TSM Options History — April 2015

In April 2015, TSM traded between $23.19 and $25.39. ATM implied volatility averaged 30.6%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.3% (HV 20d: 24.3%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 4.68.

Notable Days

  • 2015-04-15: Highest Volume — 30,501 contracts
  • 2015-04-08: Largest IV drop — 26.8% change
  • 2015-04-07: Highest IV Rank — 65.6%
  • 2015-04-01: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.79$23.19$25.39$23.23$24.44
Max Pain$24.14$23.00$25.00$24.00$25.00
ATM IV30.6%23.1%45.2%39.9%26.7%
Expected Move8.3%6.6%11.4%11.4%7.7%
HV 20d24.3%17.3%29.1%28.1%20.8%
HV 60d27.5%24.8%31.4%31.4%25.4%
IV Rank34.7%18.9%65.6%54.4%26.5%
IV Percentile73.9%38.1%98.4%98.0%73.0%
Term Structure-1.3%-8.9%3.0%-8.9%-1.4%
VWIV28.7%22.9%40.4%40.4%24.9%
Skew 25d2.7%-0.4%5.6%3.2%-0.4%
Skew 10d6.9%-1.2%15.7%0.3%0.7%
Call IV 25d27.7%20.7%38.7%38.7%27.5%
Put IV 25d30.4%23.7%41.9%41.9%27.1%
Bid-Ask Spread %26.9818.3138.7738.7722.12
Gamma HHI0.300.190.390.300.21
Net GEX-7.7M-13.3M-3.6M-7.9M-5.7M
Net DEX96.2M16.9M150.1M115.3M56.1M
Net VEX-493.5K-553.7K-431.1K-503.2K-545.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.680.4816.778.541.69
Total Volume12,596.3811,94930,5018,5064,223
Total OI163,873.667115,057207,908164,072153,741

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$23.23$24.0039.9%11.4%28.1%54.4%40.4%3.2%-8.9%-7.9M115.3M-503.2K8.5438.778927,61426,892137,180
2015-04-02$23.68$23.0040.2%9.3%29.1%55.1%32.1%4.6%-2.6%-8.2M100.3M-531.6K16.7723.441,33022,30727,038141,844
2015-04-06$23.52$24.0044.9%9.0%28.8%65.1%31.8%4.9%-1.4%-9.6M124.9M-553.7K5.7027.641,79310,21727,955157,239
2015-04-07$23.36$24.0045.2%9.5%27.4%65.6%32.0%2.7%0.1%-9.9M131.2M-535.0K5.0623.171,3016,58328,500157,764
2015-04-08$23.20$24.0033.1%9.5%26.7%39.9%32.8%3.5%-2.9%-10.0M142.6M-532.4K4.2826.953691,58028,600157,787
2015-04-09$23.43$24.0032.2%9.2%26.1%38.1%32.5%2.8%-1.8%-10.5M133.0M-509.8K2.8924.331,8695,40328,774157,454
2015-04-10$23.48$24.0032.9%9.4%26.1%39.5%30.5%5.6%-1.9%-10.9M129.0M-516.1K5.4424.251,4958,12829,412157,342
2015-04-13$23.33$24.0033.2%9.5%25.6%40.3%31.2%4.6%-1.5%-10.6M130.4M-487.7K3.4919.621,4875,18929,891156,277
2015-04-14$23.19$24.0032.5%9.3%24.7%38.7%32.5%2.7%-2.6%-10.5M141.6M-458.0K2.6926.642,7387,37730,297156,254
2015-04-15$23.52$24.0032.8%9.4%25.4%39.4%33.6%2.0%-3.2%-10.0M123.4M-491.8K0.9131.8515,99614,50531,642158,522
2015-04-16$23.28$24.0025.1%7.2%24.6%23.0%25.1%1.0%2.1%-13.3M142.6M-464.5K4.4029.174,28218,82942,421163,950
2015-04-17$23.19$24.0024.3%7.0%24.6%21.3%24.1%3.0%3.0%-5.4M150.1M-447.6K10.9824.641,99721,92743,318164,590
2015-04-20$23.24$24.0024.3%7.0%24.6%21.4%24.7%1.8%-0.8%-5.7M79.6M-431.1K4.5120.421,9158,64021,24393,814
2015-04-21$23.31$24.0023.5%6.8%24.6%19.8%23.4%0.8%-0.8%-5.9M81.3M-434.7K9.4318.318908,39222,20394,959
2015-04-22$23.80$24.0023.1%6.6%25.8%18.9%22.9%2.8%-0.4%-5.8M65.2M-440.9K2.0437.103,0806,28422,38994,142
2015-04-23$24.28$24.0024.8%7.1%17.3%22.5%24.5%5.6%-0.7%-4.8M45.1M-433.4K0.4833.8110,7065,13123,70394,592
2015-04-24$24.89$24.0025.9%7.4%19.1%24.7%25.8%1.2%0.3%-3.6M16.9M-441.0K5.3229.924,05221,57432,56595,397
2015-04-27$25.39$25.0026.7%7.7%19.1%26.4%26.1%0.8%-0.9%-4.3M28.2M-528.8K2.0327.493,3706,83234,104114,542
2015-04-28$24.99$25.0025.6%7.3%20.3%24.0%25.9%0.8%-0.4%-4.6M40.0M-539.3K0.8125.224,5143,65735,036115,313
2015-04-29$24.78$25.0025.4%7.3%20.5%23.8%25.2%3.2%-0.8%-5.1M44.3M-537.5K0.9231.663,1502,90637,316115,345
2015-04-30$24.44$25.0026.7%7.7%20.8%26.5%24.9%-0.4%-1.4%-5.7M56.1M-545.9K1.6922.121,5692,65438,326115,415