TSM Options History — October 2014

In October 2014, TSM traded between $19.44 and $22.01. ATM implied volatility averaged 30.5%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.6% (HV 20d: 27.9%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.18.

Notable Days

  • 2014-10-15: Highest Volume — 17,328 contracts
  • 2014-10-16: Largest IV drop — 51.2% change
  • 2014-10-13: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.79$19.44$22.01$20.10$22.01
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV30.5%22.1%61.4%26.7%22.6%
Expected Move7.2%6.7%8.2%6.8%7.0%
HV 20d27.9%18.1%33.5%18.1%33.5%
HV 60d24.1%21.6%26.0%25.4%23.8%
IV Rank39.6%16.6%100.0%33.8%17.6%
IV Percentile76.2%37.3%100.0%84.5%45.2%
Term Structure-0.9%-4.5%2.4%-2.9%-0.3%
VWIV25.4%22.9%28.4%23.4%24.9%
Skew 25d3.7%0.8%7.7%2.9%1.4%
Skew 10d8.6%-1.7%22.4%6.7%16.1%
Call IV 25d24.2%18.1%31.1%26.8%21.6%
Put IV 25d28.0%23.1%36.6%29.7%23.1%
Bid-Ask Spread %54.7239.7574.7747.9746.72
Gamma HHI0.300.250.340.280.26
Net GEX-1.6M-2.8M-272.2K-2.6M-272.2K
Net DEX20.7M-7.1M54.9M42.0M-7.1M
Net VEX-237.6K-267.4K-217.0K-237.5K-217.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.017.160.211.02
Total Volume4,135.30445117,3281,6043,514
Total OI89,158.95772,368108,53093,51077,392

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$20.10$21.0026.7%6.8%18.1%33.8%23.4%2.9%-2.9%-2.6M42.0M-237.5K0.2147.971,32328124,29969,211
2014-10-02$20.29$21.0028.1%6.8%18.6%37.7%23.7%3.1%-2.8%-2.6M36.8M-246.9K0.0746.077305125,49469,404
2014-10-03$20.83$21.0027.6%6.7%21.1%36.3%24.4%6.2%-4.5%-2.7M23.4M-250.7K0.0149.461,6371726,05569,431
2014-10-06$20.82$21.0029.4%6.7%21.1%41.1%22.9%3.0%1.2%-2.6M21.1M-243.3K0.2648.5964116627,16569,426
2014-10-07$20.38$21.0031.8%7.1%22.3%47.8%25.1%1.1%0.2%-2.4M31.1M-242.6K1.6139.7562099927,64969,453
2014-10-08$20.59$21.0031.4%7.0%22.7%46.7%24.4%4.5%0.1%-2.5M28.1M-250.4K0.5542.842,7041,48228,06970,052
2014-10-09$20.47$21.0035.2%7.0%22.7%57.1%24.2%3.0%-1.3%-2.6M30.5M-245.5K0.6145.6234020928,17670,065
2014-10-10$19.44$21.0036.5%7.6%27.6%60.5%26.8%2.0%-1.2%-2.1M54.9M-224.7K2.5450.696291,59528,34170,131
2014-10-13$19.67$21.0052.0%7.7%28.0%100.0%28.4%1.6%-0.5%-2.2M46.3M-230.4K7.1650.131,2428,89528,68970,615
2014-10-14$20.38$21.0052.7%7.8%30.6%100.0%26.7%6.8%-3.6%-2.8M40.7M-257.8K0.8949.413,2052,83729,67376,675
2014-10-15$20.15$21.0061.4%7.6%30.7%100.0%28.0%5.5%-3.0%-2.7M46.3M-267.4K0.7565.879,9287,40030,24178,171
2014-10-16$20.72$21.0029.9%8.2%32.0%33.3%27.3%1.7%-3.5%-1.7M17.9M-258.2K4.6457.962,98213,84034,68673,844
2014-10-17$20.72$21.0026.8%7.7%31.2%26.7%26.4%3.1%-0.3%-1.4M25.1M-243.3K0.3063.362,04861534,51071,803
2014-10-20$20.88$21.0024.8%7.4%31.1%22.3%25.7%3.7%2.4%-994.1K12.1M-235.4K0.3952.302,7861,07720,09652,272
2014-10-21$21.40$21.0024.2%7.1%32.2%21.2%24.8%6.6%0.2%-873.2K5.9M-227.9K0.3652.712,9771,06220,55352,334
2014-10-22$21.26$21.0023.6%7.0%32.2%19.8%24.5%1.4%0.1%-692.8K4.6M-231.4K0.2660.093,50390821,15752,306
2014-10-23$21.26$21.0022.6%7.2%30.8%17.8%25.5%0.8%-0.2%-583.4K3.1M-231.2K0.5360.591,68988722,38552,316
2014-10-24$21.16$21.0023.1%7.2%30.9%18.7%26.4%4.3%-0.4%-685.4K6.4M-229.0K0.7174.771,5501,10222,53552,403
2014-10-27$21.36$21.0022.4%7.3%30.6%17.4%25.9%4.8%1.1%-554.2K3.2M-225.6K1.8973.4515629522,71852,669
2014-10-28$21.59$21.0022.1%6.9%30.6%16.6%25.1%7.7%-0.6%-474.8K279.3K-224.8K0.6870.4128119222,77952,914
2014-10-29$21.58$21.0023.1%6.8%30.5%18.7%25.1%7.2%-0.7%-509.4K-1.0M-218.1K0.7464.442,0121,48922,93553,025
2014-10-30$21.13$21.0023.6%7.1%31.6%19.8%25.3%3.3%-0.3%-629.4K5.0M-225.1K1.0445.431,5791,63723,50853,031
2014-10-31$22.01$21.0022.6%7.0%33.5%17.6%24.9%1.4%-0.3%-272.2K-7.1M-217.0K1.0246.721,7401,77423,69953,693