TSM Options History — September 2015

In September 2015, TSM traded between $19.39 and $20.75. ATM implied volatility averaged 35.3%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 8.2% (HV 20d: 27.2%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 3.68.

Notable Days

  • 2015-09-25: Highest Volume — 21,624 contracts
  • 2015-09-02: Largest IV drop — 14.6% change
  • 2015-09-01: Highest IV Rank — 54.7%
  • 2015-09-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.08$19.39$20.75$19.39$20.75
Max Pain$20.90$20.00$21.00$20.00$21.00
ATM IV35.3%31.0%42.0%42.0%35.9%
Expected Move10.2%8.9%12.0%12.0%10.3%
HV 20d27.2%22.2%31.5%29.3%25.8%
HV 60d27.3%25.7%28.0%27.3%27.5%
IV Rank38.0%27.1%54.7%54.7%38.9%
IV Percentile84.7%74.6%94.8%94.8%85.3%
Term Structure-3.4%-5.9%1.0%-0.6%-5.3%
VWIV35.9%30.6%44.3%44.3%34.6%
Skew 25d7.8%5.7%9.9%6.9%9.9%
Skew 10d15.5%-4.7%34.5%23.9%34.5%
Call IV 25d32.7%28.4%40.7%40.7%33.2%
Put IV 25d40.5%36.6%47.6%47.6%43.1%
Bid-Ask Spread %29.8319.3183.0983.0922.99
Gamma HHI0.210.140.330.240.33
Net GEX-2.0M-2.8M-1.5M-2.4M-2.4M
Net DEX60.6M39.1M81.1M78.5M57.5M
Net VEX-425.0K-469.3K-381.2K-433.4K-441.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.680.1811.391.721.88
Total Volume9,098.66781621,6245,1663,947
Total OI131,868.619116,390139,467128,482137,195

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$19.39$20.0042.0%12.0%29.3%54.7%44.3%6.9%-0.6%-2.4M78.5M-433.4K1.7283.091,8983,26838,34590,137
2015-09-02$19.90$20.0035.9%10.3%31.0%40.3%36.6%9.4%1.0%-2.5M71.5M-451.8K1.0578.169,64110,12339,16691,240
2015-09-03$20.11$21.0035.3%10.0%31.1%39.1%35.1%7.4%-2.5%-2.3M62.2M-469.3K2.3936.803,8929,31544,72492,997
2015-09-04$19.70$21.0036.2%10.6%31.5%41.2%37.2%7.0%-3.8%-2.3M70.1M-465.9K0.7835.913,8482,99446,13793,330
2015-09-08$20.05$21.0034.9%10.3%30.2%37.7%36.7%6.9%-4.7%-1.6M56.4M-443.8K0.1822.9569012646,14386,222
2015-09-09$19.84$21.0035.5%10.2%27.7%39.1%34.5%5.7%-2.8%-1.6M57.3M-445.1K0.2727.489,9982,66345,99486,278
2015-09-10$19.73$21.0034.9%10.0%27.6%37.7%34.3%7.6%-3.6%-1.8M65.9M-421.5K2.4828.823,0517,57145,58786,159
2015-09-11$19.90$21.0035.4%10.1%27.8%37.6%35.7%8.8%-3.6%-2.2M64.0M-430.5K3.0421.902,7158,26445,55090,515
2015-09-14$20.00$21.0036.5%10.5%27.8%40.3%36.2%9.0%-4.3%-2.1M58.9M-429.4K2.6528.962,8757,60845,60992,065
2015-09-15$20.39$21.0034.9%10.0%28.6%36.5%30.6%9.3%-3.9%-1.8M47.7M-426.8K3.3921.494811,62945,61792,063
2015-09-16$20.64$21.0031.8%9.1%28.5%28.9%37.8%8.4%-2.4%-1.5M41.7M-426.5K7.2421.241,2338,92345,64992,205
2015-09-17$20.64$21.0031.0%8.9%28.4%27.1%36.0%8.3%-2.7%-1.6M39.1M-420.8K7.1427.471,2498,92345,84792,405
2015-09-18$20.58$21.0031.0%8.9%27.8%27.2%35.4%6.9%-2.6%-1.7M39.2M-414.5K11.3923.1691510,42045,91392,271
2015-09-21$20.53$21.0032.4%9.3%24.0%30.3%36.0%7.2%-3.0%-1.7M50.4M-400.7K3.8420.131,2544,81437,56978,821
2015-09-22$20.01$21.0034.7%9.9%26.2%35.9%33.0%6.3%-2.8%-1.8M60.4M-385.9K1.6519.311,9113,14837,92279,131
2015-09-23$20.00$21.0034.9%10.0%25.9%36.5%32.1%6.4%-5.1%-1.8M61.1M-381.2K2.3022.113,4287,88238,40879,174
2015-09-24$19.96$21.0035.7%10.2%23.3%38.4%34.3%8.4%-4.0%-2.0M67.2M-396.9K0.8121.423,4722,81140,75283,822
2015-09-25$20.07$21.0036.4%10.4%22.2%40.1%36.9%7.0%-5.1%-2.0M62.4M-402.4K5.8021.343,17818,44641,05183,801
2015-09-28$19.70$21.0039.2%11.2%23.0%46.7%39.5%7.6%-5.9%-2.7M81.1M-416.3K9.0821.196485,88241,13495,189
2015-09-29$19.88$21.0037.6%10.8%23.2%42.9%37.4%9.2%-4.5%-2.8M80.8M-422.0K8.1420.466505,28841,13595,969
2015-09-30$20.75$21.0035.9%10.3%25.8%38.9%34.6%9.9%-5.3%-2.4M57.5M-441.1K1.8822.991,3692,57841,19196,004