TSM Options History — August 2016

In August 2016, TSM traded between $28.18 and $29.40. ATM implied volatility averaged 19.0%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.0% (HV 20d: 18.0%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.76.

Notable Days

  • 2016-08-01: Highest Volume — 8,901 contracts
  • 2016-08-02: Largest IV spike — 6.4% change
  • 2016-08-02: Highest IV Rank — 6.5%
  • 2016-08-02: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.78$28.18$29.40$28.63$28.76
Max Pain$27.87$27.00$28.00$27.00$28.00
ATM IV19.0%17.6%20.9%19.7%18.2%
Expected Move5.5%5.0%6.0%5.6%5.2%
HV 20d18.0%12.9%20.2%19.7%13.0%
HV 60d20.9%20.0%21.5%21.2%20.0%
IV Rank1.9%0.0%6.5%3.3%1.6%
IV Percentile2.0%0.0%7.5%2.4%1.2%
Term Structure3.2%-0.6%4.4%0.7%4.3%
VWIV19.3%17.4%21.9%19.5%18.1%
Skew 25d2.9%-0.3%6.0%2.2%5.1%
Skew 10d6.5%-4.1%14.4%8.3%4.3%
Call IV 25d18.0%14.2%20.9%19.5%14.2%
Put IV 25d20.9%19.0%22.6%21.8%19.3%
Bid-Ask Spread %29.3316.7873.9573.9526.90
Gamma HHI0.260.150.510.170.23
Net GEX1.1M513.0K2.0M700.5K627.9K
Net DEX-30.1M-39.1M-22.4M-28.8M-26.4M
Net VEX-165.5K-197.5K-149.6K-174.8K-149.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.265.430.793.30
Total Volume4,012.4351758,9018,9013,434
Total OI54,545.82649,26558,36752,52650,794

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$28.63$27.0019.7%5.6%19.7%3.3%19.5%2.2%0.7%700.5K-28.8M-174.8K0.7973.954,9733,92820,22732,299
2016-08-02$28.21$27.0020.9%6.0%20.2%6.5%21.9%1.4%-0.6%884.3K-26.7M-194.8K4.0616.789713,94023,39133,313
2016-08-03$28.18$27.0020.0%5.7%20.0%4.2%20.6%2.3%0.9%856.6K-25.5M-197.5K1.5031.532,0153,02023,49133,391
2016-08-04$28.37$28.0019.9%5.9%20.0%3.8%20.7%2.7%2.6%931.1K-26.8M-183.6K1.6026.632,0063,20922,47533,623
2016-08-05$28.78$28.0019.0%5.7%19.9%1.5%21.6%2.3%2.9%1.3M-32.4M-173.8K0.9623.953,3833,24822,47533,800
2016-08-08$29.07$28.0019.8%5.6%19.3%3.6%19.6%3.0%3.2%1.3M-34.5M-167.2K2.2625.331,6263,67622,02833,825
2016-08-09$29.40$28.0019.8%5.7%18.9%3.6%20.4%3.9%2.2%1.7M-39.0M-161.9K1.6733.292,1023,51522,61634,184
2016-08-10$29.23$28.0019.1%5.5%19.1%1.8%18.8%2.0%3.7%1.7M-38.3M-159.6K3.2321.201,0013,23622,48634,200
2016-08-11$29.14$28.0018.7%5.4%19.2%1.0%18.7%3.4%4.1%1.6M-36.3M-161.9K3.2338.779763,15122,37834,340
2016-08-12$29.22$28.0018.9%5.4%19.0%1.4%18.6%3.2%3.9%1.7M-37.5M-160.2K3.4929.379543,32622,55934,407
2016-08-15$29.40$28.0019.0%5.4%17.7%1.6%18.7%2.5%3.4%1.9M-39.1M-156.3K4.3424.637703,34322,61134,641
2016-08-16$29.04$28.0018.9%5.4%17.5%1.3%18.7%3.4%3.1%1.6M-34.8M-158.8K3.9221.388073,16022,72235,038
2016-08-17$28.98$28.0018.8%5.4%17.3%1.2%19.0%4.3%3.7%1.6M-33.4M-157.7K0.7537.2918313722,66135,222
2016-08-18$29.16$28.0019.0%5.5%17.3%1.7%20.9%5.0%3.8%2.0M-36.2M-157.0K0.2625.4064216622,66435,301
2016-08-19$28.65$28.0018.7%5.4%18.6%0.8%19.3%2.9%3.4%569.1K-28.5M-163.7K2.7618.271,0862,99822,90535,462
2016-08-22$28.38$28.0019.3%5.5%19.0%2.3%18.9%2.7%3.7%574.3K-22.4M-168.0K3.5230.759233,25218,18831,077
2016-08-23$28.46$28.0018.3%5.3%18.1%0.0%17.4%2.7%4.0%539.9K-24.0M-162.6K3.3920.778392,84218,25231,954
2016-08-24$28.39$28.0018.6%5.3%17.8%0.7%18.4%6.0%4.0%513.0K-22.4M-163.9K2.0224.825811718,43232,132
2016-08-25$28.59$28.0018.7%5.4%17.9%0.8%18.7%2.1%3.7%544.3K-24.6M-163.1K3.9529.896752,66618,48132,235
2016-08-26$28.61$28.0017.7%5.1%17.3%0.0%18.4%2.7%4.4%574.6K-25.2M-154.6K5.4343.564942,68218,50032,242
2016-08-29$28.74$28.0017.6%5.0%13.9%0.0%18.3%1.4%4.3%591.4K-25.2M-156.4K3.6224.187302,63918,49532,265
2016-08-30$28.61$28.0018.0%5.2%12.9%1.1%19.3%-0.3%3.8%563.8K-24.5M-158.9K3.5525.947452,64218,49432,278
2016-08-31$28.76$28.0018.2%5.2%13.0%1.6%18.1%5.1%4.3%627.9K-26.4M-149.6K3.3026.907992,63518,51632,278