TSM Options History — March 2017

In March 2017, TSM traded between $30.84 and $33.32. ATM implied volatility averaged 20.5%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.2% (HV 20d: 18.3%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 2.78.

Notable Days

  • 2017-03-16: Highest Volume — 8,900 contracts
  • 2017-03-13: Largest IV spike — 15.2% change
  • 2017-03-30: Highest IV Rank — 15.6%
  • 2017-03-30: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.06$30.84$33.32$31.58$32.90
Max Pain$31.26$30.00$32.00$31.00$32.00
ATM IV20.5%17.4%22.7%17.8%22.5%
Expected Move6.1%5.1%6.5%5.1%6.5%
HV 20d18.3%15.2%20.8%19.2%15.4%
HV 60d17.9%17.4%18.4%17.8%17.5%
IV Rank9.8%1.6%15.6%2.5%15.1%
IV Percentile31.7%0.8%56.3%4.0%54.0%
Term Structure1.2%-1.3%3.8%3.8%-0.5%
VWIV21.1%18.1%22.4%18.8%21.6%
Skew 25d1.7%-0.4%3.3%2.1%-0.4%
Skew 10d6.1%-5.5%14.0%4.5%-0.2%
Call IV 25d20.6%17.8%22.5%17.8%22.5%
Put IV 25d22.3%19.1%24.0%19.9%22.1%
Bid-Ask Spread %24.7315.3239.6337.2724.83
Gamma HHI0.230.170.300.210.20
Net GEX723.5K291.5K1.9M727.1K748.9K
Net DEX-9.6M-21.1M-1.4M-7.5M-11.3M
Net VEX-143.8K-165.2K-108.1K-113.4K-163.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.780.886.161.102.22
Total Volume4,560.9132,5078,9002,9874,087
Total OI29,089.56523,94732,83723,94732,490

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$31.58$31.0017.8%5.1%19.2%2.5%18.8%2.1%3.8%727.1K-7.5M-113.4K1.1037.271,4191,56813,47110,476
2017-03-02$30.88$31.0018.9%5.4%20.8%5.4%18.9%0.4%2.8%327.3K-2.2M-108.1K0.9716.781,5801,53813,74310,625
2017-03-03$30.84$31.0017.9%5.1%20.4%2.9%18.1%0.8%3.7%291.5K-1.4M-108.9K0.8825.751,7491,54114,20010,738
2017-03-06$30.90$30.0018.6%6.4%20.3%4.6%21.8%2.4%1.8%443.2K-2.5M-110.5K1.6322.709531,55414,84110,879
2017-03-07$31.31$30.0019.4%6.3%20.8%6.8%21.4%1.6%1.8%762.8K-6.9M-112.9K1.3418.401,1671,56314,96911,016
2017-03-08$31.23$30.0019.0%6.3%20.4%5.8%21.7%0.6%2.2%820.7K-8.1M-116.3K0.9515.321,6021,52816,24211,189
2017-03-09$31.03$30.0018.4%6.2%20.4%4.2%21.2%1.7%2.1%558.3K-4.5M-113.7K4.5830.748754,00716,42311,267
2017-03-10$31.04$30.0017.4%6.1%20.3%1.6%21.3%2.5%3.0%434.2K-1.9M-147.6K6.1628.048225,06016,46413,815
2017-03-13$31.52$31.0020.1%6.2%20.2%8.6%21.6%2.6%1.9%867.7K-6.5M-152.8K5.1031.867823,98716,48014,932
2017-03-14$31.22$31.0021.2%6.4%16.6%11.7%20.8%3.3%1.6%377.2K-3.5M-149.6K4.5718.868774,01216,53715,011
2017-03-15$31.98$31.0021.5%6.2%18.0%12.5%21.6%3.3%1.3%1.4M-11.2M-151.1K3.9133.831,3605,31316,55315,108
2017-03-16$32.42$31.0020.9%6.0%17.9%10.9%20.9%1.4%2.7%1.9M-19.6M-149.4K3.6417.191,9196,98116,81814,459
2017-03-17$32.61$32.0021.0%6.0%16.9%11.0%20.7%1.8%1.9%625.6K-21.1M-152.9K3.0420.601,7915,44416,84115,996
2017-03-20$32.83$32.0021.1%6.1%17.1%11.4%20.4%2.0%0.2%672.7K-14.0M-151.0K4.5124.361,1625,23513,08713,802
2017-03-21$32.48$32.0022.2%6.4%17.5%14.3%21.9%1.7%-1.0%543.4K-9.6M-163.0K2.6939.631,1022,96413,34215,108
2017-03-22$32.66$32.0021.0%6.0%17.4%11.0%21.0%1.6%0.5%570.8K-9.7M-163.8K2.8321.341,0172,87813,39015,319
2017-03-23$32.52$32.0021.8%6.3%17.1%13.3%21.6%1.8%0.0%537.3K-8.9M-163.5K2.7023.851,0222,75813,52615,432
2017-03-24$32.86$32.0021.2%6.1%17.4%11.7%20.3%2.7%0.3%642.1K-11.5M-162.8K1.5727.851,7172,70413,59115,509
2017-03-27$33.21$32.0022.6%6.5%17.0%15.2%22.3%1.2%-1.3%846.3K-15.5M-160.4K1.1526.992,3582,70314,51115,561
2017-03-28$33.32$32.0022.4%6.4%16.9%14.8%22.4%1.6%-1.3%1.0M-17.4M-161.8K3.3120.391,1013,64515,20115,629
2017-03-29$32.91$32.0021.9%6.3%17.7%13.5%22.1%1.8%-0.4%747.9K-11.5M-165.2K1.9625.841,3582,66315,45616,657
2017-03-30$33.09$32.0022.7%6.5%15.2%15.6%22.0%1.1%-0.6%797.6K-13.5M-165.0K3.1516.348272,60815,60116,755
2017-03-31$32.90$32.0022.5%6.5%15.4%15.1%21.6%-0.4%-0.5%748.9K-11.3M-163.1K2.2224.831,2682,81915,70016,790