TSM Options History — July 2016

In July 2016, TSM traded between $26.17 and $28.33. ATM implied volatility averaged 25.4%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.0% (HV 20d: 24.4%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.67.

Notable Days

  • 2016-07-01: Highest Volume — 10,720 contracts
  • 2016-07-13: Largest IV drop — 43.8% change
  • 2016-07-12: Highest IV Rank — 60.7%
  • 2016-07-06: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.26$26.17$28.33$26.57$27.81
Max Pain$26.30$25.00$27.00$25.00$27.00
ATM IV25.4%18.4%44.7%26.3%19.0%
Expected Move6.3%5.3%7.6%7.6%5.4%
HV 20d24.4%17.3%27.0%26.4%17.9%
HV 60d22.7%20.3%23.9%23.8%20.5%
IV Rank15.5%0.0%60.7%17.0%1.5%
IV Percentile30.2%0.0%95.6%45.2%0.4%
Term Structure0.2%-1.4%3.1%-1.4%-0.2%
VWIV22.9%19.1%31.2%31.2%21.1%
Skew 25d3.7%1.9%10.6%10.6%1.9%
Skew 10d9.1%1.2%13.9%11.6%6.2%
Call IV 25d20.6%17.8%24.7%22.0%19.9%
Put IV 25d24.3%20.1%32.5%32.5%21.8%
Bid-Ask Spread %76.2320.28113.2280.71113.22
Gamma HHI0.240.130.680.290.13
Net GEX1.0M253.9K4.7M1.2M362.0K
Net DEX-24.4M-42.9M-15.7M-22.7M-21.1M
Net VEX-195.6K-226.0K-180.5K-206.8K-189.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.397.070.394.39
Total Volume5,415.853,62210,72010,7203,622
Total OI60,192.0544,74274,48969,29752,347

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$26.57$25.0026.3%7.6%26.4%17.0%31.2%10.6%-1.4%1.2M-22.7M-206.8K0.3980.717,6903,03023,03146,266
2016-07-05$26.28$25.0033.5%7.4%26.7%34.1%26.7%5.6%-0.4%1.1M-18.8M-217.9K1.1678.232,8063,26224,53946,343
2016-07-06$26.17$25.0034.2%7.6%25.7%35.6%29.9%5.1%-1.1%971.3K-15.7M-226.0K1.6882.961,8963,18324,45146,571
2016-07-07$26.31$26.0035.4%7.6%25.5%38.5%26.6%3.7%-0.6%1.2M-19.2M-218.7K1.4153.572,2443,16324,61146,677
2016-07-08$26.73$26.0031.9%7.0%26.0%30.3%26.0%4.4%-0.1%1.9M-26.7M-209.8K1.6674.701,9303,19925,01846,734
2016-07-11$27.24$26.0042.2%7.4%26.1%54.7%25.7%2.5%-0.8%1.8M-33.7M-196.3K1.4080.052,5073,50925,14146,835
2016-07-12$26.98$26.0044.7%7.2%26.0%60.7%27.2%3.6%0.0%2.2M-31.6M-199.8K2.0686.251,7983,71125,56446,966
2016-07-13$26.92$26.0025.1%7.2%26.0%14.2%25.5%3.5%-0.4%2.2M-30.9M-198.4K1.3680.442,5033,40325,73847,370
2016-07-14$27.12$26.0020.2%5.8%25.9%2.6%20.7%2.5%2.9%4.7M-36.8M-193.1K1.2343.432,7173,35526,18148,077
2016-07-15$27.02$26.0019.8%5.7%26.0%1.6%20.8%3.0%3.1%296.3K-42.9M-189.2K1.5481.392,1233,26326,33548,154
2016-07-18$27.64$26.0020.1%5.8%27.0%2.3%20.1%3.9%0.6%369.7K-19.1M-183.3K5.0189.487043,53015,80128,941
2016-07-19$27.26$27.0020.2%5.8%26.9%2.7%19.7%3.5%0.0%253.9K-16.3M-190.5K5.5383.266383,53016,03529,745
2016-07-20$27.56$27.0019.2%5.5%27.0%0.1%19.1%4.2%0.3%308.6K-18.4M-186.4K3.0865.581,1283,47916,26529,772
2016-07-21$27.50$27.0020.2%5.8%27.0%2.5%19.1%3.4%0.1%377.3K-19.4M-184.3K2.1665.281,6393,54116,90129,789
2016-07-22$27.75$27.0018.4%5.3%27.0%0.0%19.4%2.7%0.7%470.3K-21.2M-188.4K5.6982.159095,17417,56329,751
2016-07-25$27.87$27.0019.2%5.5%22.1%2.1%19.2%1.9%-0.1%262.9K-21.2M-186.8K7.0720.285443,84517,57931,165
2016-07-26$28.33$27.0019.9%5.7%17.8%3.8%19.7%2.0%-0.2%329.0K-25.1M-180.5K2.6488.031,2473,29617,69631,447
2016-07-27$28.08$27.0019.8%5.7%18.3%3.6%20.8%4.1%1.1%288.0K-23.6M-182.1K1.0889.312,9073,12618,07232,038
2016-07-28$28.15$27.0019.0%5.4%17.3%1.5%19.4%2.2%0.6%489.7K-24.3M-184.9K2.7586.251,1103,05620,20432,128
2016-07-29$27.81$27.0019.0%5.4%17.9%1.5%21.1%1.9%-0.2%362.0K-21.1M-189.5K4.39113.226722,95020,19032,157