TSM Options History — October 2015

In October 2015, TSM traded between $20.73 and $22.47. ATM implied volatility averaged 33.3%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 8.4% (HV 20d: 24.9%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 5.61.

Notable Days

  • 2015-10-07: Highest Volume — 27,343 contracts
  • 2015-10-14: Largest IV drop — 49.4% change
  • 2015-10-13: Highest IV Rank — 92.1%
  • 2015-10-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.93$20.73$22.47$20.74$22.01
Max Pain$21.77$20.00$22.00$21.00$22.00
ATM IV33.3%24.6%58.1%36.9%25.5%
Expected Move8.3%7.1%10.6%10.6%7.3%
HV 20d24.9%20.1%27.1%24.4%21.1%
HV 60d27.2%25.7%28.3%26.9%25.7%
IV Rank32.6%11.8%92.1%41.2%13.9%
IV Percentile65.3%33.3%99.2%87.3%40.5%
Term Structure-1.5%-5.8%1.8%-5.1%-0.9%
VWIV29.7%24.4%38.3%34.3%25.5%
Skew 25d5.6%3.0%9.8%9.8%3.0%
Skew 10d13.5%2.0%26.1%13.2%16.0%
Call IV 25d26.2%21.4%35.3%32.7%24.5%
Put IV 25d31.8%26.9%42.5%42.4%27.5%
Bid-Ask Spread %23.8215.1234.2333.8818.36
Gamma HHI0.310.230.450.340.33
Net GEX-3.3M-5.2M-1.9M-2.4M-4.0M
Net DEX36.9M12.1M55.7M54.3M44.2M
Net VEX-430.2K-459.2K-403.9K-445.2K-403.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.611.1512.162.332.55
Total Volume8,186.1361,94327,3433,7803,114
Total OI133,630.409109,066171,671137,787113,198

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$20.74$21.0036.9%10.6%24.4%41.2%34.3%9.8%-5.1%-2.4M54.3M-445.2K2.3333.881,1342,64641,77796,010
2015-10-02$20.73$21.0035.9%10.3%24.2%38.9%38.3%7.2%-5.8%-2.4M55.7M-435.0K4.6729.508123,78841,87196,003
2015-10-05$21.40$20.0039.3%8.8%25.0%47.1%29.8%4.8%-1.4%-1.9M35.1M-429.5K2.3820.495741,36941,99795,348
2015-10-06$21.23$21.0039.7%9.0%24.8%48.1%31.0%6.8%-1.9%-2.0M41.2M-426.9K10.9025.451,48816,21642,28796,146
2015-10-07$21.92$22.0041.6%9.3%26.3%52.6%34.5%8.5%-4.1%-2.5M28.9M-455.3K6.3721.393,70923,63442,587107,417
2015-10-08$22.19$22.0041.7%9.2%26.1%52.8%34.2%6.0%-3.4%-2.9M25.3M-459.0K1.1525.263,4403,94242,569113,067
2015-10-09$21.99$22.0046.1%9.1%26.6%63.3%33.5%6.2%-3.0%-3.1M33.7M-459.2K12.1624.5789410,86841,398113,253
2015-10-12$22.09$22.0055.3%9.3%26.6%85.4%34.0%7.1%-3.9%-3.7M31.3M-451.7K9.7719.791,04510,21041,524119,088
2015-10-13$21.95$22.0058.1%9.1%26.4%92.1%32.1%7.0%-3.4%-4.1M41.4M-454.3K8.2333.781,1349,33341,745121,780
2015-10-14$22.25$22.0029.4%8.4%26.4%23.2%29.4%5.8%-1.1%-3.3M21.0M-423.3K8.9134.232,21119,70141,789115,346
2015-10-15$21.94$22.0026.3%7.5%27.1%15.8%27.5%3.8%1.0%-5.2M44.3M-436.7K10.3331.461,10911,45242,816128,855
2015-10-16$22.15$22.0024.6%7.1%27.1%11.8%29.3%3.4%1.8%-3.4M12.1M-431.8K3.9123.281,5556,07742,954119,244
2015-10-19$22.22$22.0025.1%7.2%27.1%12.9%27.2%3.7%0.4%-3.4M38.6M-429.3K4.8928.499284,53820,35888,708
2015-10-20$22.31$22.0025.2%7.2%24.7%13.1%26.0%4.6%0.6%-3.5M36.4M-426.7K4.4521.101,0474,65420,40189,056
2015-10-21$22.22$22.0025.4%7.3%24.8%13.6%24.4%3.7%-0.2%-3.5M37.0M-423.3K5.6320.427374,14920,67089,268
2015-10-22$22.47$22.0025.9%7.4%24.8%14.7%25.8%6.3%-0.7%-3.3M32.3M-414.3K3.8115.127312,78320,80989,316
2015-10-23$22.47$22.0025.2%7.2%24.9%13.2%25.9%4.9%0.7%-3.3M31.2M-413.3K4.9122.006643,26120,90790,000
2015-10-26$22.17$22.0026.4%7.6%24.2%16.0%25.1%3.9%-0.7%-3.6M38.3M-413.0K3.6321.347712,79820,93790,734
2015-10-27$22.21$22.0026.3%7.5%24.3%15.7%29.4%6.5%-0.1%-3.7M39.2M-414.5K6.4218.347254,65721,08491,624
2015-10-28$22.08$22.0026.6%7.6%20.1%16.4%28.7%5.3%-1.0%-3.9M41.8M-409.0K3.2220.077682,47021,11191,702
2015-10-29$21.78$22.0025.8%7.4%21.0%14.6%27.2%4.0%-1.2%-4.1M49.3M-409.8K2.7615.687872,17221,20791,908
2015-10-30$22.01$22.0025.5%7.3%21.1%13.9%25.5%3.0%-0.9%-4.0M44.2M-403.9K2.5518.368772,23721,30691,892