TSM Options History — December 2015

In December 2015, TSM traded between $22.18 and $23.31. ATM implied volatility averaged 27.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 8.2% (HV 20d: 19.5%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 3.72.

Notable Days

  • 2015-12-03: Highest Volume — 10,916 contracts
  • 2015-12-11: Largest IV spike — 12.0% change
  • 2015-12-14: Highest IV Rank — 25.8%
  • 2015-12-14: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.95$22.18$23.31$23.28$22.79
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV27.7%24.5%30.5%25.8%29.3%
Expected Move8.0%7.3%8.7%7.4%8.4%
HV 20d19.5%17.6%24.4%24.4%17.6%
HV 60d22.1%20.0%23.4%22.4%20.0%
IV Rank19.1%11.4%25.8%14.5%23.1%
IV Percentile55.8%22.2%69.4%41.7%64.7%
Term Structure-1.4%-4.2%1.0%0.6%-4.2%
VWIV29.5%25.0%43.5%25.8%43.5%
Skew 25d4.2%2.7%6.6%5.5%4.1%
Skew 10d11.3%-4.4%21.5%7.6%19.9%
Call IV 25d26.0%22.6%29.2%22.6%29.2%
Put IV 25d30.2%27.6%33.6%28.0%33.3%
Bid-Ask Spread %23.6113.2477.1718.3777.17
Gamma HHI0.260.230.300.230.28
Net GEX-1.7M-2.5M-641.8K-1.5M-2.5M
Net DEX18.9M11.6M34.8M14.0M23.1M
Net VEX-297.7K-327.3K-263.0K-323.5K-263.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.720.3911.921.9111.92
Total Volume4,892.31860310,9164,3299,599
Total OI95,390.81891,49897,97196,75595,661

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$23.28$23.0025.8%7.4%24.4%14.5%25.8%5.5%0.6%-1.5M14.0M-323.5K1.9118.371,4882,84122,73974,016
2015-12-02$23.19$23.0025.5%7.3%21.4%13.8%25.3%2.8%0.9%-1.3M12.5M-327.3K1.4617.101,9322,82823,57873,576
2015-12-03$22.94$23.0026.9%7.5%19.4%17.1%26.2%3.5%0.5%-1.4M15.7M-324.6K0.6524.816,6264,29024,08373,308
2015-12-04$23.31$23.0024.5%7.3%18.7%11.4%30.1%4.2%0.5%-1.2M11.6M-313.6K0.7923.095,3484,22422,96272,793
2015-12-07$23.24$23.0025.8%7.3%18.5%14.5%25.0%4.2%1.0%-1.2M11.7M-313.4K0.3918.8443516822,99372,814
2015-12-08$23.11$23.0026.1%7.7%18.6%15.3%30.4%4.8%-0.0%-1.4M15.2M-307.9K1.1318.193,7904,27923,20072,920
2015-12-09$22.74$23.0026.9%7.7%18.1%17.1%27.8%4.8%-0.3%-1.7M21.2M-311.4K0.7120.073,9392,79823,25273,055
2015-12-10$22.63$23.0027.2%7.8%18.1%17.8%29.7%4.8%-1.2%-1.9M23.0M-310.1K3.8116.437532,87023,23573,170
2015-12-11$22.18$23.0030.4%8.7%19.4%25.7%30.1%5.1%-1.8%-2.2M32.5M-310.2K2.6323.159882,59523,16773,206
2015-12-14$22.22$23.0030.5%8.7%18.5%25.8%32.3%3.5%-1.8%-2.5M34.8M-313.2K3.5027.667472,61423,29274,276
2015-12-15$22.84$23.0028.5%8.2%19.6%21.0%31.6%4.5%-1.7%-1.8M23.1M-308.1K3.9925.096212,48023,47274,312
2015-12-16$23.18$23.0029.3%8.4%20.1%22.8%26.7%6.6%-2.8%-1.3M16.2M-301.3K3.4738.976782,35623,49474,381
2015-12-17$22.96$23.0027.0%7.8%20.4%17.5%26.1%3.7%-1.1%-942.4K16.3M-297.1K3.1620.147802,46423,53474,348
2015-12-18$22.99$23.0028.0%8.0%20.3%19.9%27.6%4.6%-2.3%-641.8K18.4M-297.5K3.1921.307962,53723,58974,382
2015-12-21$22.94$23.0028.1%8.1%20.2%20.1%28.2%5.2%-1.4%-2.0M20.5M-289.9K3.7315.526592,45920,00171,497
2015-12-22$23.06$23.0027.0%7.7%19.7%17.4%27.6%2.7%-1.1%-1.9M17.5M-282.8K5.0118.016623,31819,98571,593
2015-12-23$23.07$23.0027.1%7.8%19.6%17.5%27.7%3.0%-1.8%-2.0M17.4M-278.2K5.1418.836213,19020,03672,122
2015-12-24$23.15$23.0027.5%7.9%19.6%18.5%28.1%3.2%-2.4%-1.9M15.8M-278.3K5.1916.166213,22320,17072,344
2015-12-28$23.03$23.0029.4%8.4%19.7%23.2%30.6%3.0%-3.6%-2.1M16.6M-268.3K6.2713.245153,22720,26272,355
2015-12-29$23.08$23.0029.5%8.5%19.1%23.5%31.0%4.0%-3.9%-2.0M16.2M-265.1K5.2122.656093,17520,28572,372
2015-12-30$22.87$23.0029.2%8.4%17.6%22.8%36.8%5.1%-3.6%-2.4M22.4M-264.1K8.6224.627786,71020,38372,385
2015-12-31$22.79$23.0029.3%8.4%17.6%23.1%43.5%4.1%-4.2%-2.5M23.1M-263.0K11.9277.177438,85620,62475,037