TSM Options History — November 2016

In November 2016, TSM traded between $28.91 and $31.41. ATM implied volatility averaged 22.9%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.4% (HV 20d: 25.3%). Max pain ranged from $31.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 7.11.

Notable Days

  • 2016-11-15: Highest Volume — 12,145 contracts
  • 2016-11-09: Largest IV drop — 14.0% change
  • 2016-11-02: Highest IV Rank — 23.8%
  • 2016-11-02: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.96$28.91$31.41$30.71$29.75
Max Pain$38.38$31.00$40.00$31.00$40.00
ATM IV22.9%19.9%26.2%24.3%20.6%
Expected Move6.4%5.7%7.5%7.0%5.9%
HV 20d25.3%18.2%29.0%18.7%28.5%
HV 60d22.7%19.3%24.4%19.4%24.3%
IV Rank15.6%8.0%23.8%19.1%9.7%
IV Percentile32.9%14.3%55.6%39.3%19.4%
Term Structure1.7%-2.5%4.6%-1.1%3.2%
VWIV22.8%20.2%25.8%24.4%20.8%
Skew 25d3.5%1.9%5.4%5.4%3.3%
Skew 10d8.7%-3.6%15.5%15.1%8.1%
Call IV 25d21.3%18.9%24.1%23.4%19.6%
Put IV 25d24.8%21.4%28.8%28.8%22.9%
Bid-Ask Spread %34.1621.1558.0658.0647.51
Gamma HHI0.360.210.530.370.34
Net GEX-1.4M-3.0M-307.9K-1.5M-410.7K
Net DEX14.6M-9.8M41.6M-9.8M6.1M
Net VEX-120.2K-145.6K-101.8K-118.6K-101.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.113.3111.196.266.11
Total Volume8,952.197,84512,1458,0998,431
Total OI62,147.76254,32868,67754,32857,955

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$30.71$31.0024.3%7.0%18.7%19.1%24.4%5.4%-1.1%-1.5M-9.8M-118.6K6.2658.061,1156,98417,31337,015
2016-11-02$30.37$31.0026.2%7.5%19.1%23.8%24.0%2.6%-2.5%-2.3M3.7M-145.6K6.7133.451,0326,92217,61942,334
2016-11-03$30.28$32.0025.7%6.7%18.8%22.7%22.7%4.5%0.3%-2.4M5.8M-144.1K6.4327.791,0696,87517,63242,507
2016-11-04$30.23$32.0026.1%6.8%18.2%23.6%25.8%4.3%0.8%-2.5M5.7M-140.8K7.0527.439896,96817,60442,553
2016-11-07$31.34$40.0025.3%6.4%22.5%21.7%24.6%4.5%0.6%-2.3M4.7M-133.3K7.5434.619667,28117,65147,975
2016-11-08$31.41$40.0026.0%6.5%21.4%23.5%23.3%5.2%1.3%-2.2M2.2M-125.9K5.6530.411,2687,16517,72748,263
2016-11-09$30.67$40.0022.4%6.4%22.0%14.2%24.1%3.7%1.6%-3.0M15.8M-128.4K4.7434.851,8138,59417,89048,389
2016-11-10$29.39$40.0025.1%7.2%24.6%21.2%24.8%2.9%-0.6%-2.0M35.3M-118.5K7.9740.439437,52018,54148,127
2016-11-11$29.84$40.0023.6%6.8%25.0%17.3%25.4%3.3%0.7%-2.4M33.3M-125.4K10.0842.339599,66218,76548,117
2016-11-14$28.91$40.0024.4%7.0%27.2%19.4%23.9%4.5%1.7%-1.3M41.6M-109.8K4.1332.731,9998,24919,02647,679
2016-11-15$29.22$40.0023.8%6.8%27.3%18.0%22.8%4.0%1.9%-1.4M38.0M-119.2K11.1932.9399611,14920,35847,573
2016-11-16$29.85$40.0021.8%6.3%28.5%12.8%22.3%5.2%2.8%-1.7M29.6M-125.4K9.7137.169919,62720,70547,972
2016-11-17$29.42$40.0022.6%6.5%28.8%14.7%21.8%3.6%2.4%-1.4M31.2M-117.4K10.3831.378679,00320,78447,254
2016-11-18$29.51$40.0020.4%5.8%28.8%9.1%21.5%2.3%2.8%-515.7K29.9M-112.8K7.8923.368826,96320,85747,145
2016-11-21$29.58$40.0020.1%5.8%28.6%8.4%20.2%3.6%3.1%-557.3K8.7M-107.8K3.3121.152,1227,02516,85038,312
2016-11-22$29.97$40.0019.9%5.7%29.0%8.0%20.4%2.3%4.5%-477.0K3.0M-113.5K3.6735.721,8726,87518,10238,482
2016-11-23$29.89$40.0019.9%5.7%28.8%8.0%21.2%2.0%4.6%-422.4K3.4M-114.3K8.1734.549057,39518,48038,541
2016-11-25$29.66$40.0020.9%6.0%28.6%10.4%21.5%2.7%2.1%-372.8K5.7M-110.2K6.9922.561,0197,12318,49739,068
2016-11-28$29.70$40.0021.3%6.1%28.6%11.5%21.2%2.3%3.2%-411.5K5.0M-107.5K6.9428.231,0337,17418,57139,083
2016-11-29$29.55$40.0020.8%6.0%28.5%10.2%21.5%1.9%3.0%-307.9K7.4M-103.7K8.3040.838797,29218,65939,128
2016-11-30$29.75$40.0020.6%5.9%28.5%9.7%20.8%3.3%3.2%-410.7K6.1M-101.8K6.1147.511,1857,24618,67139,284