TSM Options History — April 2016

In April 2016, TSM traded between $23.54 and $26.17. ATM implied volatility averaged 28.1%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.9% (HV 20d: 20.2%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.23.

Notable Days

  • 2016-04-13: Highest Volume — 11,089 contracts
  • 2016-04-13: Largest IV drop — 53.8% change
  • 2016-04-12: Highest IV Rank — 83.8%
  • 2016-04-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.27$23.54$26.17$26.13$23.54
Max Pain$24.90$23.00$25.00$23.00$25.00
ATM IV28.1%21.7%54.5%28.7%23.5%
Expected Move6.9%6.2%8.2%8.2%6.7%
HV 20d20.2%18.1%25.5%18.1%25.5%
HV 60d24.5%21.9%27.9%27.9%24.5%
IV Rank20.1%4.6%83.8%21.6%8.9%
IV Percentile37.5%5.2%98.0%63.1%16.7%
Term Structure0.3%-3.8%3.8%-3.8%-0.6%
VWIV24.2%20.5%29.0%29.0%23.8%
Skew 25d3.8%1.5%5.6%5.0%4.9%
Skew 10d8.8%-5.9%19.8%19.8%5.1%
Call IV 25d22.7%18.3%26.3%26.3%22.9%
Put IV 25d26.5%22.8%31.3%31.3%27.8%
Bid-Ask Spread %25.6419.1255.0022.6033.25
Gamma HHI0.230.170.340.280.18
Net GEX1.3M-855.6K3.6M2.7M-855.6K
Net DEX-15.5M-46.0M21.1M-42.4M21.1M
Net VEX-277.2K-295.6K-259.6K-294.6K-278.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.873.721.802.39
Total Volume6,291.5714,33011,0896,1924,825
Total OI72,494.1953,19992,33584,13561,227

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$26.13$23.0028.7%8.2%18.1%21.6%29.0%5.0%-3.8%2.7M-42.4M-294.6K1.8022.602,2113,98138,53045,605
2016-04-04$25.83$25.0031.8%7.6%18.8%29.0%26.2%3.1%0.5%2.8M-38.4M-295.6K1.6527.872,5714,24338,64645,670
2016-04-05$25.53$25.0031.3%7.5%19.5%27.8%26.6%3.5%0.9%2.8M-31.6M-294.5K2.0319.691,9393,92739,17045,986
2016-04-06$25.65$25.0031.4%7.4%19.5%27.9%26.0%4.9%0.1%3.0M-33.6M-293.8K2.0836.211,9274,00139,25145,996
2016-04-07$25.34$25.0038.1%8.0%20.1%44.2%27.2%3.8%-0.0%2.6M-26.9M-294.4K2.0523.972,0774,25139,36046,193
2016-04-08$25.24$25.0037.0%7.8%20.2%41.5%27.5%3.6%0.0%2.7M-25.6M-293.4K1.9323.772,2094,26939,55746,399
2016-04-11$25.53$25.0044.4%7.6%19.0%59.4%27.6%2.8%0.2%3.1M-32.2M-281.9K1.2022.413,5074,20639,81546,420
2016-04-12$25.57$25.0054.5%7.6%18.9%83.8%26.8%3.7%0.2%3.1M-32.3M-274.1K1.2319.123,5654,38539,86246,534
2016-04-13$26.17$25.0025.2%7.2%19.8%13.1%26.1%4.4%1.9%3.6M-46.0M-266.3K1.1826.155,0836,00640,36846,831
2016-04-14$25.29$25.0022.3%6.4%20.1%6.1%22.2%4.0%3.8%2.2M-17.0M-263.0K1.3922.614,6086,41941,06048,591
2016-04-15$25.47$25.0022.0%6.3%20.3%5.3%21.3%4.3%3.8%9.5K-21.4M-261.4K2.3020.322,4485,63441,01451,321
2016-04-18$25.49$25.0022.3%6.4%19.9%6.0%20.7%4.3%0.7%30.9K-4.9M-259.6K2.7823.131,1493,19120,26032,939
2016-04-19$25.16$25.0021.7%6.2%20.3%4.6%22.3%3.1%0.6%-99.3K-1.5M-264.4K3.4724.001,0023,47820,54933,682
2016-04-20$25.13$25.0021.7%6.2%20.3%4.6%20.5%3.6%-0.1%-188.4K556.5K-260.4K0.8730.683,9643,44120,58833,995
2016-04-21$25.13$25.0022.1%6.3%20.3%5.5%22.0%4.0%-0.6%553-1.7M-276.9K2.7422.221,2723,48823,04534,153
2016-04-22$25.09$25.0022.1%6.3%20.2%5.6%22.0%1.5%0.3%-35.1K-591.3K-278.8K2.9121.201,1613,37723,10134,365
2016-04-25$25.01$25.0022.5%6.4%20.2%6.5%22.6%2.9%-0.5%-59.7K60.0K-275.0K2.6919.341,1723,15823,11234,496
2016-04-26$25.02$25.0022.4%6.4%19.7%6.4%22.5%3.3%-1.0%-61.5K-244.6K-274.5K3.0219.561,1813,57123,12534,713
2016-04-27$25.27$25.0021.8%6.2%18.6%4.8%22.3%5.6%-0.3%20.0K-2.3M-271.6K3.4855.009683,37123,12335,172
2016-04-28$24.09$25.0023.2%6.7%24.6%8.3%23.2%3.3%-0.5%-499.9K10.6M-269.5K3.7225.231,0363,85123,20635,348
2016-04-29$23.54$25.0023.5%6.7%25.5%8.9%23.8%4.9%-0.6%-855.6K21.1M-278.6K2.3933.251,4243,40123,30237,925