.5536.6663134520,77158,016
2014-08-20$20.84$26.0018.8%7.0%25.1%12.5%25.8%3.3%3.7%-1.4M16.9M-255.1K0.1535.574416721,33958,180
2014-08-21$20.62$20.0019.0%7.0%25.1%12.8%24.6%2.3%3.8%-1.5M20.1M-259.4K0.4238.1448720621,67258,213
2014-08-22$20.83$18.0018.9%6.9%23.5%12.7%22.9%0.8%3.9%-1.5M16.6M-252.3K5.0036.802111,05621,61958,240
2014-08-25$20.68$18.0018.8%6.8%23.7%12.3%23.7%1.3%4.6%-1.5M18.5M-244.1K0.1031.274204021,78958,268
2014-08-26$20.80$20.0018.6%6.8%23.6%11.8%24.9%1.9%4.0%-1.5M17.9M-249.3K0.4530.652089421,96258,308
2014-08-27$20.91$20.0018.6%6.8%23.4%11.8%25.7%3.7%3.7%-1.5M15.7M-245.1K0.4538.8627312422,04158,340
2014-08-28$20.91$20.0018.9%6.6%19.3%12.7%24.4%2.8%4.0%-1.4M16.0M-246.4K0.3442.1348316222,20858,410
2014-08-29$20.94$20.0018.1%6.6%19.0%10.4%23.4%1.3%4.4%-1.5M14.9M-235.6K0.2147.4359812822,54758,537