TSM Options History — February 2017

In February 2017, TSM traded between $30.21 and $32.34. ATM implied volatility averaged 18.7%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.0% (HV 20d: 17.6%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.40.

Notable Days

2017-02-17: Highest Volume — 5,942 contracts
2017-02-28: Largest IV spike — 14.6% change
2017-02-08: Highest IV Rank — 8.9%
2017-02-08: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.37	$30.21	$32.34	$31.11	$31.44
Max Pain	$30.74	$30.00	$31.00	$30.00	$31.00
ATM IV	18.7%	17.1%	20.2%	19.2%	20.1%
Expected Move	5.4%	4.9%	5.8%	5.5%	5.8%
HV 20d	17.6%	13.9%	19.8%	15.9%	19.4%
HV 60d	20.7%	19.0%	23.5%	23.4%	20.1%
IV Rank	4.9%	0.7%	8.9%	6.3%	8.6%
IV Percentile	8.9%	0.4%	25.8%	12.3%	25.8%
Term Structure	2.7%	0.3%	4.5%	0.3%	2.3%
VWIV	18.9%	17.2%	21.9%	21.9%	19.5%
Skew 25d	2.2%	0.4%	3.5%	3.5%	0.7%
Skew 10d	7.3%	1.9%	13.9%	13.1%	1.9%
Call IV 25d	18.0%	16.4%	19.4%	19.1%	19.4%
Put IV 25d	20.2%	18.6%	22.7%	22.7%	20.1%
Bid-Ask Spread %	29.23	17.20	47.14	46.14	27.67
Gamma HHI	0.28	0.19	0.56	0.29	0.21
Net GEX	552.8K	-742.2K	2.0M	355.1K	636.0K
Net DEX	-8.9M	-21.7M	1.3M	-7.5M	-6.7M
Net VEX	-100.0K	-114.8K	-81.5K	-86.2K	-112.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.45	3.75	1.92	0.85
Total Volume	3,230.947	1,846	5,942	2,015	3,135
Total OI	24,146.684	21,222	28,176	21,222	23,817

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$31.11	$30.00	19.2%	5.5%	15.9%	6.3%	21.9%	3.5%	0.3%	355.1K	-7.5M	-86.2K	1.92	46.14	691	1,324	10,453	10,769
2017-02-02	$30.77	$30.00	19.7%	5.6%	16.7%	7.6%	19.9%	2.7%	2.2%	143.6K	-5.6M	-84.2K	1.65	23.67	757	1,246	10,518	10,793
2017-02-03	$30.97	$30.00	18.5%	5.5%	15.8%	4.6%	19.0%	2.4%	2.2%	382.9K	-7.5M	-82.8K	1.39	47.14	898	1,251	10,524	10,849
2017-02-06	$30.88	$30.00	18.9%	5.5%	15.6%	5.6%	20.0%	3.4%	2.2%	207.6K	-7.1M	-81.5K	1.30	24.18	2,007	2,619	10,684	10,970
2017-02-07	$30.55	$30.00	18.1%	5.5%	15.5%	3.4%	19.4%	2.4%	2.4%	-7.1K	-4.7M	-95.7K	3.75	23.68	854	3,202	11,830	12,362
2017-02-08	$30.35	$31.00	20.2%	5.8%	15.8%	8.9%	19.0%	2.6%	1.5%	-486.6K	-1.2M	-96.2K	3.75	19.51	875	3,281	11,842	13,141
2017-02-09	$30.21	$31.00	19.3%	5.5%	15.8%	6.7%	18.4%	2.3%	1.9%	-742.2K	1.3M	-97.6K	1.31	22.72	1,395	1,830	11,951	13,803
2017-02-10	$30.71	$31.00	17.8%	5.1%	13.9%	2.5%	18.1%	2.6%	3.9%	-20.4K	-3.7M	-98.9K	1.55	33.45	1,253	1,936	12,217	13,923
2017-02-13	$31.75	$31.00	18.4%	5.3%	17.7%	4.1%	19.0%	2.2%	3.1%	1.3M	-12.5M	-102.1K	1.28	28.76	957	1,224	12,510	14,249
2017-02-14	$31.30	$31.00	18.9%	5.4%	18.8%	5.6%	19.5%	2.3%	2.8%	1.1M	-9.3M	-99.5K	1.16	21.41	1,001	1,159	12,636	14,465
2017-02-15	$31.77	$31.00	17.6%	5.1%	19.1%	2.1%	17.2%	1.7%	3.8%	2.0M	-13.2M	-99.7K	1.15	34.83	860	986	12,651	14,618
2017-02-16	$32.33	$31.00	18.9%	5.4%	19.8%	5.4%	18.7%	3.3%	2.7%	1.8M	-20.0M	-97.9K	0.59	39.53	2,472	1,465	12,721	14,670
2017-02-17	$32.34	$31.00	18.6%	5.3%	19.5%	4.6%	18.4%	2.4%	2.8%	517.9K	-21.7M	-101.7K	0.45	21.43	4,085	1,857	13,342	14,834
2017-02-21	$32.29	$31.00	18.7%	5.4%	19.4%	4.9%	18.7%	2.2%	2.6%	694.7K	-12.1M	-111.1K	1.15	23.63	1,504	1,736	11,625	9,752
2017-02-22	$32.07	$31.00	18.3%	5.2%	19.1%	3.8%	18.4%	1.1%	3.1%	656.2K	-10.9M	-113.5K	0.99	29.00	1,531	1,516	11,909	9,951
2017-02-23	$31.77	$31.00	19.0%	5.4%	19.0%	5.8%	18.5%	0.4%	3.0%	597.6K	-9.4M	-111.9K	0.69	17.20	2,402	1,650	11,906	10,042
2017-02-24	$31.89	$31.00	17.1%	4.9%	18.9%	0.7%	17.5%	2.8%	4.5%	757.0K	-9.5M	-114.8K	0.89	31.35	1,702	1,513	12,769	10,261
2017-02-27	$31.54	$31.00	17.5%	5.0%	19.4%	1.9%	18.0%	0.8%	3.6%	667.0K	-7.4M	-112.6K	0.87	40.15	1,719	1,495	13,099	10,331
2017-02-28	$31.44	$31.00	20.1%	5.8%	19.4%	8.6%	19.5%	0.7%	2.3%	636.0K	-6.7M	-112.7K	0.85	27.67	1,698	1,437	13,348	10,469