TSM Options History — November 2015

In November 2015, TSM traded between $21.90 and $23.48. ATM implied volatility averaged 25.3%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.8% (HV 20d: 22.6%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 6.36.

Notable Days

  • 2015-11-24: Highest Volume — 27,411 contracts
  • 2015-11-17: Largest IV drop — 9.7% change
  • 2015-11-16: Highest IV Rank — 17.9%
  • 2015-11-16: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.60$21.90$23.48$22.09$22.76
Max Pain$22.85$22.00$23.00$22.00$23.00
ATM IV25.3%23.6%27.2%25.5%24.8%
Expected Move7.2%6.8%7.8%7.3%7.1%
HV 20d22.6%18.2%23.9%18.2%23.2%
HV 60d24.6%22.5%25.8%25.5%22.5%
IV Rank13.4%9.4%17.9%13.9%12.1%
IV Percentile36.5%16.7%57.5%40.1%26.2%
Term Structure1.1%-1.6%3.3%-0.4%2.0%
VWIV25.0%22.7%26.8%26.8%25.3%
Skew 25d3.8%1.8%7.1%4.7%4.3%
Skew 10d11.6%3.3%17.9%17.9%11.2%
Call IV 25d23.7%19.4%25.4%25.4%23.9%
Put IV 25d27.5%25.7%30.2%30.2%28.2%
Bid-Ask Spread %20.9313.1926.8821.2826.22
Gamma HHI0.340.200.480.330.25
Net GEX-3.0M-4.8M-1.1M-4.1M-1.8M
Net DEX23.7M6.1M42.0M42.0M23.4M
Net VEX-352.1K-391.4K-319.7K-391.4K-336.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.360.0987.421.890.09
Total Volume3,780.3521227,4113,3101,515
Total OI109,554.8585,606117,479113,44797,091

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$22.09$22.0025.5%7.3%18.2%13.9%26.8%4.7%-0.4%-4.1M42.0M-391.4K1.8921.281,1442,16621,43892,009
2015-11-03$22.86$22.0024.5%7.0%21.2%11.4%26.6%4.0%-0.8%-3.0M22.2M-379.5K2.3619.237361,73921,71291,997
2015-11-04$23.48$22.0026.3%7.5%20.3%15.8%25.3%7.1%-1.6%-1.9M6.1M-356.2K1.0717.221,8561,97821,81192,152
2015-11-05$22.98$23.0025.5%7.2%21.9%13.8%25.5%3.5%1.2%-2.6M13.9M-365.7K2.3418.998031,88022,27892,392
2015-11-06$22.82$23.0024.7%7.0%21.7%12.0%24.4%4.7%2.0%-3.1M22.7M-372.2K3.9123.3110942622,55292,582
2015-11-09$22.96$23.0026.6%6.9%21.8%16.5%25.3%4.3%1.5%-2.9M17.4M-358.2K0.9824.3910710522,57792,456
2015-11-10$22.51$23.0025.8%7.1%22.9%14.5%25.5%3.6%2.0%-3.7M27.8M-369.6K2.4620.656851,68722,61692,490
2015-11-11$22.39$23.0026.4%7.6%22.6%16.0%24.8%3.4%-1.3%-4.1M29.7M-360.5K2.4523.116821,67322,67692,515
2015-11-12$22.25$23.0026.7%7.6%22.1%16.6%22.7%3.8%0.5%-4.4M30.6M-362.3K3.2420.874831,56322,67992,598
2015-11-13$21.90$23.0026.2%7.5%22.6%15.6%25.3%4.6%0.9%-4.8M40.6M-355.6K4.2626.886222,65022,69492,713
2015-11-16$22.35$23.0027.2%7.8%23.7%17.9%26.2%3.2%0.2%-4.6M30.7M-348.1K2.6722.9029678922,80493,023
2015-11-17$22.53$23.0024.5%7.0%23.9%11.6%24.9%3.5%2.1%-3.7M23.0M-341.0K3.6119.176452,33122,95492,639
2015-11-18$22.52$23.0024.8%7.1%23.8%12.3%25.4%2.9%1.2%-4.0M24.4M-336.6K0.6119.572,4571,49022,95892,792
2015-11-19$22.69$23.0024.9%7.1%23.6%12.3%24.9%3.0%1.2%-3.1M16.2M-337.2K0.7921.801,9961,58424,69592,768
2015-11-20$22.85$23.0024.6%7.0%23.7%11.6%23.9%3.8%1.3%-1.1M10.3M-330.3K2.8513.195331,52024,72392,756
2015-11-23$22.57$23.0023.6%6.8%23.7%9.4%24.2%3.0%1.4%-1.2M17.4M-319.7K0.5720.2377944421,55864,048
2015-11-24$22.50$23.0025.5%7.3%23.7%13.8%25.6%3.2%3.3%-1.2M19.0M-320.1K87.4222.9231027,10122,19864,386
2015-11-25$22.53$23.0023.9%6.9%23.6%10.1%24.0%3.9%2.9%-2.1M28.0M-352.5K1.9316.341,4942,87722,25673,528
2015-11-27$22.45$23.0024.6%7.0%23.0%11.5%23.6%1.8%3.3%-2.1M29.0M-348.4K1.6720.391,6302,72222,96974,014
2015-11-30$22.76$23.0024.8%7.1%23.2%12.1%25.3%4.3%2.0%-1.8M23.4M-336.2K0.0926.221,39512023,05674,035