TSM Options History — March 2015

In March 2015, TSM traded between $22.94 and $24.80. ATM implied volatility averaged 30.5%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.9% (HV 20d: 24.6%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 6.71.

Notable Days

  • 2015-03-25: Highest Volume — 40,652 contracts
  • 2015-03-11: Largest IV spike — 20.1% change
  • 2015-03-26: Highest IV Rank — 51.4%
  • 2015-03-26: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.97$22.94$24.80$24.63$23.49
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV30.5%23.4%38.5%23.4%38.1%
Expected Move9.0%6.7%11.0%6.7%10.9%
HV 20d24.6%19.2%28.0%26.9%28.0%
HV 60d29.8%28.7%31.8%28.8%31.8%
IV Rank34.6%19.4%51.4%19.4%50.7%
IV Percentile83.3%44.4%97.6%44.4%96.8%
Term Structure-2.4%-8.9%5.6%4.9%-7.6%
VWIV31.3%24.2%37.8%24.5%37.6%
Skew 25d3.5%0.7%5.5%4.6%3.2%
Skew 10d9.0%-2.3%18.2%6.3%8.1%
Call IV 25d29.9%22.4%36.9%22.4%36.1%
Put IV 25d33.4%25.0%42.0%27.0%39.3%
Bid-Ask Spread %25.4917.5440.5622.4431.35
Gamma HHI0.380.290.460.390.31
Net GEX-5.8M-8.2M-3.9M-3.9M-8.2M
Net DEX65.4M30.5M133.6M30.5M105.6M
Net VEX-450.5K-527.2K-405.3K-410.4K-505.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.710.9420.896.962.18
Total Volume7,604.3641,07940,6527,2053,522
Total OI137,961.273118,869163,351118,869163,351

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$24.63$24.0023.4%6.7%26.9%19.4%24.5%4.6%4.9%-3.9M30.5M-410.4K6.9622.449056,30024,30794,562
2015-03-03$24.48$24.0025.9%7.4%27.1%24.6%24.7%2.0%5.0%-3.9M32.3M-410.3K6.2824.569786,13824,52694,715
2015-03-04$24.35$24.0024.5%7.0%27.2%21.8%24.2%0.7%5.6%-4.1M37.7M-417.2K6.7319.148465,69124,86794,882
2015-03-05$24.41$24.0024.2%8.5%26.5%21.1%29.1%3.8%-0.8%-4.1M35.7M-405.3K6.0327.647504,52224,91694,875
2015-03-06$24.08$24.0023.9%8.7%27.1%20.4%29.5%3.7%-1.6%-4.3M45.6M-416.8K4.9626.611,4797,34024,93496,179
2015-03-09$23.45$24.0026.3%8.7%27.7%25.7%29.8%3.0%-1.5%-5.1M70.5M-408.8K18.4922.6384115,55224,88799,043
2015-03-10$23.05$24.0026.2%8.4%27.5%25.4%29.7%2.8%-1.0%-5.4M87.6M-428.9K2.3817.548662,06025,082103,778
2015-03-11$23.49$24.0031.5%9.0%22.1%36.6%31.1%2.0%-3.5%-5.2M73.9M-444.9K1.4920.6743464525,082104,372
2015-03-12$23.53$24.0028.7%8.2%20.7%30.8%28.8%3.0%-0.1%-5.3M71.8M-433.8K17.8521.551753,12425,122104,203
2015-03-13$23.88$24.0030.3%8.7%21.3%34.2%30.0%4.6%-2.3%-5.3M62.7M-452.7K20.8927.082675,57825,139107,205
2015-03-16$24.28$24.0031.7%9.1%21.6%37.1%31.8%2.2%-3.7%-5.8M48.4M-436.8K3.1025.873,1929,89725,255111,850
2015-03-17$24.31$24.0032.6%9.4%21.6%39.0%32.4%5.2%-4.0%-6.1M50.8M-463.4K2.6923.987351,97727,703117,457
2015-03-18$24.71$24.0029.2%8.4%22.4%31.7%30.0%4.4%-1.6%-5.5M36.2M-456.0K1.0131.7374374927,829120,070
2015-03-19$24.66$24.0030.9%8.9%22.2%35.5%31.3%3.0%-3.0%-5.3M34.3M-437.5K14.4918.855598,10027,760120,027
2015-03-20$24.77$24.0029.8%8.6%22.2%33.1%30.2%4.1%-1.4%-6.2M38.7M-465.7K1.5319.9245770127,793126,416
2015-03-23$24.80$24.0031.1%8.9%22.0%35.8%33.8%3.9%-3.7%-6.4M47.0M-462.1K2.3223.902,9596,87621,732116,549
2015-03-24$24.50$24.0032.6%9.4%19.2%39.1%32.5%3.6%-5.0%-6.7M55.9M-452.7K1.2725.3758574122,115117,589
2015-03-25$23.18$24.0037.7%10.8%27.2%49.8%37.8%5.5%-5.1%-6.3M104.2M-463.0K17.9740.562,14338,50922,607117,674
2015-03-26$23.19$24.0038.5%11.0%27.0%51.4%36.5%3.2%-8.9%-7.6M116.9M-511.9K5.6625.551,4077,95723,017133,286
2015-03-27$22.94$24.0036.9%10.6%27.1%48.1%35.9%4.1%-7.4%-8.1M133.6M-527.2K2.4930.901,7424,33823,354137,967
2015-03-30$23.23$24.0037.6%10.8%27.6%49.6%36.4%4.1%-6.5%-8.2M119.1M-499.1K0.9432.982,5382,37824,562136,509
2015-03-31$23.49$24.0038.1%10.9%28.0%50.7%37.6%3.2%-7.6%-8.2M105.6M-505.8K2.1831.351,1062,41626,405136,946