TSM Options History — June 2015

In June 2015, TSM traded between $22.41 and $24.12. ATM implied volatility averaged 26.9%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.9% (HV 20d: 18.9%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 3.15.

Notable Days

  • 2015-06-10: Highest Volume — 14,510 contracts
  • 2015-06-29: Largest IV spike — 39.1% change
  • 2015-06-30: Highest IV Rank — 41.6%
  • 2015-06-30: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.42$22.41$24.12$24.12$22.72
Max Pain$25.14$25.00$26.00$26.00$25.00
ATM IV26.9%21.5%33.8%21.5%33.8%
Expected Move8.0%6.2%9.7%6.2%9.7%
HV 20d18.9%11.8%28.1%11.8%28.1%
HV 60d20.5%18.3%21.6%21.4%21.2%
IV Rank26.8%15.5%41.6%15.5%41.6%
IV Percentile60.4%19.0%91.3%19.0%91.3%
Term Structure-1.9%-7.6%5.7%5.7%-7.6%
VWIV28.0%20.7%35.4%20.7%34.6%
Skew 25d3.5%-0.9%7.4%0.7%4.0%
Skew 10d8.4%-5.1%17.5%6.3%-5.1%
Call IV 25d25.9%22.3%32.2%22.6%32.1%
Put IV 25d29.3%22.5%36.1%23.2%36.1%
Bid-Ask Spread %20.7915.0028.5115.0020.26
Gamma HHI0.240.200.310.200.28
Net GEX-4.2M-5.3M-3.1M-5.1M-3.6M
Net DEX81.0M36.1M126.1M71.5M76.7M
Net VEX-372.9K-439.9K-298.3K-439.9K-331.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.150.4612.4412.440.65
Total Volume6,436.54577214,51011,7027,363
Total OI132,876.364117,032146,897133,930117,032

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$24.12$26.0021.5%6.2%11.8%15.5%20.7%0.7%5.7%-5.1M71.5M-439.9K12.4415.0087110,83135,92998,001
2015-06-02$23.67$26.0022.9%6.6%12.2%18.4%23.5%-0.9%4.9%-5.2M91.4M-428.9K1.1318.5036340936,233100,539
2015-06-03$23.68$26.0022.3%6.4%12.2%17.1%21.9%2.2%4.8%-5.3M93.4M-424.1K3.9716.771,0924,33936,321100,871
2015-06-04$22.95$25.0023.4%8.3%15.9%19.5%25.4%2.1%-3.7%-4.7M116.8M-387.7K6.2124.836744,18536,642101,183
2015-06-05$22.87$25.0022.8%8.5%15.9%18.2%31.3%2.2%-4.2%-4.6M119.9M-379.2K1.5024.291,8272,74336,859101,767
2015-06-08$22.64$25.0023.6%8.5%15.5%19.9%29.0%3.0%-2.5%-3.9M126.1M-382.1K1.4122.352,6033,68237,982102,049
2015-06-09$22.83$25.0024.2%8.6%16.0%21.1%26.5%3.3%-3.4%-3.9M123.9M-386.1K4.0621.111,1294,58638,971102,131
2015-06-10$23.33$25.0029.8%8.6%18.3%33.1%34.9%4.6%-3.6%-4.3M110.7M-391.1K0.5221.449,5694,94138,900100,276
2015-06-11$23.49$25.0029.8%8.5%18.5%33.0%29.5%3.6%-5.1%-4.1M90.4M-424.6K2.9321.023,44410,09746,828100,069
2015-06-12$23.66$25.0028.0%8.0%18.8%29.3%29.7%6.2%-1.2%-4.1M75.7M-410.8K2.8925.651,6364,72846,84194,036
2015-06-15$23.25$25.0030.3%8.7%19.4%34.0%31.3%4.6%-4.0%-4.2M80.9M-376.2K4.6923.891,0234,79446,85193,632
2015-06-16$23.59$25.0029.1%8.4%20.3%31.6%35.4%7.4%-1.3%-4.2M80.6M-389.0K5.0621.438824,46446,91093,363
2015-06-17$23.57$25.0027.8%8.0%20.0%28.7%26.1%4.4%-1.5%-4.8M71.0M-366.4K4.4028.519274,08146,99393,355
2015-06-18$23.73$25.0028.8%8.3%20.2%30.9%29.2%6.5%-1.5%-5.2M64.8M-353.9K5.2617.247764,07846,96593,443
2015-06-19$23.42$25.0029.4%8.4%20.3%32.1%28.5%5.7%-3.9%-3.1M85.0M-371.6K4.4117.509124,01846,97393,462
2015-06-22$23.78$25.0025.8%7.4%21.2%24.5%24.3%1.6%-2.2%-3.5M42.1M-304.2K1.3421.171,5612,09636,02081,785
2015-06-23$23.92$25.0024.9%7.1%21.3%22.6%22.1%1.0%-2.5%-4.1M36.1M-310.4K1.9921.639991,99036,24482,089
2015-06-24$23.91$25.0028.0%8.0%20.6%29.2%28.3%6.3%-0.6%-3.4M50.7M-359.0K1.6622.911,2242,03336,46382,201
2015-06-25$24.06$25.0026.8%7.7%20.7%26.7%27.3%5.7%-1.1%-3.4M47.4M-355.7K1.7418.421,2242,12736,83882,282
2015-06-26$23.61$25.0024.1%6.9%21.6%21.0%24.4%0.7%-0.9%-3.9M48.1M-298.3K0.4617.128,6253,99937,18382,454
2015-06-29$22.41$25.0033.6%9.6%28.1%41.1%32.7%1.9%-6.3%-3.4M78.2M-332.9K0.5316.325,6593,00034,00584,309
2015-06-30$22.72$25.0033.8%9.7%28.1%41.6%34.6%4.0%-7.6%-3.6M76.7M-331.8K0.6520.264,4572,90632,02485,008