TSM Options History — March 2016

In March 2016, TSM traded between $24.56 and $26.44. ATM implied volatility averaged 26.1%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.7% (HV 20d: 23.4%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 5.58.

Notable Days

  • 2016-03-02: Highest Volume — 14,740 contracts
  • 2016-03-18: Largest IV spike — 9.4% change
  • 2016-03-29: Highest IV Rank — 23.6%
  • 2016-03-29: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.34$24.56$26.44$24.58$26.20
Max Pain$22.50$22.00$23.00$23.00$23.00
ATM IV26.1%22.2%29.6%23.2%29.2%
Expected Move7.6%6.7%8.5%6.7%8.4%
HV 20d23.4%17.5%27.7%27.7%18.1%
HV 60d28.4%27.7%28.8%28.8%27.9%
IV Rank15.2%5.9%23.6%8.3%22.7%
IV Percentile39.1%6.0%67.5%11.1%64.7%
Term Structure-0.3%-4.7%2.9%2.9%-3.8%
VWIV26.7%24.7%29.1%25.5%28.5%
Skew 25d4.0%1.1%6.4%4.0%1.1%
Skew 10d11.1%-1.2%18.8%11.9%-1.2%
Call IV 25d24.6%20.6%28.0%22.6%28.0%
Put IV 25d28.6%25.4%30.4%26.6%29.1%
Bid-Ask Spread %21.7713.1732.2824.8018.48
Gamma HHI0.230.180.280.200.28
Net GEX1.5M-188.3K2.7M-188.3K2.7M
Net DEX-31.0M-50.3M-9.0M-9.0M-47.6M
Net VEX-315.7K-329.5K-298.9K-305.3K-299.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.580.7612.734.041.63
Total Volume7,270.9553,39214,7407,7696,435
Total OI96,070.09180,580110,56393,98184,970

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$24.58$23.0023.2%6.7%27.7%8.3%25.5%4.0%2.9%-188.3K-9.0M-305.3K4.0424.801,5416,22827,90466,077
2016-03-02$24.62$23.0023.6%6.8%27.7%9.3%25.3%2.5%1.3%42.0K-11.5M-302.6K0.7621.298,3616,37928,49266,350
2016-03-03$24.56$22.0022.2%7.3%27.5%5.9%25.8%4.6%1.5%284.7K-15.9M-327.4K6.6021.419736,42634,65966,556
2016-03-04$24.65$22.0023.4%7.1%27.3%8.7%24.7%4.4%2.8%428.4K-17.2M-329.5K3.7725.481,6716,29234,79266,669
2016-03-07$24.69$22.0024.3%7.4%26.2%10.9%25.9%5.1%1.8%518.0K-16.9M-328.1K3.1224.671,9195,98635,81966,661
2016-03-08$24.66$22.0025.4%7.5%26.2%13.6%27.4%4.3%1.2%504.2K-17.5M-328.7K4.2727.511,4136,03736,03766,892
2016-03-09$24.69$22.0026.6%7.6%25.4%16.5%27.8%4.6%0.5%796.9K-19.2M-326.1K4.1021.381,4425,90736,61466,919
2016-03-10$24.75$22.0025.8%7.4%24.7%14.6%26.0%3.9%2.1%877.6K-20.6M-321.0K1.9422.702,9315,68936,73766,928
2016-03-11$25.31$22.0025.9%7.4%24.7%14.6%24.7%3.6%1.8%1.9M-36.5M-319.0K5.6117.941,0696,00138,69666,937
2016-03-14$25.19$22.0026.8%7.7%25.0%16.9%28.2%5.4%0.8%1.8M-34.4M-317.1K4.5314.437563,42238,97767,185
2016-03-15$24.87$22.0027.1%7.8%20.0%17.6%29.1%4.2%-0.1%1.4M-26.9M-317.2K3.2413.179773,16139,14367,539
2016-03-16$25.74$22.0025.9%7.4%22.7%14.7%27.0%4.5%0.3%1.9M-44.2M-308.5K3.6532.287302,66239,29167,965
2016-03-17$25.79$22.0024.2%6.9%22.7%10.6%25.7%5.9%1.6%2.0M-45.2M-308.1K8.8421.836405,66039,39568,064
2016-03-18$26.05$23.0026.4%7.6%22.7%16.0%25.9%6.4%0.2%1.8M-49.5M-316.1K3.0827.431,9826,10439,45971,104
2016-03-21$25.90$23.0027.1%7.8%23.0%17.7%26.4%3.4%-2.3%1.9M-36.3M-319.9K6.4226.688945,73836,55244,028
2016-03-22$25.82$23.0026.8%7.7%21.1%16.8%25.8%3.3%-2.5%2.2M-38.2M-320.6K5.3921.271,1426,16038,45444,242
2016-03-23$25.71$23.0027.1%7.8%21.3%17.8%25.9%2.7%-3.3%2.2M-35.5M-320.8K9.2720.406556,07438,63744,235
2016-03-24$25.72$23.0027.6%7.9%21.3%18.8%26.3%3.5%-3.5%2.4M-35.0M-314.0K12.1921.115526,72938,67844,272
2016-03-28$25.64$23.0027.7%7.9%21.4%19.1%28.4%3.1%-3.3%2.4M-34.6M-309.4K12.6717.705446,89038,73744,715
2016-03-29$25.94$23.0029.6%8.5%21.2%23.6%29.0%4.2%-4.7%2.6M-40.1M-308.9K12.7317.005316,75838,86945,142
2016-03-30$26.44$23.0027.9%8.0%17.5%19.7%28.1%3.0%-2.7%2.5M-50.3M-298.9K4.9620.061,4257,07538,93445,216
2016-03-31$26.20$23.0029.2%8.4%18.1%22.7%28.5%1.1%-3.8%2.7M-47.6M-299.1K1.6318.482,4443,99139,39545,575