TSM Options History — May 2015

In May 2015, TSM traded between $24.21 and $24.73. ATM implied volatility averaged 23.6%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.3% (HV 20d: 18.3%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 7.74.

Notable Days

  • 2015-05-26: Highest Volume — 11,421 contracts
  • 2015-05-11: Largest IV drop — 11.6% change
  • 2015-05-06: Highest IV Rank — 31.2%
  • 2015-05-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.43$24.21$24.73$24.73$24.31
Max Pain$25.95$25.00$26.00$25.00$26.00
ATM IV23.6%19.8%28.9%26.2%21.9%
Expected Move6.6%5.7%7.5%7.5%6.3%
HV 20d18.3%12.4%21.0%20.1%12.4%
HV 60d22.5%21.1%25.5%25.2%21.3%
IV Rank19.9%11.8%31.2%25.3%16.2%
IV Percentile40.1%12.7%81.3%67.5%22.2%
Term Structure4.5%0.3%6.0%0.3%6.0%
VWIV22.5%19.5%26.3%24.4%22.8%
Skew 25d2.4%0.7%3.9%0.7%3.3%
Skew 10d5.7%-3.0%11.3%9.4%6.9%
Call IV 25d21.9%18.7%26.3%26.3%18.7%
Put IV 25d24.2%22.0%27.1%27.0%22.0%
Bid-Ask Spread %20.2713.6826.4721.8720.18
Gamma HHI0.220.190.310.210.20
Net GEX-5.2M-6.7M-3.6M-5.0M-4.9M
Net DEX57.6M47.8M65.3M48.4M62.9M
Net VEX-499.7K-561.0K-439.0K-561.0K-457.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.740.6318.592.4713.51
Total Volume7,125.760611,4213,49110,929
Total OI146,099.25126,756166,488154,782133,716

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$24.73$25.0026.2%7.5%20.1%25.3%24.4%0.7%0.3%-5.0M48.4M-561.0K2.4721.871,0052,48638,663116,119
2015-05-04$24.32$26.0027.3%7.5%21.0%27.7%25.7%1.8%3.2%-5.9M62.8M-553.7K2.1122.147471,57938,867116,051
2015-05-05$24.29$26.0027.2%7.2%20.8%27.5%24.8%1.8%4.8%-6.0M65.3M-529.3K2.3723.741,0782,55139,060116,036
2015-05-06$24.45$26.0028.9%7.3%20.6%31.2%25.7%1.8%4.0%-5.8M57.3M-519.4K2.5823.891,0692,76039,347115,710
2015-05-07$24.36$26.0028.2%7.5%20.5%29.7%26.3%1.9%3.7%-6.5M59.3M-507.9K2.5519.932,4316,19539,419116,042
2015-05-08$24.55$26.0026.8%7.1%20.6%26.7%24.4%2.5%3.9%-5.9M53.6M-527.1K8.6826.473843,33540,090119,177
2015-05-11$24.37$26.0023.7%6.9%20.7%20.1%24.0%1.6%5.0%-6.6M57.5M-496.5K4.8024.4320598340,243119,879
2015-05-12$24.39$26.0026.0%7.0%20.5%25.0%24.4%2.3%4.5%-6.5M62.8M-509.5K7.6423.461,2079,21840,311119,645
2015-05-13$24.46$26.0023.6%6.8%20.0%20.0%23.4%2.4%3.8%-6.6M63.2M-541.6K7.5918.641,2539,50740,474125,859
2015-05-14$24.43$26.0022.8%6.5%19.5%18.1%21.5%2.0%4.8%-6.7M61.7M-523.7K9.7618.929689,45040,566125,762
2015-05-15$24.57$26.0021.6%6.2%19.4%15.5%21.3%3.0%5.0%-3.6M55.2M-520.7K10.9519.367578,28840,624125,864
2015-05-18$24.41$26.0021.5%6.2%19.7%15.5%20.8%3.1%5.5%-4.2M53.8M-482.2K0.6315.1337123534,06492,692
2015-05-19$24.59$26.0020.6%5.9%19.8%13.5%20.4%2.2%5.5%-4.0M50.3M-485.4K1.6213.6836559034,26892,807
2015-05-20$24.58$26.0019.8%5.7%18.6%11.8%20.3%3.0%5.9%-4.2M47.8M-473.5K13.0120.017299,48134,51493,286
2015-05-21$24.29$26.0020.8%6.0%17.8%13.8%19.5%3.1%5.2%-4.5M58.1M-469.8K6.4618.311,3398,64534,57293,510
2015-05-22$24.21$26.0020.3%5.8%15.3%12.9%20.7%1.4%4.9%-4.3M58.7M-469.8K11.9518.936938,28435,26093,920
2015-05-26$24.28$26.0022.4%6.4%13.2%17.3%19.5%3.9%5.2%-4.7M60.5M-445.1K14.6218.4973110,69035,24894,313
2015-05-27$24.62$26.0020.7%5.9%13.3%13.8%19.8%3.7%5.5%-4.2M57.7M-482.0K12.9022.9378910,17535,37896,950
2015-05-28$24.46$26.0022.4%6.4%13.2%17.3%19.8%1.5%4.3%-4.9M55.6M-439.0K18.5914.9756210,45035,69497,985
2015-05-29$24.31$26.0021.9%6.3%12.4%16.2%22.8%3.3%6.0%-4.9M62.9M-457.6K13.5120.1875310,17635,75097,966