TSM Options History — May 2016

In May 2016, TSM traded between $22.82 and $24.80. ATM implied volatility averaged 22.9%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.5% (HV 20d: 23.4%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.05.

Notable Days

  • 2016-05-23: Highest Volume — 10,925 contracts
  • 2016-05-19: Largest IV spike — 8.6% change
  • 2016-05-04: Highest IV Rank — 12.7%
  • 2016-05-04: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.69$22.82$24.80$23.72$24.70
Max Pain$24.14$24.00$25.00$25.00$24.00
ATM IV22.9%20.1%25.0%23.0%20.8%
Expected Move6.5%5.8%7.2%6.6%6.0%
HV 20d23.4%17.4%26.3%25.8%17.4%
HV 60d22.6%21.2%24.4%24.4%21.2%
IV Rank7.5%0.7%12.7%7.7%2.3%
IV Percentile14.2%0.4%28.6%14.7%2.4%
Term Structure3.7%-1.2%5.6%-0.3%5.4%
VWIV22.7%19.3%25.0%22.5%20.6%
Skew 25d3.6%0.8%7.2%4.6%2.2%
Skew 10d8.7%4.3%14.3%9.4%7.8%
Call IV 25d21.5%18.6%23.7%21.8%20.8%
Put IV 25d25.2%22.1%27.5%26.4%23.0%
Bid-Ask Spread %23.7914.9244.5320.9921.67
Gamma HHI0.160.140.180.180.16
Net GEX-760.7K-1.3M21.8K-843.3K-65.9K
Net DEX19.3M-504.9K30.6M20.5M3.0M
Net VEX-272.6K-293.6K-252.9K-276.1K-287.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.051.576.501.574.61
Total Volume7,418.8574,94610,9255,1248,217
Total OI67,123.33361,78673,83361,78673,833

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$23.72$25.0023.0%6.6%25.8%7.7%22.5%4.6%-0.3%-843.3K20.5M-276.1K1.5720.991,9943,13023,56238,224
2016-05-03$23.33$25.0024.8%7.1%26.0%12.2%25.0%3.6%-0.7%-827.5K24.1M-272.2K1.8316.141,7903,27624,14938,308
2016-05-04$23.41$25.0025.0%7.2%26.0%12.7%22.4%7.2%-1.2%-845.5K23.7M-270.8K1.9031.961,8153,44524,49238,392
2016-05-05$23.50$24.0024.3%7.0%26.0%10.8%24.5%5.0%4.1%-839.6K22.5M-272.2K2.3123.581,4963,45024,48138,599
2016-05-06$23.41$24.0023.6%6.9%26.0%9.2%24.9%4.3%4.0%-884.3K23.6M-268.5K2.7220.621,3563,68924,50138,619
2016-05-09$23.35$24.0024.9%6.7%25.4%12.5%22.9%5.7%4.9%-943.4K24.9M-262.8K2.5814.921,4493,73424,52138,665
2016-05-10$23.41$24.0023.8%6.6%25.4%9.8%22.6%4.1%4.5%-911.5K24.9M-263.2K2.5821.051,4793,81424,63138,818
2016-05-11$23.24$24.0022.7%6.5%23.2%7.0%22.6%3.1%4.8%-947.3K26.2M-259.4K2.2123.901,8674,12424,84138,952
2016-05-12$23.00$24.0023.4%6.7%20.8%8.7%23.7%4.5%3.6%-1.1M28.5M-256.7K2.3023.861,6543,80425,12239,399
2016-05-13$22.82$24.0022.8%6.5%20.3%7.4%23.0%3.4%3.8%-1.1M30.6M-252.9K4.6122.671,5627,19625,15739,296
2016-05-16$23.09$24.0023.8%6.8%21.1%9.7%23.6%3.5%3.9%-1.3M30.0M-262.1K3.7323.691,8937,05425,19942,805
2016-05-17$23.01$24.0023.7%6.8%20.9%9.5%24.3%1.2%4.2%-1.3M29.5M-264.1K3.5826.381,9617,01925,62242,895
2016-05-18$23.51$24.0021.8%6.2%22.8%4.8%23.1%2.8%5.6%-1.1M24.4M-269.1K2.7029.472,5936,99725,73243,013
2016-05-19$23.27$24.0023.6%6.8%22.9%9.3%22.8%3.5%4.6%-1.2M27.5M-267.1K3.3225.782,1127,00726,89343,292
2016-05-20$23.90$24.0021.7%6.2%25.4%4.5%22.9%0.8%5.2%-797.9K18.6M-273.5K2.3423.692,9236,85026,90043,139
2016-05-23$24.23$24.0023.4%6.7%26.0%8.8%22.7%3.1%3.7%-438.7K9.1M-275.7K2.1420.523,4797,44624,54441,138
2016-05-24$24.47$24.0022.4%6.4%26.3%6.2%21.9%3.4%4.8%-340.0K7.4M-293.6K2.9722.962,4617,29926,72845,349
2016-05-25$24.62$24.0021.1%6.0%26.1%3.1%19.3%3.3%3.0%-157.9K3.8M-292.3K3.7119.291,7776,59427,54245,348
2016-05-26$24.79$24.0020.1%5.8%19.6%0.7%21.2%4.8%5.2%-57.6K2.0M-293.2K3.8821.851,7096,62927,66845,652
2016-05-27$24.80$24.0020.2%5.8%17.4%0.9%19.9%2.5%4.7%21.8K-504.9K-291.6K6.5044.531,0206,63227,76445,805
2016-05-31$24.70$24.0020.8%6.0%17.4%2.3%20.6%2.2%5.4%-65.9K3.0M-287.5K4.6121.671,4656,75227,76946,064