TSM Options History — February 2016

In February 2016, TSM traded between $22.05 and $23.92. ATM implied volatility averaged 28.3%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.4% (HV 20d: 30.7%). 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 13 of 20 days. Put/call ratio averaged 5.52.

Notable Days

  • 2016-02-17: Highest Volume — 23,633 contracts
  • 2016-02-08: Largest IV spike — 15.2% change
  • 2016-02-11: Highest IV Rank — 34.2%
  • 2016-02-11: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.11$22.05$23.92$22.47$23.61
Max Pain$22.85$22.00$23.00$22.00$23.00
ATM IV28.3%25.4%34.0%26.6%26.9%
Expected Move8.1%7.3%9.7%7.6%7.7%
HV 20d30.7%24.3%38.0%38.0%24.3%
HV 60d27.0%25.8%28.0%26.7%27.6%
IV Rank20.7%13.7%34.2%16.5%17.1%
IV Percentile54.4%28.6%77.8%48.0%48.0%
Term Structure0.3%-2.0%2.3%-0.7%-0.2%
VWIV29.9%25.5%35.5%25.8%30.1%
Skew 25d5.5%3.0%9.7%7.2%5.2%
Skew 10d14.3%7.4%22.4%12.0%7.4%
Call IV 25d25.7%19.7%30.1%19.7%25.1%
Put IV 25d31.1%27.0%37.8%27.0%30.3%
Bid-Ask Spread %24.3717.6732.1322.1425.24
Gamma HHI0.270.220.380.230.22
Net GEX-1.9M-3.2M-285.3K-295.9K-1.4M
Net DEX22.4M3.7M56.0M8.1M9.2M
Net VEX-328.8K-369.3K-234.8K-234.8K-322.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.520.6119.382.957.20
Total Volume13,995.756,44423,6338,6307,625
Total OI85,343.248,57399,71748,57393,934

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$22.47$22.0026.6%7.6%38.0%16.5%25.8%7.2%-0.7%-295.9K8.1M-234.8K2.9522.142,1846,44614,36934,204
2016-02-02$22.55$22.0025.8%7.4%36.2%14.4%27.3%9.7%0.9%-285.3K8.0M-237.2K7.6523.212,56819,63314,42634,471
2016-02-03$22.92$22.0027.3%7.8%36.5%18.0%29.5%3.3%0.2%-967.6K15.7M-298.4K19.3826.7891717,77315,23347,878
2016-02-04$23.18$23.0026.5%7.8%34.5%16.1%30.0%4.5%1.1%-1.9M23.4M-330.7K7.4420.989847,31815,40058,827
2016-02-05$22.77$23.0028.2%7.9%35.1%20.4%28.9%3.0%1.7%-2.1M28.1M-334.9K11.1426.718749,73815,67861,305
2016-02-08$22.86$23.0032.6%8.8%34.2%30.8%34.9%4.5%-0.3%-3.2M44.7M-369.3K4.3227.771,4676,33815,80073,688
2016-02-09$22.55$23.0031.6%8.9%34.8%28.5%33.4%4.8%-0.9%-3.2M49.8M-367.0K2.3732.133,8119,02516,25973,862
2016-02-10$22.29$23.0031.7%9.1%34.9%28.7%34.2%4.7%-0.8%-2.9M48.4M-360.5K1.4727.703,9685,84419,25871,439
2016-02-11$22.05$23.0034.0%9.7%34.9%34.2%33.8%7.6%-2.0%-2.8M56.0M-355.9K2.6030.565,29113,74719,41171,307
2016-02-12$22.22$23.0031.9%9.1%28.0%29.3%32.2%7.2%-0.3%-3.0M52.2M-367.4K3.5226.564,89217,20020,53273,838
2016-02-16$23.35$23.0030.1%8.6%30.3%24.9%35.5%6.1%0.2%-2.3M20.6M-358.6K8.3224.101,54112,82421,27778,267
2016-02-17$23.65$23.0027.0%7.7%29.3%17.5%29.3%6.6%1.4%-2.3M15.2M-351.7K12.2118.541,78921,84421,43377,872
2016-02-18$23.80$23.0027.8%8.0%26.5%19.2%29.5%5.6%0.9%-2.0M8.5M-339.8K10.8523.661,24413,49922,08377,634
2016-02-19$23.78$23.0026.3%7.5%26.5%15.7%27.8%5.3%0.3%-1.9M3.7M-319.0K1.9519.282,1844,26022,28771,409
2016-02-22$23.92$23.0026.4%7.6%25.3%16.0%25.5%5.8%0.9%-1.8M10.2M-309.8K0.6117.679,8645,99618,00165,187
2016-02-23$23.41$23.0027.0%7.7%26.7%17.5%27.0%5.5%0.5%-1.7M14.4M-336.9K0.7524.759,6727,27226,87965,662
2016-02-24$23.43$23.0027.9%8.0%26.1%19.6%28.1%5.3%0.7%-1.7M15.5M-334.0K0.6423.819,7666,29326,74065,769
2016-02-25$23.65$23.0025.4%7.3%26.2%13.7%27.4%3.8%2.3%-1.5M10.5M-329.7K0.6520.539,6546,29226,97065,566
2016-02-26$23.78$23.0026.0%7.4%26.1%14.9%27.1%3.8%0.8%-1.2M5.6M-318.2K4.4825.261,5116,76727,12765,582
2016-02-29$23.61$23.0026.9%7.7%24.3%17.1%30.1%5.2%-0.2%-1.4M9.2M-322.0K7.2025.249306,69527,84566,089