TSM Options History — December 2016

In December 2016, TSM traded between $28.46 and $30.36. ATM implied volatility averaged 24.8%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.8% (HV 20d: 25.6%). Max pain ranged from $26.00 to $40.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.46.

Notable Days

  • 2016-12-07: Highest Volume — 10,823 contracts
  • 2016-12-02: Largest IV drop — 10.5% change
  • 2016-12-30: Highest IV Rank — 30.4%
  • 2016-12-30: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.40$28.46$30.36$28.46$28.75
Max Pain$27.33$26.00$40.00$40.00$26.00
ATM IV24.8%22.1%28.7%25.0%28.7%
Expected Move7.3%6.4%8.2%7.2%8.2%
HV 20d25.6%17.8%32.8%32.2%17.8%
HV 60d24.1%23.4%25.9%25.8%23.6%
IV Rank20.3%13.3%30.4%20.8%30.4%
IV Percentile50.7%29.0%81.7%46.8%81.7%
Term Structure-0.1%-2.5%2.5%2.0%-2.1%
VWIV25.3%19.9%31.1%24.1%26.7%
Skew 25d2.6%0.6%4.4%2.9%1.6%
Skew 10d8.0%-2.1%17.0%-2.1%5.7%
Call IV 25d24.4%20.2%27.6%23.7%27.0%
Put IV 25d26.9%24.5%29.6%26.6%28.5%
Bid-Ask Spread %29.2322.2046.9546.9527.66
Gamma HHI0.200.100.480.110.13
Net GEX163.6K-815.0K753.4K-49.6K326.9K
Net DEX-6.0M-23.2M17.3M17.3M-19.0M
Net VEX-78.3K-100.3K-63.7K-99.3K-67.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.460.938.856.270.93
Total Volume6,435.8572,03910,8238,3723,074
Total OI52,534.8143,92458,62857,92946,354

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$28.46$40.0025.0%7.2%32.2%20.8%24.1%2.9%2.0%-49.6K17.3M-99.3K6.2746.951,1517,22118,65039,279
2016-12-02$28.79$40.0022.4%6.4%32.6%14.1%19.9%4.3%2.5%-21.8K15.8M-100.3K8.2624.508767,23818,59539,260
2016-12-05$29.03$26.0022.9%7.4%32.8%15.4%25.1%3.2%-0.6%6.9K12.8M-92.1K6.1631.621,3458,28418,59539,251
2016-12-06$29.52$26.0022.1%6.8%30.5%13.3%24.5%4.4%-0.1%-194.0K7.3M-90.5K5.6022.451,4968,37518,45238,697
2016-12-07$29.89$26.0023.8%7.2%30.9%17.9%25.6%3.3%-0.5%-302.9K2.7M-91.7K5.0322.391,7959,02818,77038,551
2016-12-08$30.08$26.0023.1%7.3%30.0%16.1%24.0%3.6%-0.0%-274.9K-1.1M-89.2K6.7122.201,2948,67719,34138,781
2016-12-09$30.08$26.0022.5%7.0%25.6%14.4%20.5%2.4%0.8%-346.3K-483.8K-87.5K6.5725.901,2768,38219,41339,050
2016-12-12$29.85$26.0024.3%7.2%25.3%19.0%24.4%1.9%0.1%178.6K3.8M-79.9K4.7023.531,7928,43119,35239,055
2016-12-13$30.36$26.0024.4%7.1%23.0%19.4%24.0%3.1%0.4%-815.0K-3.3M-78.2K3.4825.052,0917,28319,22738,993
2016-12-14$29.99$26.0024.2%6.9%23.3%18.9%22.5%2.3%0.8%87.6K2.1M-80.4K5.4845.131,3937,62919,47438,944
2016-12-15$30.18$26.0023.4%6.7%22.2%16.8%23.5%2.7%0.6%753.4K-142.4K-70.5K8.5026.978567,28019,55639,010
2016-12-16$29.45$26.0023.9%6.9%23.3%18.1%24.2%0.6%1.4%536.4K7.4M-71.6K8.8532.898037,10819,57839,050
2016-12-19$29.24$26.0025.1%7.2%23.4%21.2%24.4%1.7%-0.4%482.1K-22.1M-70.0K1.9030.587041,33517,34526,579
2016-12-20$29.36$26.0025.3%7.3%23.5%21.6%26.0%1.6%-0.1%524.8K-23.2M-70.6K2.3227.516501,50617,43626,647
2016-12-21$29.18$26.0025.1%7.2%23.0%21.1%24.8%3.1%0.0%447.4K-21.6M-66.6K2.0032.836811,36217,48826,887
2016-12-22$28.77$26.0026.4%7.6%23.4%24.4%27.1%2.3%-0.8%397.0K-19.1M-70.6K2.7032.778562,30917,55926,944
2016-12-23$29.04$26.0026.9%7.7%23.7%25.6%29.3%2.8%-1.4%428.5K-21.5M-68.9K2.3322.388151,90117,75427,829
2016-12-27$29.10$26.0027.7%7.9%23.7%27.7%30.5%2.0%-2.5%437.1K-21.5M-69.3K2.0828.489051,88517,76628,019
2016-12-28$29.15$26.0026.9%7.7%23.6%25.6%31.1%2.1%-0.6%416.2K-21.6M-66.2K2.4232.747851,89917,75928,056
2016-12-29$29.14$26.0026.7%7.7%23.5%25.2%30.1%2.4%-0.8%416.5K-21.4M-63.7K1.3129.391,4621,92017,79928,086
2016-12-30$28.75$26.0028.7%8.2%17.8%30.4%26.7%1.6%-2.1%326.9K-19.0M-67.4K0.9327.661,5961,47818,23028,124