TSM Options History — October 2016

In October 2016, TSM traded between $30.44 and $31.55. ATM implied volatility averaged 25.1%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.2% (HV 20d: 20.9%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.79.

Notable Days

  • 2016-10-11: Highest Volume — 18,250 contracts
  • 2016-10-12: Largest IV drop — 24.2% change
  • 2016-10-11: Highest IV Rank — 45.5%
  • 2016-10-04: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.94$30.44$31.55$30.71$31.04
Max Pain$30.71$30.00$31.00$30.00$31.00
ATM IV25.1%19.6%35.6%28.0%22.7%
Expected Move6.8%5.6%9.0%8.0%6.5%
HV 20d20.9%17.3%25.6%25.6%18.5%
HV 60d19.9%19.2%20.6%19.8%19.3%
IV Rank20.5%7.0%45.5%27.0%15.0%
IV Percentile45.2%11.1%93.7%75.0%30.6%
Term Structure-1.1%-5.6%2.3%-3.8%-2.0%
VWIV23.9%20.0%30.3%28.5%22.7%
Skew 25d4.0%2.0%5.4%3.2%4.4%
Skew 10d8.9%0.1%15.9%9.7%4.3%
Call IV 25d22.1%19.0%29.3%27.3%20.7%
Put IV 25d26.1%22.5%32.2%30.5%25.1%
Bid-Ask Spread %27.7120.1534.0534.0523.07
Gamma HHI0.420.270.530.480.38
Net GEX-2.1M-5.9M-700.6K-1.3M-1.4M
Net DEX-19.8M-31.7M-3.0M-23.4M-16.0M
Net VEX-125.5K-156.4K-103.4K-120.4K-118.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.791.3718.992.551.88
Total Volume5,169.812,13318,2504,0112,145
Total OI66,913.47651,63483,77760,83754,235

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$30.71$30.0028.0%8.0%25.6%27.0%28.5%3.2%-3.8%-1.3M-23.4M-120.4K2.5534.051,1292,88216,79944,038
2016-10-04$30.45$30.0031.3%9.0%25.6%35.2%30.3%2.0%-5.6%-1.4M-21.5M-120.3K4.3327.151,0564,57017,06644,067
2016-10-05$30.55$30.0029.4%8.4%25.3%30.6%28.7%4.9%-4.6%-1.5M-22.5M-121.8K4.7331.429914,69217,19645,146
2016-10-06$30.79$30.0029.1%7.2%25.4%29.8%25.1%4.8%-1.7%-1.5M-24.4M-118.2K3.5831.257552,70217,40645,077
2016-10-07$31.16$30.0030.7%7.3%20.8%33.6%25.5%5.0%-1.7%-1.2M-28.5M-116.1K4.3730.306302,75517,41545,109
2016-10-10$31.31$31.0034.5%7.4%20.6%43.0%25.8%3.7%-1.6%-1.1M-31.7M-103.4K2.2921.871,1952,74117,51145,163
2016-10-11$30.73$30.0035.6%7.4%20.5%45.5%25.9%3.4%-1.8%-1.4M-23.9M-114.0K18.9926.0291317,33717,74945,156
2016-10-12$31.34$31.0027.0%7.7%21.2%24.6%28.3%3.7%-3.3%-2.6M-16.6M-146.4K5.6133.351,2126,80518,10256,652
2016-10-13$30.44$31.0023.0%6.6%23.5%15.8%22.9%5.1%0.4%-4.6M-3.0M-156.4K4.0033.642,2188,87218,50659,569
2016-10-14$30.76$31.0022.8%6.5%23.3%15.2%23.3%4.1%0.1%-5.3M-10.3M-152.6K3.7827.421,3144,96918,93063,118
2016-10-17$30.59$31.0022.6%6.5%20.4%14.7%23.3%5.4%-0.2%-5.9M-3.2M-152.2K2.7724.141,0112,80419,04864,534
2016-10-18$30.88$31.0022.5%6.5%20.6%14.6%22.1%3.8%0.3%-5.2M-13.9M-139.6K2.6523.531,9745,23319,14164,572
2016-10-19$31.01$31.0021.5%6.2%19.7%11.9%21.6%3.8%1.1%-2.6M-26.2M-125.5K1.3729.592,1332,93220,17362,528
2016-10-20$31.06$31.0021.5%6.2%19.6%11.9%21.6%3.5%1.1%-921.5K-29.6M-123.9K2.8225.091,0402,92921,22162,446
2016-10-21$31.08$31.0020.7%5.9%18.2%10.0%21.7%3.1%2.3%-700.6K-29.9M-123.1K1.9424.171,4952,90021,23362,544
2016-10-24$31.38$31.0021.0%6.0%18.1%10.6%20.8%4.1%-0.1%-1.0M-20.8M-115.1K2.2320.157421,65516,21435,420
2016-10-25$31.55$31.0019.6%5.6%17.3%7.0%20.0%3.5%0.4%-984.2K-23.4M-110.3K1.8633.807461,38716,47735,639
2016-10-26$31.24$31.0021.0%6.0%17.8%10.6%21.1%3.4%-0.5%-1.2M-20.1M-115.9K3.4127.286962,37316,74535,726
2016-10-27$30.82$31.0021.3%6.1%18.5%11.5%20.5%3.8%-1.1%-1.4M-13.6M-119.9K2.5727.336871,76616,90936,600
2016-10-28$30.84$31.0021.4%6.1%18.4%11.8%21.4%5.3%0.1%-1.5M-13.0M-122.5K1.9327.237451,43517,05036,953
2016-10-31$31.04$31.0022.7%6.5%18.5%15.0%22.7%4.4%-2.0%-1.4M-16.0M-118.6K1.8823.077441,40117,23537,000