TSM Options History — November 2014

In November 2014, TSM traded between $21.80 and $23.47. ATM implied volatility averaged 21.5%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 3.6% (HV 20d: 25.1%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.96.

Notable Days

2014-11-19: Highest Volume — 22,433 contracts
2014-11-17: Largest IV spike — 7.1% change
2014-11-07: Highest IV Rank — 18.3%
2014-11-28: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.40	$21.80	$23.47	$21.92	$23.47
Max Pain	$21.74	$21.00	$23.00	$21.00	$23.00
ATM IV	21.5%	19.8%	22.9%	22.4%	20.8%
Expected Move	7.1%	6.9%	7.4%	6.9%	7.4%
HV 20d	25.1%	21.5%	33.6%	33.6%	21.5%
HV 60d	24.0%	23.5%	24.6%	23.7%	24.6%
IV Rank	15.3%	11.7%	18.3%	17.2%	14.0%
IV Percentile	29.2%	15.5%	48.8%	40.1%	20.2%
Term Structure	2.5%	-0.5%	5.8%	-0.0%	3.2%
VWIV	24.9%	23.8%	26.0%	24.8%	25.9%
Skew 25d	2.3%	-2.3%	5.5%	1.6%	5.0%
Skew 10d	7.0%	-6.4%	16.2%	3.1%	10.5%
Call IV 25d	20.7%	17.3%	24.9%	22.0%	17.3%
Put IV 25d	23.0%	21.2%	24.8%	23.6%	22.3%
Bid-Ask Spread %	40.01	30.59	50.87	46.34	31.67
Gamma HHI	0.26	0.17	0.65	0.27	0.17
Net GEX	-175.5K	-1.4M	8.0M	-247.6K	-1.2M
Net DEX	-8.0M	-15.4M	2.7M	-6.4M	-6.9M
Net VEX	-221.5K	-279.3K	-188.5K	-212.2K	-259.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.96	0.27	10.98	1.21	0.34
Total Volume	4,558.789	602	22,433	2,961	602
Total OI	85,028.947	77,409	102,771	77,560	95,764

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-11-03	$21.92	$21.00	22.4%	6.9%	33.6%	17.2%	24.8%	1.6%	-0.0%	-247.6K	-6.4M	-212.2K	1.21	46.34	1,341	1,620	23,736	53,824
2014-11-04	$21.96	$21.00	21.7%	6.9%	32.4%	15.9%	24.5%	2.3%	-0.5%	-231.2K	-6.9M	-212.3K	1.06	44.96	1,587	1,689	23,793	53,860
2014-11-05	$22.04	$21.00	21.7%	7.0%	32.3%	15.9%	24.8%	1.0%	0.0%	-156.5K	-8.9M	-210.6K	0.97	44.26	1,655	1,606	23,792	53,935
2014-11-06	$21.80	$21.00	21.4%	6.9%	32.5%	15.2%	24.5%	-2.3%	0.7%	-221.0K	-6.0M	-212.0K	0.65	43.68	1,729	1,116	23,881	53,926
2014-11-07	$21.81	$21.00	22.9%	7.0%	25.3%	18.3%	24.7%	1.3%	2.5%	-227.5K	-6.0M	-207.1K	0.90	38.87	1,254	1,123	24,079	53,946
2014-11-10	$22.24	$21.00	22.6%	7.0%	25.7%	17.7%	24.7%	4.9%	0.6%	-36.5K	-13.1M	-197.2K	1.37	37.76	1,543	2,112	24,095	53,973
2014-11-11	$22.18	$21.00	21.5%	7.0%	23.4%	15.4%	25.2%	4.5%	1.4%	8.2K	-14.4M	-188.5K	0.75	33.41	1,402	1,049	23,982	53,427
2014-11-12	$22.06	$21.00	22.3%	7.0%	23.0%	17.0%	24.7%	2.9%	1.9%	-286.1K	-10.9M	-192.8K	1.04	34.70	1,520	1,582	24,298	54,881
2014-11-13	$22.34	$21.00	21.7%	7.0%	21.5%	15.8%	24.9%	2.3%	2.9%	-324.6K	-14.0M	-192.3K	1.78	37.42	1,214	2,160	24,423	55,344
2014-11-14	$22.40	$21.00	21.2%	7.1%	21.5%	14.8%	24.1%	5.5%	2.4%	-499.3K	-14.9M	-192.1K	3.09	43.79	165	510	24,392	56,404
2014-11-17	$21.89	$21.00	22.7%	7.2%	23.4%	18.0%	24.6%	1.7%	2.3%	-876.6K	-5.3M	-195.7K	1.70	38.03	1,435	2,434	24,570	56,900
2014-11-18	$22.08	$22.00	22.0%	7.0%	22.1%	16.5%	23.8%	2.3%	2.3%	-1.1M	-7.2M	-197.6K	2.58	30.59	1,380	3,555	24,829	58,402
2014-11-19	$22.53	$22.00	21.0%	7.2%	22.8%	14.3%	25.5%	2.7%	4.4%	-642.6K	-15.4M	-190.6K	10.98	41.28	1,872	20,561	24,919	58,498
2014-11-20	$22.77	$23.00	21.6%	7.3%	22.9%	15.7%	25.2%	3.6%	3.7%	-1.3M	-5.1M	-267.6K	2.68	43.21	3,823	10,231	25,079	75,477
2014-11-21	$23.07	$23.00	20.7%	7.1%	23.0%	13.7%	24.9%	0.1%	4.8%	8.0M	-13.7M	-263.2K	2.23	40.73	1,715	3,831	27,229	75,542
2014-11-24	$22.94	$23.00	19.9%	7.2%	23.1%	11.9%	25.2%	1.8%	5.8%	-1.3M	2.7M	-265.9K	0.61	37.94	1,359	825	20,145	73,568
2014-11-25	$22.89	$23.00	19.8%	7.3%	23.1%	11.7%	25.8%	1.7%	4.9%	-1.4M	2.6M	-279.3K	2.97	50.87	1,098	3,256	21,284	73,842
2014-11-26	$23.18	$23.00	19.8%	7.2%	23.3%	11.8%	26.0%	1.9%	5.1%	-1.3M	-2.0M	-271.2K	0.27	40.68	523	140	21,514	73,997
2014-11-28	$23.47	$23.00	20.8%	7.4%	21.5%	14.0%	25.9%	5.0%	3.2%	-1.2M	-6.9M	-259.5K	0.34	31.67	448	154	21,780	73,984