TSM Options History — September 2014

In September 2014, TSM traded between $19.95 and $21.35. ATM implied volatility averaged 22.8%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.6% (HV 20d: 15.2%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 4.40.

Notable Days

  • 2014-09-04: Highest Volume — 5,865 contracts
  • 2014-09-11: Largest IV spike — 21.6% change
  • 2014-09-30: Highest IV Rank — 35.0%
  • 2014-09-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.65$19.95$21.35$21.08$20.18
Max Pain$20.81$20.00$21.00$20.00$21.00
ATM IV22.8%18.6%27.1%18.7%27.1%
Expected Move6.6%6.4%6.9%6.9%6.7%
HV 20d15.2%11.1%19.0%18.5%19.0%
HV 60d25.8%25.3%26.3%25.7%25.4%
IV Rank23.3%12.0%35.0%12.1%35.0%
IV Percentile49.7%10.7%86.1%10.7%86.1%
Term Structure-0.3%-3.7%5.0%4.4%-3.7%
VWIV23.7%21.6%28.1%22.6%24.1%
Skew 25d2.4%-2.6%7.1%-0.0%4.0%
Skew 10d7.6%-4.3%27.1%3.1%10.3%
Call IV 25d22.7%18.9%27.1%20.5%25.4%
Put IV 25d25.1%17.9%29.4%20.5%29.4%
Bid-Ask Spread %44.9735.3858.4339.9246.79
Gamma HHI0.300.240.330.240.29
Net GEX-2.3M-2.8M-1.1M-1.3M-2.7M
Net DEX27.9M5.4M44.3M11.3M41.7M
Net VEX-248.1K-262.7K-228.4K-237.2K-238.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.400.0342.030.150.62
Total Volume1,373.0951245,865333446
Total OI90,251.33381,52395,05981,55093,135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$21.08$20.0018.7%6.9%18.5%12.1%22.6%-0.0%4.4%-1.3M11.3M-237.2K0.1539.922904322,91958,631
2014-09-03$21.35$20.0018.9%6.8%12.9%12.6%24.4%-2.6%5.0%-1.1M5.4M-228.4K7.3340.353082,25722,90358,620
2014-09-04$21.19$20.0019.8%6.8%13.1%15.0%24.3%3.1%3.2%-1.3M7.9M-238.2K16.1035.383435,52222,91560,725
2014-09-05$21.18$20.0018.6%6.5%12.7%12.0%23.3%0.6%1.4%-2.0M13.4M-247.5K42.0340.421195,00122,95064,715
2014-09-08$21.07$21.0019.5%6.5%12.6%14.2%21.6%0.6%-1.1%-2.2M17.4M-262.7K2.7048.0912233023,00768,215
2014-09-09$21.05$21.0019.6%6.5%12.1%14.4%23.1%-0.4%-0.1%-2.2M17.4M-260.8K0.1448.503444823,03368,230
2014-09-10$21.03$21.0018.9%6.5%12.0%12.6%0.0%0.7%0.2%-2.3M19.6M-260.4K0.0548.765703023,24268,251
2014-09-11$20.90$21.0022.9%6.6%11.1%23.6%22.5%3.1%0.6%-2.4M23.4M-261.8K0.8240.1443736023,42768,280
2014-09-12$20.34$21.0024.6%6.8%14.6%28.2%23.9%1.3%-1.1%-2.6M36.7M-251.8K1.5839.1950279523,44368,261
2014-09-15$20.24$21.0024.9%6.7%14.6%29.1%23.7%5.1%-1.5%-2.6M39.7M-248.9K0.2444.181002423,73368,843
2014-09-16$20.48$21.0024.1%6.7%15.3%26.7%25.6%2.2%-0.6%-2.7M35.7M-250.2K11.9843.766173123,71468,850
2014-09-17$20.62$21.0024.3%6.6%14.7%27.5%23.6%0.0%-0.9%-2.6M31.9M-249.4K0.2358.4347310823,70969,524
2014-09-18$20.92$21.0023.9%6.6%15.5%26.2%23.6%2.2%-0.2%-2.5M22.7M-246.0K2.9652.697212,13623,95768,777
2014-09-19$20.52$21.0022.8%6.4%16.6%23.3%22.9%6.1%-0.9%-2.7M33.1M-252.1K2.3451.9817741524,30870,751
2014-09-22$20.36$21.0024.5%6.7%16.3%27.9%22.5%5.4%-1.4%-2.7M36.1M-250.6K0.4553.7442018821,08467,913
2014-09-23$20.34$21.0025.3%6.7%16.2%30.0%28.1%5.9%-2.2%-2.7M36.5M-247.1K0.7745.0153341221,23167,974
2014-09-24$20.59$21.0023.9%6.6%16.7%26.3%23.2%7.1%-1.5%-2.8M31.2M-249.3K0.0339.331,2163621,60368,315
2014-09-25$20.11$21.0024.8%6.6%18.4%28.6%24.9%2.7%-1.7%-2.6M40.1M-246.3K0.7140.3899270122,71968,346
2014-09-26$20.14$21.0025.8%6.6%18.4%31.5%22.8%3.9%-2.5%-2.6M40.6M-247.0K0.0945.377516523,40768,815
2014-09-29$19.95$21.0026.1%6.7%18.6%32.1%24.1%-0.1%-1.8%-2.6M44.3M-236.4K1.0942.0133837023,98368,820
2014-09-30$20.18$21.0027.1%6.7%19.0%35.0%0.0%4.0%-3.7%-2.7M41.7M-238.4K0.6246.7927517124,06869,067