TSM Options History — February 2015

In February 2015, TSM traded between $22.68 and $25.05. ATM implied volatility averaged 25.6%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 8.4% (HV 20d: 34.0%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 5.22.

Notable Days

2015-02-24: Highest Volume — 23,165 contracts
2015-02-10: Largest IV drop — 11.0% change
2015-02-03: Highest IV Rank — 30.7%
2015-02-03: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.13	$22.68	$25.05	$22.94	$24.52
Max Pain	$23.47	$23.00	$24.00	$23.00	$24.00
ATM IV	25.6%	23.7%	28.7%	27.0%	24.1%
Expected Move	7.3%	6.8%	8.2%	7.7%	6.9%
HV 20d	34.0%	28.1%	40.7%	39.9%	28.9%
HV 60d	28.5%	26.9%	29.4%	26.9%	29.0%
IV Rank	24.0%	20.1%	30.7%	27.0%	21.0%
IV Percentile	68.9%	51.6%	89.7%	84.1%	52.8%
Term Structure	3.4%	-2.6%	6.9%	-0.9%	4.7%
VWIV	26.2%	24.3%	28.6%	27.5%	24.5%
Skew 25d	3.1%	0.4%	4.5%	2.8%	2.7%
Skew 10d	9.8%	2.7%	20.3%	14.6%	5.5%
Call IV 25d	24.9%	23.4%	27.9%	27.9%	23.6%
Put IV 25d	28.0%	25.5%	30.7%	30.7%	26.3%
Bid-Ask Spread %	29.70	17.21	57.33	25.27	27.12
Gamma HHI	0.39	0.23	0.47	0.35	0.40
Net GEX	-3.4M	-5.0M	-994.5K	-4.7M	-3.9M
Net DEX	19.2M	-21.3M	61.8M	54.8M	31.4M
Net VEX	-378.9K	-428.0K	-331.9K	-386.6K	-423.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.22	0.33	13.02	0.33	9.19
Total Volume	7,124.684	862	23,165	862	6,917
Total OI	126,295.263	110,335	151,717	118,681	118,529

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
2015-02-02	$22.94	$23.00	27.0%	7.7%	39.9%	27.0%	27.5%	2.8%	-0.9%	-4.7M	54.8M	-386.6K	0.33	25.27	649	213	25,023	93,658
2015-02-03	$23.12	$23.00	28.7%	8.2%	38.6%	30.7%	28.6%	3.2%	-2.6%	-4.6M	46.6M	-382.6K	0.59	17.21	3,358	1,971	25,178	93,799
2015-02-04	$23.56	$23.00	26.3%	7.5%	38.2%	25.6%	25.7%	3.0%	-1.5%	-4.0M	28.9M	-375.1K	0.65	57.33	2,492	1,623	26,933	94,129
2015-02-05	$23.61	$23.00	25.0%	7.1%	38.0%	22.8%	26.1%	3.4%	2.2%	-4.1M	27.5M	-367.6K	0.92	24.46	1,812	1,676	27,237	94,263
2015-02-06	$23.11	$23.00	26.0%	7.6%	39.1%	25.0%	25.4%	2.6%	1.4%	-4.8M	43.6M	-369.1K	0.55	24.82	3,457	1,890	27,351	94,405
2015-02-09	$22.68	$23.00	28.0%	7.6%	38.3%	29.2%	27.1%	3.6%	2.6%	-5.0M	61.8M	-365.3K	13.02	23.38	504	6,564	30,475	94,635
2015-02-10	$23.82	$23.00	24.9%	7.4%	40.5%	22.6%	27.4%	4.0%	3.9%	-3.7M	22.7M	-379.9K	2.71	38.53	1,163	3,151	30,539	99,317
2015-02-11	$24.30	$23.00	26.2%	7.5%	40.7%	25.3%	26.8%	3.5%	2.9%	-2.8M	1.6M	-358.5K	3.06	28.18	1,244	3,805	31,109	99,822
2015-02-12	$24.47	$23.00	25.6%	7.3%	40.6%	24.1%	25.6%	4.5%	4.2%	-2.4M	-7.5M	-341.9K	3.77	28.50	823	3,104	31,427	99,897
2015-02-13	$24.82	$23.00	23.7%	6.8%	29.7%	20.1%	24.3%	1.8%	4.5%	-994.5K	-21.3M	-333.4K	2.06	30.46	2,064	4,259	32,339	100,713
2015-02-17	$24.79	$24.00	25.3%	7.2%	29.2%	23.4%	26.6%	3.4%	5.0%	-2.5M	-14.3M	-331.9K	11.59	42.57	1,215	14,081	32,761	101,599
2015-02-18	$24.70	$24.00	25.5%	7.3%	28.6%	24.0%	26.3%	3.2%	5.0%	-2.5M	-9.1M	-358.2K	4.42	41.65	1,283	5,669	33,151	108,843
2015-02-19	$24.52	$24.00	25.0%	7.2%	28.8%	22.8%	27.1%	4.5%	4.6%	-1.1M	-6.7M	-368.7K	5.89	27.93	1,076	6,341	33,174	109,108
2015-02-20	$24.44	$24.00	25.4%	7.3%	28.1%	23.6%	25.5%	0.4%	6.9%	-3.3M	315.7K	-400.7K	8.97	29.03	462	4,142	33,960	117,757
2015-02-23	$24.23	$24.00	26.1%	7.5%	28.1%	25.1%	25.8%	3.1%	4.5%	-3.7M	37.9M	-410.0K	4.20	28.80	1,363	5,723	21,861	88,474
2015-02-24	$25.01	$24.00	24.4%	7.0%	30.1%	21.6%	25.6%	4.0%	6.4%	-3.4M	19.1M	-399.7K	10.65	30.49	1,988	21,177	22,575	89,956
2015-02-25	$25.05	$24.00	24.4%	7.0%	30.1%	21.5%	25.9%	3.0%	6.0%	-3.4M	19.6M	-418.3K	9.24	19.54	1,028	9,502	23,500	93,994
2015-02-26	$24.73	$24.00	24.1%	6.9%	30.2%	21.0%	26.2%	2.1%	5.2%	-3.7M	27.4M	-428.0K	7.43	18.94	899	6,681	23,854	94,265
2015-02-27	$24.52	$24.00	24.1%	6.9%	28.9%	21.0%	24.5%	2.7%	4.7%	-3.9M	31.4M	-423.7K	9.19	27.12	679	6,238	24,079	94,450