TSM Options History — June 2016

In June 2016, TSM traded between $24.91 and $26.78. ATM implied volatility averaged 26.4%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 7.2% (HV 20d: 19.2%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.06.

Notable Days

  • 2016-06-24: Highest Volume — 18,955 contracts
  • 2016-06-23: Largest IV spike — 41.7% change
  • 2016-06-27: Highest IV Rank — 45.4%
  • 2016-06-27: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.85$24.91$26.78$25.19$26.18
Max Pain$24.18$24.00$25.00$24.00$25.00
ATM IV26.4%19.2%38.3%22.3%29.4%
Expected Move7.9%5.5%11.0%6.4%8.4%
HV 20d19.2%15.8%26.3%17.0%26.3%
HV 60d21.7%20.7%23.8%21.6%23.8%
IV Rank16.5%0.0%45.4%6.2%24.2%
IV Percentile45.6%0.0%88.9%8.7%69.0%
Term Structure-2.2%-8.9%3.6%3.6%-3.7%
VWIV29.7%21.5%38.2%21.5%30.0%
Skew 25d6.8%2.1%11.8%3.4%7.2%
Skew 10d14.9%4.8%30.5%6.6%15.9%
Call IV 25d24.5%19.2%30.6%19.2%25.6%
Put IV 25d31.3%22.6%42.4%22.6%32.8%
Bid-Ask Spread %74.8422.5795.4622.5790.99
Gamma HHI0.170.140.220.160.22
Net GEX464.0K-470.8K914.9K217.0K789.9K
Net DEX-15.3M-30.4M2.9M-5.9M-16.6M
Net VEX-247.4K-285.2K-208.8K-280.5K-218.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.174.861.490.53
Total Volume6,293.0913,82518,9554,9849,921
Total OI73,340.54568,10577,16774,12868,552

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$25.19$24.0022.3%6.4%17.0%6.2%21.5%3.4%3.6%217.0K-5.9M-280.5K1.4922.572,0012,98327,81846,310
2016-06-02$25.16$24.0021.2%7.9%17.1%3.5%27.1%4.8%-2.3%333.1K-6.8M-285.2K2.1285.901,3492,86528,85846,457
2016-06-03$25.51$24.0020.1%7.5%17.5%0.7%28.1%3.9%-0.9%449.4K-13.6M-274.1K2.1088.861,3332,79728,92146,678
2016-06-06$25.48$24.0023.0%8.1%17.4%7.8%28.4%6.1%-4.4%527.5K-13.0M-271.2K3.7385.541,0343,85828,97246,695
2016-06-07$26.05$24.0022.4%7.7%18.3%6.4%27.6%4.0%-3.7%602.0K-23.6M-254.1K1.4782.372,2383,28928,94246,725
2016-06-08$26.32$24.0026.8%7.7%18.3%17.0%28.0%4.5%-2.8%721.9K-30.4M-244.1K2.1286.211,5113,20529,32346,815
2016-06-09$26.23$24.0027.5%7.9%18.0%18.7%30.9%2.8%-4.1%702.7K-27.6M-242.0K4.8687.506533,17228,97647,207
2016-06-10$25.84$24.0027.8%8.0%18.6%19.2%27.8%5.2%-2.8%762.6K-19.3M-252.7K3.5278.739293,27128,95347,344
2016-06-13$25.55$24.0029.2%8.4%19.0%22.8%29.3%9.0%-0.5%511.9K-12.1M-261.8K2.9386.111,0913,19429,00047,426
2016-06-14$25.57$24.0028.6%8.2%18.9%21.2%29.8%7.4%-1.1%493.3K-11.1M-258.7K4.3968.157653,35529,03947,583
2016-06-15$25.83$24.0028.1%8.0%18.7%19.9%33.4%9.9%-0.9%767.2K-17.0M-254.4K2.3295.461,6023,71629,03747,603
2016-06-16$25.88$24.0027.2%7.8%17.8%17.8%31.2%8.8%0.1%634.4K-17.2M-258.7K2.1570.231,6813,61929,68547,476
2016-06-17$25.83$24.0027.0%7.7%17.1%17.5%34.0%8.9%0.5%-28.5K-17.4M-253.9K1.9286.331,8203,49829,66847,499
2016-06-20$26.33$24.0027.5%7.9%16.0%18.5%30.8%9.5%-2.9%392.5K-16.2M-236.4K2.6085.721,1933,09924,52345,074
2016-06-21$26.60$24.0019.2%5.5%15.8%0.0%32.8%9.8%-1.5%440.5K-17.2M-236.4K2.2843.591,2522,85824,54245,339
2016-06-22$26.58$24.0020.1%5.8%15.8%2.1%32.5%10.7%-1.2%425.9K-19.5M-227.7K1.9876.581,3212,61624,52845,389
2016-06-23$26.78$24.0028.5%8.2%15.8%22.0%31.6%8.4%-1.9%604.0K-21.7M-224.7K1.3090.672,1972,86624,65345,610
2016-06-24$25.73$24.0027.7%7.9%22.2%20.2%22.7%6.1%-2.1%914.9K-18.2M-208.8K0.1731.5416,1382,81725,67245,644
2016-06-27$24.91$25.0038.3%11.0%25.3%45.4%38.2%11.8%-8.9%-470.8K2.9M-242.5K0.3753.608,2733,08522,41345,692
2016-06-28$25.27$25.0030.7%8.8%25.8%27.4%32.5%4.5%-4.6%-74.2K-3.6M-233.7K0.4866.056,5853,17422,42045,872
2016-06-29$25.81$25.0029.3%8.4%25.9%23.9%24.9%2.1%-3.1%491.1K-11.8M-223.0K0.4483.817,0763,14822,61145,948
2016-06-30$26.18$25.0029.4%8.4%26.3%24.2%30.0%7.2%-3.7%789.9K-16.6M-218.6K0.5390.996,4723,44922,60345,949