TSM Options History — August 2017

In August 2017, TSM traded between $35.35 and $36.97. ATM implied volatility averaged 17.1%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.4% (HV 20d: 16.7%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-08-01: Highest Volume — 6,987 contracts
  • 2017-08-03: Largest IV drop — 8.2% change
  • 2017-08-10: Highest IV Rank — 22.6%
  • 2017-08-10: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.35$35.35$36.97$35.86$36.97
Max Pain$36.17$36.00$37.00$36.00$37.00
ATM IV17.1%15.0%19.4%17.7%15.0%
Expected Move4.9%4.3%5.5%5.1%4.3%
HV 20d16.7%11.9%19.2%12.2%18.3%
HV 60d16.7%15.2%17.7%15.5%17.2%
IV Rank11.6%1.9%22.6%14.6%1.9%
IV Percentile14.6%0.8%41.3%15.9%0.8%
Term Structure3.3%-0.5%5.3%-0.5%4.5%
VWIV17.7%14.6%19.8%18.4%15.5%
Skew 25d2.6%1.3%3.4%1.9%3.4%
Skew 10d7.9%3.9%12.5%7.7%9.2%
Call IV 25d16.5%14.2%18.2%16.8%14.2%
Put IV 25d19.0%17.2%21.1%18.8%17.7%
Bid-Ask Spread %15.6911.9119.9513.9914.26
Gamma HHI0.330.250.640.290.26
Net GEX-497.4K-5.7M1.3M-523.9K64.0K
Net DEX-231.4K-15.3M16.7M7.2M-6.0M
Net VEX-217.2K-256.3K-188.1K-256.3K-188.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.373.473.470.86
Total Volume2,244.3911,0776,9876,9871,214
Total OI46,509.82632,84055,24652,03837,024

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$35.86$36.0017.7%5.1%12.2%14.6%18.4%1.9%-0.5%-523.9K7.2M-256.3K3.4713.991,5645,42318,89733,141
2017-08-02$36.04$36.0017.4%5.0%12.2%13.3%17.8%1.5%0.7%-202.9K1.7M-251.2K2.9711.919872,93619,48133,251
2017-08-03$35.74$36.0016.0%4.9%11.9%6.5%17.5%2.1%3.1%-635.4K9.6M-249.9K1.2419.959451,17619,60833,249
2017-08-04$36.03$36.0015.5%5.1%12.1%4.3%17.8%2.8%3.0%-247.1K3.9M-250.8K0.8115.961,02183219,67633,317
2017-08-07$36.77$36.0016.7%4.9%13.4%10.1%18.2%3.0%3.7%1.3M-14.7M-237.3K0.7016.011,17982019,78833,391
2017-08-08$36.73$36.0017.3%4.9%13.0%12.8%17.3%2.5%3.1%1.2M-15.3M-230.5K0.3718.941,48755219,82733,397
2017-08-09$36.43$36.0018.0%5.2%13.2%16.2%17.7%3.0%3.3%655.9K-6.8M-233.0K0.4118.591,88477619,80333,403
2017-08-10$35.35$36.0019.4%5.5%16.7%22.6%19.5%2.4%2.9%-912.8K16.7M-233.7K1.1319.289811,10820,42033,533
2017-08-11$36.09$36.0019.1%5.5%18.3%21.2%19.8%3.0%2.7%-155.8K1.4M-236.3K0.7913.651,13089220,42733,827
2017-08-14$36.06$36.0018.1%5.2%18.1%16.8%18.0%2.2%4.0%-657.0K2.8M-224.1K0.6617.071,00766520,40833,974
2017-08-15$36.47$36.0018.1%5.2%18.5%16.6%17.3%3.4%3.5%732.1K-10.2M-214.1K0.6613.111,02267720,40533,985
2017-08-16$36.35$36.0017.7%5.1%17.9%14.7%18.4%3.0%4.3%-219.4K-8.1M-207.6K0.7012.5694566320,37433,972
2017-08-17$35.84$36.0018.5%5.3%18.5%18.4%18.6%2.1%2.8%-3.2M10.0M-208.6K2.1218.428001,69520,38134,008
2017-08-18$35.94$36.0018.2%5.2%18.3%17.2%19.1%3.3%3.4%-5.7M10.9M-202.8K0.5918.681,66297420,36534,881
2017-08-21$35.94$36.0017.9%5.1%18.1%15.9%19.2%2.5%3.3%-1.1M8.7M-197.5K0.8415.238507189,95822,882
2017-08-22$36.57$36.0016.7%4.8%19.1%9.9%17.1%3.0%3.8%-741.8K1.5M-194.3K0.4212.271,84376710,13522,912
2017-08-23$36.59$36.0015.7%4.5%19.1%5.0%16.7%2.3%4.4%-437.6K395.1K-200.0K0.6113.371,36082711,57723,351
2017-08-24$36.81$36.0015.8%4.5%19.2%5.4%14.6%3.1%3.8%-300.4K-2.6M-197.4K0.9613.4690686911,60623,327
2017-08-25$36.85$36.0015.5%4.4%18.7%4.0%15.6%2.8%4.3%-214.5K-3.8M-195.2K0.8317.091,6411,35611,77723,408
2017-08-28$36.77$37.0015.8%4.5%18.8%5.8%17.9%3.0%3.9%-169.0K-2.8M-197.4K0.6516.2978651412,72324,109
2017-08-29$36.93$37.0016.4%4.7%18.7%8.7%18.4%1.6%3.9%-69.1K-4.5M-196.0K0.9517.0155853212,73324,122
2017-08-30$36.93$37.0015.7%4.5%18.7%5.2%15.9%1.3%5.3%38.1K-5.4M-193.1K0.8113.7959448312,75424,139
2017-08-31$36.97$37.0015.0%4.3%18.3%1.9%15.5%3.4%4.5%64.0K-6.0M-188.1K0.8614.2665456012,84424,180