TSM Options History — May 2017

In May 2017, TSM traded between $33.41 and $35.78. ATM implied volatility averaged 16.3%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.2% (HV 20d: 13.0%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.59.

Notable Days

  • 2017-05-10: Highest Volume — 5,863 contracts
  • 2017-05-31: Largest IV spike — 14.1% change
  • 2017-05-31: Highest IV Rank — 10.2%
  • 2017-05-31: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.99$33.41$35.78$33.41$35.36
Max Pain$33.59$32.00$34.00$32.00$34.00
ATM IV16.3%14.6%17.7%16.7%17.7%
Expected Move4.7%4.2%5.1%4.8%5.1%
HV 20d13.0%12.1%14.6%12.4%12.7%
HV 60d14.9%13.3%16.6%16.3%13.6%
IV Rank2.5%0.0%10.2%0.4%10.2%
IV Percentile2.7%0.0%13.1%0.4%13.1%
Term Structure3.5%0.5%5.3%1.1%2.9%
VWIV16.1%14.6%17.8%15.9%16.5%
Skew 25d1.9%1.3%3.6%3.6%1.4%
Skew 10d5.6%-1.6%12.7%12.7%-1.6%
Call IV 25d15.3%14.1%16.4%14.1%16.1%
Put IV 25d17.2%16.0%19.2%17.7%17.5%
Bid-Ask Spread %20.2710.2544.6230.1423.67
Gamma HHI0.340.220.490.220.39
Net GEX1.2M906.3K1.4M1.4M1.1M
Net DEX-23.9M-34.3M-13.6M-13.6M-16.3M
Net VEX-140.8K-147.9K-129.4K-145.7K-144.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.343.891.403.89
Total Volume3,015.8182,0595,8632,0593,069
Total OI27,703.31824,95231,74725,30528,053

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$33.41$32.0016.7%4.8%12.4%0.4%15.9%3.6%1.1%1.4M-13.6M-145.7K1.4030.148591,20013,57211,733
2017-05-02$33.85$32.0015.7%4.5%13.2%0.0%15.7%1.7%0.6%1.4M-18.5M-144.3K1.0418.991,6381,69713,74611,893
2017-05-03$34.26$32.0016.3%4.7%13.7%2.0%16.5%1.3%0.5%1.3M-21.9M-142.9K2.3044.626641,52413,90012,416
2017-05-04$34.17$33.0015.6%4.9%13.8%0.0%17.8%1.8%3.4%1.3M-21.3M-141.9K2.6612.685851,55413,88012,502
2017-05-05$34.42$33.0016.1%4.9%13.8%1.5%17.7%1.4%4.1%1.3M-23.2M-140.8K2.0313.747151,45213,95312,604
2017-05-08$34.97$33.0015.8%4.7%14.6%0.7%16.8%2.1%4.0%1.0M-28.3M-135.2K0.7916.732,0061,58014,07012,655
2017-05-09$35.34$34.0017.2%4.7%13.7%5.5%16.6%1.3%3.7%925.2K-31.2M-132.0K0.7918.731,8931,49914,41212,885
2017-05-10$35.40$34.0016.3%4.7%13.2%2.4%16.1%1.6%5.0%906.3K-31.3M-129.4K0.3418.034,3671,49614,33312,984
2017-05-11$35.54$34.0015.7%4.5%12.8%0.3%15.7%1.7%2.8%1.1M-34.3M-136.0K0.7223.192,2871,64715,57113,303
2017-05-12$35.31$34.0016.1%4.6%12.4%1.6%16.0%1.5%4.6%1.1M-31.6M-137.3K1.1217.511,4871,66615,54813,555
2017-05-15$35.05$34.0016.9%4.8%13.2%4.3%16.2%1.6%3.5%1.3M-29.5M-139.3K1.6920.461,0051,69816,01913,934
2017-05-16$35.01$34.0016.9%4.8%12.8%4.3%15.8%2.1%3.5%1.2M-28.7M-138.7K1.3721.321,0511,44015,96914,137
2017-05-17$34.54$34.0017.0%4.9%13.6%4.6%16.3%2.8%3.8%1.4M-22.8M-143.3K0.4528.593,0801,37716,13114,341
2017-05-18$34.90$34.0017.1%4.9%13.7%5.1%16.2%2.7%3.4%1.3M-28.5M-147.9K0.6015.022,2291,34517,20014,382
2017-05-19$35.20$34.0016.2%4.6%13.6%1.9%16.5%2.0%4.6%1.4M-32.6M-144.1K1.2623.901,1171,41017,34414,403
2017-05-22$35.40$34.0016.3%4.7%12.7%2.3%16.2%2.1%3.9%966.8K-17.3M-141.7K1.5910.251,1631,84912,18012,772
2017-05-23$35.36$34.0016.0%4.6%12.4%1.4%16.6%2.0%5.3%1.0M-17.7M-142.9K2.3012.477861,80412,62313,356
2017-05-24$35.49$34.0016.7%4.8%12.1%3.7%14.7%2.6%4.6%1.1M-18.4M-142.7K2.8923.187792,24912,62713,442
2017-05-25$35.59$34.0015.0%4.3%12.1%0.0%14.9%1.4%3.8%1.0M-19.2M-142.4K1.7619.588531,49912,69913,750
2017-05-26$35.51$34.0014.6%4.2%12.2%0.0%14.6%1.5%3.6%1.1M-18.4M-144.0K2.0416.327511,52913,03513,974
2017-05-30$35.78$34.0015.5%4.4%12.1%2.9%15.2%1.4%4.8%1.1M-20.7M-140.1K2.0716.927971,65213,25514,332
2017-05-31$35.36$34.0017.7%5.1%12.7%10.2%16.5%1.4%2.9%1.1M-16.3M-144.4K3.8923.676282,44113,42914,624