TSM Options History — January 2016

In January 2016, TSM traded between $20.51 and $22.35. ATM implied volatility averaged 33.9%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.0% (HV 20d: 28.9%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 4.00.

Notable Days

  • 2016-01-14: Highest Volume — 17,248 contracts
  • 2016-01-13: Largest IV drop — 47.5% change
  • 2016-01-12: Highest IV Rank — 87.3%
  • 2016-01-07: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.44$20.51$22.35$22.07$22.35
Max Pain$22.05$22.00$23.00$23.00$22.00
ATM IV33.9%25.5%56.0%39.2%25.5%
Expected Move8.1%7.3%9.0%8.4%7.3%
HV 20d28.9%19.4%38.0%20.5%38.0%
HV 60d24.0%20.0%27.6%20.1%27.6%
IV Rank34.0%13.8%87.3%46.9%13.8%
IV Percentile67.6%32.1%99.2%90.1%32.1%
Term Structure-0.5%-1.6%0.6%-1.3%-0.1%
VWIV27.9%23.2%31.3%28.9%24.4%
Skew 25d4.9%3.1%7.3%5.0%7.3%
Skew 10d10.5%6.2%19.1%8.2%10.5%
Call IV 25d26.1%20.0%28.9%26.9%20.0%
Put IV 25d31.1%27.2%33.4%31.9%27.2%
Bid-Ask Spread %24.6020.1532.7827.0524.62
Gamma HHI0.300.250.530.270.26
Net GEX-2.1M-5.3M-516.7K-3.0M-516.7K
Net DEX36.7M12.0M75.7M38.2M12.0M
Net VEX-227.7K-264.8K-206.6K-264.8K-226.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.000.478.684.290.47
Total Volume7,727.2114,08717,2484,0874,704
Total OI74,166.42136,457114,01699,35644,385

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$22.07$23.0039.2%8.4%20.5%46.9%28.9%5.0%-1.3%-3.0M38.2M-264.8K4.2927.057723,31520,71778,639
2016-01-05$22.00$22.0037.8%7.9%19.4%43.5%28.3%3.5%0.5%-3.2M39.0M-257.8K3.7022.781,1294,17420,79878,864
2016-01-06$21.34$22.0041.0%8.5%21.8%51.1%29.5%6.1%-0.7%-3.6M53.1M-250.4K2.2023.271,6333,59921,32479,080
2016-01-07$21.15$22.0045.0%9.0%21.8%60.7%29.0%5.0%-1.4%-3.6M58.8M-242.6K1.6122.461,7052,74221,79679,135
2016-01-08$20.77$22.0043.8%8.6%22.0%57.9%29.1%3.5%-0.5%-3.5M62.7M-236.0K3.9623.141,4525,75622,14679,129
2016-01-11$20.93$22.0051.2%8.6%22.4%75.8%29.3%4.9%-1.6%-3.5M59.8M-228.4K4.0723.471,1394,63222,48179,477
2016-01-12$20.76$22.0056.0%8.3%21.6%87.3%29.4%4.8%-0.9%-3.5M66.8M-222.6K8.6826.641,15310,01122,56879,363
2016-01-13$20.51$22.0029.4%8.4%21.8%23.2%31.3%4.6%-1.5%-4.0M75.7M-215.3K1.9826.415,67711,23922,62183,889
2016-01-14$21.77$22.0027.2%7.8%29.5%17.8%27.7%4.0%0.1%-5.3M40.2M-219.1K2.0321.855,68811,56026,59987,417
2016-01-15$21.11$22.0028.8%8.2%30.4%21.7%28.6%3.1%0.6%-664.7K55.1M-206.6K3.9030.001,2334,80825,36586,236
2016-01-19$21.70$22.0027.6%7.9%32.4%18.8%27.4%5.4%-0.2%-648.0K16.5M-209.9K2.1724.742,0884,5328,61427,843
2016-01-20$21.07$22.0030.0%8.6%33.7%24.8%30.2%6.5%-0.4%-620.3K19.0M-208.6K4.0426.731,2815,1719,66828,083
2016-01-21$21.34$22.0029.7%8.5%34.3%24.0%29.6%5.5%-1.4%-622.6K17.8M-214.5K7.8023.809657,5249,78628,539
2016-01-22$21.91$22.0025.7%7.4%35.8%14.2%30.7%5.6%0.6%-701.3K15.5M-224.3K7.3020.151,0607,7439,95231,626
2016-01-25$21.80$22.0026.0%7.5%35.8%15.1%23.2%5.3%-0.1%-704.6K15.8M-221.0K4.7120.951,2906,07310,07431,801
2016-01-26$21.54$22.0026.9%7.7%35.8%17.1%25.6%4.7%-0.8%-803.9K17.9M-224.3K3.5621.121,6425,84210,47032,497
2016-01-27$21.65$22.0026.8%7.7%35.9%16.8%23.6%3.9%0.1%-723.1K16.5M-226.1K4.3632.781,2795,57311,02332,877
2016-01-28$21.64$22.0026.1%7.5%35.9%15.1%24.5%5.1%-0.0%-705.7K16.8M-226.8K5.1025.451,0885,54511,37932,901
2016-01-29$22.35$22.0025.5%7.3%38.0%13.8%24.4%7.3%-0.1%-516.7K12.0M-226.9K0.4724.623,2031,50111,43132,954