TSM Options History — April 2017

In April 2017, TSM traded between $31.54 and $33.10. ATM implied volatility averaged 21.6%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.6% (HV 20d: 13.0%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.27.

Notable Days

2017-04-10: Highest Volume — 5,863 contracts
2017-04-12: Largest IV drop — 25.3% change
2017-04-11: Highest IV Rank — 39.7%
2017-04-05: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.51	$31.54	$33.10	$32.90	$33.07
Max Pain	$32.26	$32.00	$33.00	$32.00	$32.00
ATM IV	21.6%	16.6%	31.8%	23.8%	16.6%
Expected Move	5.9%	4.8%	7.0%	6.8%	4.8%
HV 20d	13.0%	10.7%	15.5%	15.5%	12.1%
HV 60d	16.5%	16.0%	17.2%	17.2%	16.4%
IV Rank	13.9%	0.0%	39.7%	18.6%	0.0%
IV Percentile	39.2%	0.0%	95.6%	64.7%	0.0%
Term Structure	1.1%	-2.5%	4.5%	-1.7%	1.2%
VWIV	20.5%	16.5%	24.2%	23.6%	16.5%
Skew 25d	2.3%	-0.6%	4.7%	1.1%	1.5%
Skew 10d	5.3%	-0.8%	14.4%	-0.3%	1.5%
Call IV 25d	19.8%	15.4%	23.8%	23.6%	16.0%
Put IV 25d	22.1%	17.5%	26.6%	24.7%	17.5%
Bid-Ask Spread %	29.21	17.73	45.43	23.92	24.25
Gamma HHI	0.24	0.19	0.45	0.21	0.20
Net GEX	1.0M	684.8K	1.7M	811.9K	1.2M
Net DEX	-7.4M	-13.8M	2.0M	-12.4M	-10.1M
Net VEX	-147.5K	-161.6K	-130.9K	-161.6K	-147.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.70	2.24	0.98	0.87
Total Volume	3,197.947	1,997	5,863	2,685	2,573
Total OI	31,588.158	21,566	36,004	33,366	24,657

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
2017-04-03	$32.90	$32.00	23.8%	6.8%	15.5%	18.6%	23.6%	1.1%	-1.7%	811.9K	-12.4M	-161.6K	0.98	23.92	1,354	1,331	16,330	17,036
2017-04-04	$32.87	$32.00	24.1%	6.9%	15.1%	19.4%	23.1%	-0.6%	-1.6%	865.3K	-12.5M	-160.1K	1.93	22.76	693	1,340	16,384	17,047
2017-04-05	$32.95	$32.00	24.4%	7.0%	15.0%	20.2%	23.7%	0.5%	-2.5%	919.0K	-13.8M	-160.4K	1.32	30.32	1,027	1,357	16,427	17,082
2017-04-06	$32.91	$33.00	24.8%	6.3%	14.7%	21.0%	22.5%	2.8%	0.6%	897.8K	-12.7M	-158.8K	1.40	26.54	1,004	1,403	16,552	17,118
2017-04-07	$32.93	$33.00	26.1%	6.3%	14.6%	24.7%	22.7%	2.2%	1.2%	949.7K	-13.6M	-161.0K	1.28	27.89	1,068	1,367	16,777	17,212
2017-04-10	$32.53	$33.00	29.1%	6.6%	14.8%	32.5%	24.2%	2.5%	0.3%	709.9K	-8.7M	-158.5K	2.24	36.50	1,807	4,056	16,977	17,248
2017-04-11	$32.34	$33.00	31.8%	6.8%	14.5%	39.7%	23.9%	4.7%	1.0%	832.4K	-5.8M	-157.7K	1.26	35.99	1,318	1,664	17,747	16,819
2017-04-12	$32.20	$33.00	23.7%	6.8%	12.0%	24.8%	23.4%	2.5%	-0.1%	878.8K	-6.0M	-155.4K	1.55	27.71	2,270	3,508	18,013	16,824
2017-04-13	$31.90	$32.00	20.2%	5.8%	11.4%	12.1%	19.9%	3.6%	3.3%	1.3M	-2.4M	-143.4K	1.06	45.43	1,632	1,735	19,362	15,959
2017-04-17	$32.00	$32.00	20.7%	5.9%	11.2%	14.0%	20.5%	2.0%	2.8%	1.5M	-3.5M	-139.1K	1.43	35.43	1,064	1,522	19,277	15,959
2017-04-18	$31.81	$32.00	19.4%	5.6%	11.0%	9.4%	19.0%	3.0%	3.6%	1.1M	722.6K	-134.2K	1.29	21.42	1,191	1,535	19,435	16,029
2017-04-19	$31.54	$32.00	19.0%	5.4%	10.7%	7.8%	18.7%	2.3%	2.2%	684.8K	2.0M	-130.9K	1.65	28.93	1,121	1,847	19,488	15,860
2017-04-20	$31.80	$32.00	18.3%	5.3%	11.0%	5.4%	18.2%	2.0%	4.5%	1.5M	719.8K	-132.0K	0.70	18.29	2,768	1,936	19,839	16,165
2017-04-21	$32.10	$32.00	19.4%	5.5%	11.6%	9.1%	19.1%	3.0%	3.0%	1.7M	-8.5M	-136.4K	0.86	38.44	2,057	1,765	19,776	16,151
2017-04-24	$32.67	$32.00	16.7%	4.8%	12.7%	0.0%	17.8%	3.3%	1.5%	769.1K	-5.6M	-136.0K	1.39	17.73	1,172	1,626	10,674	10,892
2017-04-25	$33.10	$32.00	17.2%	4.9%	13.0%	1.7%	16.9%	3.7%	0.9%	812.1K	-8.7M	-138.7K	0.79	30.15	1,786	1,412	10,925	11,046
2017-04-26	$32.98	$32.00	17.0%	4.9%	13.0%	1.1%	18.1%	2.0%	0.6%	1.0M	-8.9M	-142.7K	0.71	28.39	2,020	1,435	11,967	11,060
2017-04-27	$33.06	$32.00	17.7%	5.1%	12.3%	3.5%	17.3%	2.3%	0.4%	1.3M	-10.6M	-147.7K	1.32	34.95	860	1,137	12,963	11,098
2017-04-28	$33.07	$32.00	16.6%	4.8%	12.1%	0.0%	16.5%	1.5%	1.2%	1.2M	-10.1M	-147.1K	0.87	24.25	1,373	1,200	13,026	11,631