TSM Options History — January 2017

In January 2017, TSM traded between $29.27 and $31.26. ATM implied volatility averaged 23.5%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.6% (HV 20d: 17.8%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2017-01-12: Highest Volume — 12,435 contracts
  • 2017-01-12: Largest IV drop — 16.2% change
  • 2017-01-10: Highest IV Rank — 41.9%
  • 2017-01-03: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.15$29.27$31.26$29.27$30.93
Max Pain$29.40$26.00$30.00$26.00$30.00
ATM IV23.5%18.4%33.2%28.6%20.1%
Expected Move6.5%5.3%8.2%8.2%5.8%
HV 20d17.8%16.6%19.4%18.5%16.8%
HV 60d23.4%22.7%24.0%23.9%23.4%
IV Rank17.2%4.3%41.9%30.0%8.6%
IV Percentile41.0%4.0%94.0%81.0%19.0%
Term Structure0.4%-2.4%2.9%-1.9%0.1%
VWIV22.9%17.9%28.9%28.9%21.6%
Skew 25d3.6%1.1%5.3%3.8%3.5%
Skew 10d8.8%3.6%14.6%6.6%11.1%
Call IV 25d21.0%15.4%27.6%27.4%19.4%
Put IV 25d24.6%19.2%31.2%31.2%22.9%
Bid-Ask Spread %28.7218.0356.3918.8426.16
Gamma HHI0.300.160.590.160.27
Net GEX31.4K-800.1K684.3K448.0K219.5K
Net DEX-16.8M-28.9M-273.6K-22.8M-6.2M
Net VEX-72.2K-89.3K-58.3K-62.8K-86.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.473.721.162.17
Total Volume4,320.552,05712,4352,9912,292
Total OI40,735.916,43659,19946,35520,852

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$29.27$26.0028.6%8.2%18.5%30.0%28.9%3.8%-1.9%448.0K-22.8M-62.8K1.1618.841,3861,60518,32728,028
2017-01-04$29.32$26.0027.7%7.9%18.3%27.7%28.6%1.1%-1.5%461.4K-23.7M-60.8K1.0639.781,4691,55718,34928,042
2017-01-05$29.85$29.0027.3%7.3%18.4%26.6%27.2%4.2%-0.7%569.5K-26.1M-61.8K1.0524.571,5611,63218,35628,125
2017-01-06$29.65$29.0028.8%7.3%18.0%30.5%27.7%4.9%0.0%490.9K-24.5M-61.5K1.0126.751,6251,64018,46228,302
2017-01-09$30.06$29.0031.8%7.5%18.6%38.1%28.1%4.3%-0.7%658.4K-28.5M-59.0K1.0124.831,7061,72218,62328,358
2017-01-10$30.06$29.0033.2%7.6%18.6%41.9%26.7%3.8%-0.7%684.3K-28.9M-58.3K3.1056.391,6145,01018,82728,445
2017-01-11$30.15$30.0028.1%8.0%18.4%28.7%27.6%4.7%-2.4%238.4K-24.5M-71.2K0.5934.005,7343,39018,95631,825
2017-01-12$29.41$30.0023.5%6.7%19.4%17.8%23.3%4.3%1.6%-274.0K-18.2M-67.6K3.7233.862,6329,80322,37133,625
2017-01-13$29.45$30.0022.2%6.4%19.0%14.3%21.9%2.3%0.9%-559.9K-17.4M-74.7K1.0227.811,9562,00023,31034,863
2017-01-17$29.60$30.0021.1%6.1%18.9%11.5%23.2%4.2%2.4%-571.3K-18.5M-71.3K1.1422.491,8832,14623,38535,195
2017-01-18$29.50$30.0022.7%6.5%16.8%15.7%21.0%3.0%0.8%-800.1K-16.9M-71.2K1.1629.731,9632,28423,42735,415
2017-01-19$29.64$30.0020.1%5.8%16.6%8.7%20.7%3.8%2.9%-629.0K-18.3M-70.6K1.0319.282,1982,25623,32835,678
2017-01-20$30.06$30.0019.2%5.5%17.3%6.2%19.3%4.4%2.9%-574.8K-26.5M-69.1K1.1831.402,7953,28823,51135,688
2017-01-23$30.33$30.0020.2%5.8%17.3%9.1%20.9%1.4%0.4%-580.2K-273.6K-77.6K2.1725.417931,7176,6449,792
2017-01-24$30.82$30.0018.4%5.3%16.9%4.3%18.2%3.5%1.0%-411.0K-3.1M-78.0K0.6628.691,5921,0496,7859,859
2017-01-25$31.26$30.0018.9%5.4%17.2%5.4%18.0%5.3%0.7%-37.6K-6.1M-78.3K0.4718.033,1721,5057,80210,016
2017-01-26$31.16$30.0019.2%5.5%17.3%6.2%18.8%2.6%0.7%375.4K-8.2M-89.0K0.7232.071,8981,37210,28510,413
2017-01-27$31.26$30.0018.5%5.3%17.3%4.5%17.9%3.0%0.8%472.6K-8.5M-89.3K1.9935.576871,37010,28510,427
2017-01-30$31.17$30.0019.7%5.7%17.4%7.7%19.3%2.8%0.1%446.6K-8.2M-85.9K1.9018.757281,38110,30110,436
2017-01-31$30.93$30.0020.1%5.8%16.8%8.6%21.6%3.5%0.1%219.5K-6.2M-86.6K2.1726.167231,56910,38210,470