TSM Options History — July 2015

In July 2015, TSM traded between $21.62 and $23.18. ATM implied volatility averaged 31.3%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.4% (HV 20d: 26.8%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.07.

Notable Days

  • 2015-07-15: Highest Volume — 21,927 contracts
  • 2015-07-15: Largest IV drop — 54.1% change
  • 2015-07-14: Highest IV Rank — 99.8%
  • 2015-07-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.52$21.62$23.18$22.95$22.10
Max Pain$23.23$23.00$25.00$25.00$23.00
ATM IV31.3%19.8%61.3%33.7%22.4%
Expected Move7.3%5.7%9.7%9.7%6.4%
HV 20d26.8%22.7%29.1%28.4%26.1%
HV 60d21.9%21.1%23.0%21.3%23.0%
IV Rank36.1%11.7%99.8%41.4%17.3%
IV Percentile54.0%7.1%99.6%90.9%23.0%
Term Structure-0.8%-7.9%3.3%-7.9%-0.4%
VWIV25.5%20.2%34.2%28.5%21.7%
Skew 25d3.3%1.1%8.5%2.7%1.1%
Skew 10d8.3%-0.1%14.0%-0.1%4.1%
Call IV 25d23.9%15.2%32.1%32.1%22.1%
Put IV 25d27.2%21.5%36.5%34.8%23.1%
Bid-Ask Spread %22.2715.9131.0920.6221.18
Gamma HHI0.310.250.410.270.27
Net GEX-2.7M-4.4M-959.4K-3.8M-1.8M
Net DEX55.5M15.7M94.7M72.5M29.0M
Net VEX-350.8K-396.1K-312.9K-333.5K-396.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.070.927.931.273.27
Total Volume9,897.1824,24021,9274,81115,365
Total OI105,981.09169,853144,442117,65388,839

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$22.95$25.0033.7%9.7%28.4%41.4%28.5%2.7%-7.9%-3.8M72.5M-333.5K1.2720.622,1222,68932,17885,475
2015-07-02$23.18$25.0032.6%9.3%26.4%38.9%34.2%4.7%-6.5%-3.9M67.4M-333.2K1.3315.912,0602,73232,16185,920
2015-07-06$22.97$24.0038.4%7.9%26.6%51.3%27.0%3.4%-1.1%-3.9M71.8M-316.4K1.4122.032,6393,72032,38986,032
2015-07-07$22.93$23.0040.3%7.9%26.3%55.3%28.1%3.0%-0.2%-3.8M73.9M-312.9K4.5425.171,8368,33133,42785,731
2015-07-08$22.25$23.0041.6%8.5%28.3%58.0%29.8%3.6%-0.9%-3.7M94.7M-351.1K5.4023.811,94010,47833,38091,574
2015-07-09$22.27$23.0046.2%8.7%27.0%67.7%29.5%3.9%-2.0%-3.6M91.3M-350.4K2.3624.954,0709,59333,57590,307
2015-07-10$22.56$23.0047.9%8.1%27.4%71.3%29.4%4.3%-1.0%-4.0M84.8M-364.0K0.9216.672,9722,73335,39794,398
2015-07-13$22.87$23.0055.4%8.1%27.7%87.3%29.2%3.5%-1.3%-4.2M77.3M-344.8K3.1822.721,8695,94836,04894,228
2015-07-14$22.83$23.0061.3%8.1%27.1%99.8%28.8%4.1%-1.9%-4.4M79.1M-351.2K1.7622.203,9506,95435,91596,990
2015-07-15$22.54$23.0028.1%8.1%26.8%29.5%29.1%3.2%-1.0%-4.2M85.4M-373.7K1.0122.5810,92611,00137,64897,383
2015-07-16$22.76$23.0020.2%5.8%27.1%12.6%21.3%2.4%3.3%-3.4M84.4M-348.0K4.7931.092,0709,90743,57899,191
2015-07-17$23.02$23.0019.8%5.7%27.3%11.7%20.5%3.4%3.2%-995.2K52.0M-342.4K1.9826.531,6643,29543,964100,478
2015-07-20$22.91$23.0020.2%5.8%27.0%12.7%20.2%2.3%0.4%-967.7K16.0M-341.6K1.2423.512,0682,55820,58849,265
2015-07-21$22.90$23.0020.5%5.9%26.3%13.4%20.6%4.0%0.8%-959.4K15.7M-342.0K1.5820.031,6412,59921,64550,033
2015-07-22$22.20$23.0022.5%6.5%28.1%17.5%22.6%2.5%0.2%-1.2M25.2M-339.5K2.6222.622,3456,13622,11550,053
2015-07-23$22.27$23.0022.7%6.5%28.2%18.0%22.2%3.7%-0.8%-1.5M26.5M-349.2K1.6219.512,0173,26522,87252,666
2015-07-24$21.67$23.0023.1%6.6%29.1%18.8%23.8%1.8%-0.9%-1.6M34.9M-340.0K7.3623.161,92114,14722,87952,660
2015-07-27$21.62$23.0023.9%6.9%28.7%20.6%25.5%2.8%-0.5%-2.2M43.2M-367.6K7.9322.921,49911,88323,09061,610
2015-07-28$21.84$23.0023.7%6.8%22.9%20.1%23.9%1.1%-1.1%-2.2M39.2M-371.0K5.3717.391,7599,44223,09461,883
2015-07-29$22.11$23.0021.9%6.3%22.7%16.4%22.6%2.1%0.7%-1.9M33.3M-374.2K4.5628.401,9268,77923,50161,597
2015-07-30$22.72$23.0021.2%6.1%24.6%14.7%21.3%8.5%0.6%-1.5M22.4M-374.8K2.1516.894,0948,79524,16661,661
2015-07-31$22.10$23.0022.4%6.4%26.1%17.3%21.7%1.1%-0.4%-1.8M29.0M-396.1K3.2721.183,60111,76427,21461,625