TSM Options History — December 2014

In December 2014, TSM traded between $21.46 and $22.93. ATM implied volatility averaged 25.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.1% (HV 20d: 19.5%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 3.18.

Notable Days

  • 2014-12-29: Highest Volume — 6,976 contracts
  • 2014-12-08: Largest IV spike — 15.3% change
  • 2014-12-17: Highest IV Rank — 33.9%
  • 2014-12-16: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.32$21.46$22.93$22.93$22.38
Max Pain$22.70$20.00$23.00$23.00$23.00
ATM IV25.6%20.6%30.2%20.9%28.4%
Expected Move7.5%7.2%8.0%7.2%7.7%
HV 20d19.5%15.4%20.9%19.4%15.4%
HV 60d24.9%24.0%25.5%25.1%24.0%
IV Rank24.1%13.4%33.9%14.0%30.0%
IV Percentile69.5%19.0%94.4%20.2%89.3%
Term Structure0.1%-4.3%4.9%4.8%-1.6%
VWIV26.8%23.9%31.7%25.2%26.3%
Skew 25d3.3%-1.9%6.2%1.1%3.0%
Skew 10d8.6%-6.1%17.1%1.6%1.3%
Call IV 25d25.5%17.3%28.9%21.7%28.5%
Put IV 25d28.8%22.3%32.5%22.9%31.5%
Bid-Ask Spread %42.7524.2177.5942.2324.21
Gamma HHI0.190.180.220.180.18
Net GEX-1.6M-2.1M-1.2M-1.3M-1.2M
Net DEX12.6M118.4K31.0M118.4K6.8M
Net VEX-260.5K-278.6K-230.9K-263.1K-230.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.180.2924.711.970.29
Total Volume3,359.8188216,9764,304821
Total OI98,758.77395,991101,50995,99196,084

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$22.93$23.0020.9%7.2%19.4%14.0%25.2%1.1%4.8%-1.3M118.4K-263.1K1.9742.231,4512,85321,89474,097
2014-12-02$22.58$23.0021.7%7.2%20.3%15.9%26.1%-1.9%4.5%-1.4M6.7M-267.2K1.1736.831,3051,52722,20774,245
2014-12-03$22.91$23.0020.8%7.3%20.8%13.9%26.8%2.1%4.9%-1.3M1.5M-265.9K1.3033.921,4741,91222,24574,733
2014-12-04$22.82$23.0022.5%7.3%20.9%17.6%25.8%6.2%3.4%-1.3M1.9M-264.2K9.3935.282212,07522,41174,818
2014-12-05$22.71$23.0020.6%7.3%20.5%13.4%25.4%4.2%-0.1%-1.7M6.6M-267.9K1.1940.302,8413,38022,59176,573
2014-12-08$22.52$23.0023.7%7.3%20.8%20.1%27.1%2.7%-0.6%-1.8M8.9M-276.6K1.0939.791,3131,42724,18576,637
2014-12-09$22.57$23.0026.2%7.5%19.8%25.3%28.1%4.7%-0.3%-1.8M10.1M-278.6K0.7639.601,4961,13624,35676,632
2014-12-10$22.20$23.0024.2%7.4%20.7%21.0%27.0%2.7%-0.6%-1.8M13.7M-270.8K1.0333.641,1861,21924,38076,597
2014-12-11$22.11$23.0026.9%7.6%20.6%26.8%27.5%3.9%-0.2%-1.9M17.8M-277.9K0.7145.341,5831,12924,16276,488
2014-12-12$22.03$23.0027.5%7.7%20.1%28.1%28.5%1.8%-0.6%-1.8M19.2M-275.3K1.0670.391,0591,12024,44476,508
2014-12-15$21.96$23.0029.5%7.8%20.1%32.5%28.8%3.5%-2.8%-1.7M21.4M-267.9K1.2437.999641,19324,41776,500
2014-12-16$21.46$23.0029.8%8.0%20.1%32.9%30.6%2.7%-1.1%-2.1M31.0M-267.8K1.7435.741,1301,96324,40876,738
2014-12-17$21.64$23.0030.2%7.7%20.1%33.9%31.7%3.6%-4.3%-1.9M30.3M-258.1K0.9564.0195591124,47075,837
2014-12-18$21.77$23.0026.1%7.5%18.7%25.2%29.2%4.6%-0.0%-1.5M25.4M-259.8K2.6541.629182,43224,47175,479
2014-12-19$22.20$23.0026.0%7.4%19.7%24.9%25.2%5.2%-0.1%-1.2M16.5M-260.2K2.4746.495041,24324,52076,989
2014-12-22$22.37$0.0025.5%7.6%19.3%24.0%0.0%3.1%0.9%-1.6M10.3M-255.6K2.9677.591,1233,32121,89875,055
2014-12-23$22.23$0.0025.2%7.4%19.3%23.3%24.0%2.3%1.0%-1.7M13.0M-255.0K3.6935.808983,31021,94275,081
2014-12-24$22.35$23.0026.0%7.3%19.4%24.9%24.1%4.1%-0.5%-1.6M9.8M-248.8K3.0928.711,0773,32321,99475,340
2014-12-26$22.35$20.0026.6%7.5%18.7%26.1%23.9%4.5%-0.5%-1.6M11.0M-246.7K3.5433.741,0703,78322,17075,346
2014-12-29$22.40$20.0028.1%7.3%18.1%29.3%25.2%2.4%-2.2%-1.5M8.3M-238.0K3.0633.211,7205,25622,21575,226
2014-12-30$22.44$23.0027.5%7.6%16.3%28.2%25.5%5.6%-1.2%-1.2M6.0M-234.2K24.7164.001674,12722,56773,743
2014-12-31$22.38$23.0028.4%7.7%15.4%30.0%26.3%3.0%-1.6%-1.2M6.8M-230.9K0.2924.2163718422,62373,461