TSM Options History — January 2015

In January 2015, TSM traded between $20.81 and $24.19. ATM implied volatility averaged 31.1%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.0% (HV 20d: 29.1%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.61.

Notable Days

  • 2015-01-15: Highest Volume — 47,030 contracts
  • 2015-01-14: Largest IV drop — 35.9% change
  • 2015-01-13: Highest IV Rank — 78.2%
  • 2015-01-14: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.54$20.81$24.19$22.32$22.75
Max Pain$22.70$21.00$23.00$23.00$23.00
ATM IV31.1%24.7%51.1%28.6%26.5%
Expected Move7.7%7.1%9.4%7.8%7.6%
HV 20d29.1%14.4%39.9%14.4%39.9%
HV 60d25.0%21.2%27.3%23.5%26.9%
IV Rank35.8%22.3%78.2%30.5%25.9%
IV Percentile84.7%66.7%98.8%89.7%80.6%
Term Structure-0.8%-3.7%1.7%-1.0%1.7%
VWIV27.2%24.9%34.4%27.2%28.1%
Skew 25d4.3%0.4%7.3%3.2%0.4%
Skew 10d7.0%-7.4%18.3%-1.5%-0.7%
Call IV 25d25.2%20.3%30.2%29.0%28.0%
Put IV 25d29.4%25.3%37.2%32.2%28.4%
Bid-Ask Spread %35.7322.7461.9234.1161.92
Gamma HHI0.290.180.460.180.34
Net GEX-2.6M-4.7M-257.1K-1.3M-4.7M
Net DEX23.1M-12.3M58.2M9.0M58.2M
Net VEX-292.5K-395.0K-217.9K-230.0K-393.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.610.1810.204.191.46
Total Volume10,985.91,34447,0305,1423,183
Total OI107,486.1590,279162,12796,530118,163

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$22.32$23.0028.6%7.8%14.4%30.5%27.2%3.2%-1.0%-1.3M9.0M-230.0K4.1934.119904,15222,91073,620
2015-01-05$21.74$23.0038.4%7.9%16.9%51.2%28.1%2.5%-0.6%-1.9M21.7M-235.5K4.8126.235542,66423,01374,849
2015-01-06$21.36$23.0036.3%8.1%17.7%46.9%27.3%4.8%-1.1%-2.3M31.8M-246.2K4.2335.291,3185,58122,91676,999
2015-01-07$21.67$23.0037.3%7.7%18.7%48.9%26.7%4.2%-0.5%-1.9M20.2M-224.5K3.8753.002761,06823,06672,773
2015-01-08$21.83$23.0034.3%7.9%18.9%42.6%26.8%4.4%-1.5%-1.6M16.2M-223.9K2.3234.691,7113,97322,98872,425
2015-01-09$21.24$22.0039.2%8.1%20.4%53.1%28.4%4.4%0.2%-2.3M27.9M-217.9K9.7640.591,47314,37323,14272,423
2015-01-12$20.81$22.0041.5%8.2%21.4%57.9%29.0%4.7%-2.1%-3.5M46.8M-251.4K4.5024.451,4646,58423,31882,072
2015-01-13$21.04$22.0051.1%8.2%21.9%78.2%28.7%4.6%-0.2%-3.3M40.7M-257.8K5.8627.251,5549,10723,55784,759
2015-01-14$21.06$22.0032.7%9.4%22.0%39.2%34.4%7.0%-3.7%-3.6M50.1M-265.4K4.9544.686,55232,45723,79889,534
2015-01-15$22.87$21.0026.5%7.6%36.0%25.9%27.5%5.5%0.5%-257.1K-12.3M-260.4K2.7032.0312,69734,33328,115108,643
2015-01-16$22.60$23.0025.8%7.4%36.4%24.5%28.2%3.5%1.0%-534.8K18.9M-339.7K0.3622.746,3492,29332,603129,524
2015-01-20$23.09$23.0026.0%7.5%37.0%25.0%24.9%7.3%-1.3%-3.6M27.1M-319.5K0.1825.773,41560017,02573,254
2015-01-21$23.21$23.0024.9%7.1%36.5%22.5%25.1%4.8%-0.6%-3.4M21.4M-315.7K0.9036.352,5752,31419,23973,475
2015-01-22$23.69$23.0025.2%7.2%37.0%23.3%25.1%3.9%-2.3%-2.8M10.5M-323.2K0.8123.534,1203,35821,33875,385
2015-01-23$23.96$23.0025.4%7.3%37.0%23.7%25.5%2.7%-1.7%-2.4M1.5M-311.7K10.2035.142,12121,62722,84776,917
2015-01-26$24.16$23.0024.7%7.1%37.0%22.3%25.0%5.6%-0.7%-2.7M4.7M-333.3K0.2246.042,44653823,90381,619
2015-01-27$24.19$23.0026.2%7.5%37.0%25.3%26.3%7.2%-1.5%-2.8M5.8M-327.2K4.6726.042,42611,33622,82282,007
2015-01-28$23.92$23.0024.9%7.1%37.4%22.6%25.8%1.8%0.4%-3.7M19.2M-378.3K2.5057.909012,25324,31492,847
2015-01-29$23.35$23.0026.9%7.7%38.6%26.8%26.3%3.0%-0.1%-4.4M43.0M-395.0K3.7626.811,0473,93524,43193,090
2015-01-30$22.75$23.0026.5%7.6%39.9%25.9%28.1%0.4%1.7%-4.7M58.2M-393.0K1.4661.921,2941,88924,59393,570