TSM Options History — July 2017

In July 2017, TSM traded between $34.46 and $36.35. ATM implied volatility averaged 21.6%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.2% (HV 20d: 16.4%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.40.

Notable Days

  • 2017-07-13: Highest Volume — 13,807 contracts
  • 2017-07-12: Largest IV drop — 18.1% change
  • 2017-07-10: Highest IV Rank — 52.2%
  • 2017-07-05: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.69$34.46$36.35$34.88$35.96
Max Pain$36.00$36.00$36.00$36.00$36.00
ATM IV21.6%17.0%30.3%26.1%17.6%
Expected Move5.9%4.9%8.0%7.5%5.0%
HV 20d16.4%12.2%20.0%19.9%12.2%
HV 60d15.8%15.5%16.0%16.0%15.5%
IV Rank26.6%11.4%52.2%38.2%14.3%
IV Percentile45.2%9.9%96.0%82.9%15.1%
Term Structure0.9%-3.1%3.8%-1.0%1.0%
VWIV21.1%17.2%27.4%26.8%18.4%
Skew 25d2.1%0.3%3.4%1.7%1.1%
Skew 10d4.6%-0.1%7.8%2.4%2.2%
Call IV 25d20.1%16.2%27.0%26.5%17.7%
Put IV 25d22.1%18.2%28.7%28.2%18.7%
Bid-Ask Spread %20.008.6164.2064.2012.46
Gamma HHI0.310.260.420.280.30
Net GEX-1.7M-3.6M1.2M-2.9M-225.1K
Net DEX13.6M-13.7M49.6M39.1M2.7M
Net VEX-256.8K-276.8K-238.5K-276.8K-238.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.214.961.124.96
Total Volume5,272.252,15913,8074,3356,573
Total OI61,34444,33176,86860,07548,897

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$34.88$36.0026.1%7.5%19.9%38.2%26.8%1.7%-1.0%-2.9M39.1M-276.8K1.1264.202,0472,28818,76341,312
2017-07-05$34.82$36.0027.8%8.0%19.8%43.6%27.4%1.7%-3.1%-2.9M40.9M-269.5K1.4935.232,0343,03618,90141,313
2017-07-06$34.46$36.0029.0%7.2%20.0%47.9%25.7%2.7%-0.9%-3.1M49.6M-263.0K1.5317.471,4472,21519,01442,142
2017-07-07$34.58$36.0028.6%7.0%19.6%46.5%25.3%3.4%-0.4%-3.1M47.0M-260.9K1.2920.511,6842,17519,08442,195
2017-07-10$34.99$36.0030.3%7.1%17.0%52.2%24.5%2.2%-1.0%-3.0M37.4M-261.2K2.0122.251,6363,29119,64142,146
2017-07-11$35.37$36.0029.3%7.0%16.8%48.8%25.1%2.9%-1.4%-2.8M28.9M-262.6K1.8117.451,3982,53620,06142,089
2017-07-12$35.69$36.0024.0%6.9%16.6%31.2%25.0%2.5%-0.0%-2.5M20.4M-262.7K0.5121.136,5373,30120,17241,941
2017-07-13$36.08$36.0020.1%5.8%17.1%26.3%20.7%1.8%2.6%-1.6M4.1M-270.7K0.3825.449,9843,82325,05043,683
2017-07-14$36.25$36.0018.9%5.4%17.0%20.2%19.0%1.7%3.5%1.2M-13.7M-272.6K0.2120.459,0801,94230,29543,627
2017-07-17$35.96$36.0019.1%5.5%16.6%21.4%19.6%1.3%2.9%-1.7M4.6M-250.6K1.7219.362,1263,64826,55343,935
2017-07-18$35.86$36.0018.2%5.2%16.4%17.0%21.1%1.9%3.3%-2.4M11.5M-265.2K1.8715.172,2314,16726,67346,467
2017-07-19$36.35$36.0018.4%5.3%17.1%18.0%18.3%2.0%3.7%-1.2M-11.7M-258.4K0.6410.571,8381,18326,54249,409
2017-07-20$36.15$36.0017.7%5.1%16.2%14.8%18.2%0.3%3.8%-2.9M-6.9M-254.1K0.809.661,6701,33726,70049,497
2017-07-21$35.87$36.0018.8%5.4%16.4%20.1%18.8%2.2%2.8%-3.6M15.6M-246.9K0.8315.531,9721,63927,51449,354
2017-07-24$36.18$36.0017.8%5.1%16.8%15.1%18.0%2.3%1.0%-407.0K564.6K-240.3K0.398.612,7461,07116,28728,044
2017-07-25$36.07$36.0018.2%5.2%15.6%17.3%18.0%1.4%0.0%-182.6K-122.7K-245.2K0.9813.141,0931,06617,80228,118
2017-07-26$36.18$36.0017.5%5.0%12.3%13.6%17.9%3.2%0.8%-40.4K-763.8K-246.2K1.5324.601,4772,25317,99828,442
2017-07-27$36.21$36.0017.8%5.1%12.3%15.0%17.9%2.6%-0.5%-43.9K-2.3M-246.3K1.9116.571,2392,36518,49329,944
2017-07-28$35.85$36.0017.0%4.9%12.2%11.4%17.2%2.2%1.4%-357.8K4.6M-244.1K2.0710.231,0752,22218,74230,040
2017-07-31$35.96$36.0017.6%5.0%12.2%14.3%18.4%1.1%1.0%-225.1K2.7M-238.5K4.9612.461,1035,47018,79930,098