TSM Options History — September 2016

In September 2016, TSM traded between $28.44 and $30.70. ATM implied volatility averaged 23.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.4% (HV 20d: 20.5%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.52.

Notable Days

  • 2016-09-20: Highest Volume — 8,201 contracts
  • 2016-09-13: Largest IV spike — 33.1% change
  • 2016-09-13: Highest IV Rank — 28.9%
  • 2016-09-29: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.67$28.44$30.70$28.94$30.61
Max Pain$28.57$27.00$30.00$28.00$30.00
ATM IV23.9%16.8%28.7%17.5%26.1%
Expected Move7.1%5.0%8.2%5.0%7.5%
HV 20d20.5%12.2%25.7%13.0%25.7%
HV 60d20.7%19.7%22.9%20.0%20.0%
IV Rank16.9%0.0%28.9%0.0%22.6%
IV Percentile39.1%0.0%77.4%0.0%53.2%
Term Structure-1.4%-3.9%4.8%4.6%-2.4%
VWIV24.8%16.9%28.0%16.9%27.5%
Skew 25d3.8%2.1%6.6%6.6%3.0%
Skew 10d9.9%-3.9%20.2%5.5%5.1%
Call IV 25d22.8%13.4%26.5%13.4%25.1%
Put IV 25d26.6%19.1%30.0%20.0%28.0%
Bid-Ask Spread %28.7717.0443.9631.6731.73
Gamma HHI0.330.110.640.240.50
Net GEX56.5K-1.5M2.7M698.4K-1.4M
Net DEX-24.7M-33.9M-13.7M-28.1M-23.0M
Net VEX-126.8K-145.2K-107.8K-145.2K-123.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.520.989.533.852.83
Total Volume4,697.0953,3728,2013,4654,069
Total OI53,523.95248,00860,78350,85160,783

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$28.94$28.0017.5%5.0%13.0%0.0%16.9%6.6%4.6%698.4K-28.1M-145.2K3.8531.677152,75018,56532,286
2016-09-02$29.12$28.0017.5%5.0%12.2%0.0%17.5%2.1%4.8%734.3K-30.6M-138.8K0.9825.122,6672,62318,57532,354
2016-09-06$29.51$27.0016.8%6.2%12.5%0.0%24.8%4.5%0.4%622.2K-30.2M-116.4K1.0124.392,5192,53716,73632,350
2016-09-07$29.85$27.0019.1%6.5%12.6%5.5%22.7%3.8%-0.8%597.6K-33.9M-107.8K1.0126.733,3273,35316,76832,414
2016-09-08$29.79$27.0017.7%6.5%12.4%2.2%22.2%4.0%-1.1%371.6K-31.9M-111.8K1.1727.443,0853,62217,13033,041
2016-09-09$28.67$27.0021.2%7.4%18.6%10.7%25.2%3.9%-3.1%455.3K-21.3M-134.4K2.7828.711,1713,25417,15833,351
2016-09-12$29.00$28.0021.6%7.1%19.1%11.5%26.6%3.4%-1.8%724.8K-23.7M-134.6K4.4830.566172,76417,47233,802
2016-09-13$28.44$28.0028.7%7.8%20.1%28.9%25.8%2.6%-1.6%499.8K-17.7M-137.2K4.1528.716672,76917,54433,813
2016-09-14$28.63$28.0025.3%7.3%19.9%20.6%24.1%4.3%-2.3%668.5K-19.8M-135.2K4.1724.466522,72017,60933,831
2016-09-15$29.22$28.0024.9%7.1%21.2%19.6%25.6%3.9%-1.3%1.5M-26.8M-124.2K3.0427.348802,67417,62433,918
2016-09-16$28.96$28.0025.1%7.2%21.4%20.1%25.5%3.5%-2.5%2.7M-24.9M-120.6K2.8229.949422,66017,82533,943
2016-09-19$29.96$28.0024.7%7.1%23.6%19.1%25.4%3.2%-0.9%395.3K-30.0M-110.4K4.5823.197423,39515,90132,107
2016-09-20$29.95$28.0025.4%7.3%23.2%20.9%25.7%3.6%-2.1%321.9K-29.4M-113.2K9.5331.797797,42215,95132,868
2016-09-21$30.49$30.0026.6%7.6%23.8%23.6%27.0%5.5%-1.4%-333.7K-26.8M-119.4K6.5343.969065,91415,89637,292
2016-09-22$30.70$30.0025.3%7.3%23.7%20.6%25.2%3.5%-2.0%-725.4K-26.8M-119.7K3.1137.068732,71316,17640,234
2016-09-23$30.13$30.0026.9%7.7%25.0%24.5%26.8%3.8%-3.0%-816.6K-21.4M-127.2K4.5131.541,4296,44916,16940,380
2016-09-26$29.91$30.0027.1%7.8%25.2%25.0%26.1%2.8%-2.7%-1.5M-13.7M-140.0K3.6126.997692,77816,32744,056
2016-09-27$30.41$30.0027.8%8.0%25.7%26.7%26.4%4.3%-3.2%-1.5M-18.7M-137.5K3.5926.487642,74516,47244,149
2016-09-28$30.32$30.0027.0%7.7%25.7%24.7%26.2%3.6%-2.8%-1.5M-18.4M-136.8K3.3117.049062,99616,56544,107
2016-09-29$30.48$30.0028.7%8.2%25.7%28.8%28.0%3.6%-3.9%-1.4M-20.7M-128.0K2.8729.311,0382,98416,51443,947
2016-09-30$30.61$30.0026.1%7.5%25.7%22.6%27.5%3.0%-2.4%-1.4M-23.0M-123.7K2.8331.731,0623,00716,81243,971