TSM Options History — September 2017

In September 2017, TSM traded between $36.83 and $38.30. ATM implied volatility averaged 18.9%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.6% (HV 20d: 13.3%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.68.

Notable Days

  • 2017-09-20: Highest Volume — 22,124 contracts
  • 2017-09-13: Largest IV spike — 23.2% change
  • 2017-09-27: Highest IV Rank — 33.4%
  • 2017-09-27: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.54$36.83$38.30$37.22$37.57
Max Pain$37.85$36.00$38.00$37.00$38.00
ATM IV18.9%15.2%21.6%15.2%19.8%
Expected Move5.7%4.3%6.2%4.3%5.7%
HV 20d13.3%10.1%18.3%18.3%14.9%
HV 60d15.4%14.4%17.1%17.1%15.0%
IV Rank20.4%2.5%33.4%2.5%24.9%
IV Percentile36.0%1.6%61.5%1.6%46.8%
Term Structure-0.0%-2.1%3.5%3.5%-1.1%
VWIV20.1%16.1%22.0%16.1%20.4%
Skew 25d2.9%1.8%4.0%3.0%3.4%
Skew 10d8.3%2.0%13.4%12.0%13.4%
Call IV 25d18.8%14.5%20.1%14.5%19.1%
Put IV 25d21.7%17.5%23.5%17.5%22.5%
Bid-Ask Spread %32.7012.1444.1112.1424.51
Gamma HHI0.200.160.270.250.16
Net GEX-2.3M-5.0M220.4K220.4K-4.7M
Net DEX10.7M-11.7M46.7M-9.2M36.1M
Net VEX-245.0K-349.7K-181.7K-186.2K-329.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.680.4037.680.900.80
Total Volume4,079.31,30422,1241,3041,853
Total OI50,349.837,08763,04537,08763,045

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$37.22$37.0015.2%4.3%18.3%2.5%16.1%3.0%3.5%220.4K-9.2M-186.2K0.9012.1468661812,89124,196
2017-09-05$36.83$36.0017.7%6.2%17.4%14.9%21.0%3.4%0.0%76.9K-4.3M-183.3K6.4723.721,5249,85712,90224,253
2017-09-06$37.25$38.0016.6%6.1%17.8%9.6%20.8%2.3%0.4%-1.2M3.1M-215.7K9.8537.769899,74213,19431,793
2017-09-07$37.52$38.0015.5%5.8%17.6%4.3%20.1%3.3%0.3%-1.1M-50.0K-209.4K0.6532.531,46795913,20631,800
2017-09-08$37.53$38.0015.3%5.5%13.1%3.2%19.4%1.8%1.8%-886.8K-3.1M-207.6K0.5236.671,13158913,93731,781
2017-09-11$37.81$38.0018.2%5.6%11.5%17.1%19.5%3.4%1.2%-665.3K-9.5M-194.5K0.6235.0197761014,20231,802
2017-09-12$37.86$38.0016.4%5.9%11.4%8.7%20.3%2.5%0.0%-489.2K-11.7M-189.5K0.6644.1194962614,30931,801
2017-09-13$37.55$38.0020.3%5.8%11.5%27.0%20.1%2.5%-0.1%-333.7K-6.9M-192.4K1.8237.198101,47414,48731,905
2017-09-14$37.39$38.0020.0%5.7%11.6%25.4%20.0%1.9%0.6%-628.1K-4.6M-195.9K2.6836.448572,29714,57032,326
2017-09-15$37.63$38.0019.8%5.7%10.1%24.7%20.3%3.2%0.6%-2.2M-6.2M-190.7K1.0436.522,7372,84614,60733,527
2017-09-18$38.09$38.0019.7%5.6%10.7%24.2%18.4%3.5%-0.5%-1.9M-1.1M-186.7K0.4029.611,71067810,92529,493
2017-09-19$38.30$38.0019.4%5.6%10.7%23.1%19.3%2.7%0.3%-1.7M-5.6M-181.7K0.9333.821,2341,15011,45129,633
2017-09-20$37.83$38.0019.5%5.6%10.7%23.3%19.5%2.3%-0.6%-2.0M270.5K-188.5K37.6833.7057221,55212,15329,794
2017-09-21$38.23$38.0019.7%5.6%11.1%24.1%19.1%4.0%-0.9%-4.1M25.3M-343.7K2.6930.616861,84212,20350,711
2017-09-22$37.76$38.0019.3%5.5%12.1%22.2%19.8%1.9%-0.1%-4.4M33.1M-349.7K0.9730.7189386412,23650,565
2017-09-25$37.06$38.0021.3%6.1%14.0%31.7%21.5%3.1%-0.8%-4.8M45.0M-344.7K1.2730.578191,04112,55150,101
2017-09-26$37.11$38.0021.3%6.1%14.0%32.0%22.0%3.3%-1.4%-4.7M44.3M-342.1K1.2434.5280199112,55550,256
2017-09-27$37.24$38.0021.6%6.2%14.0%33.4%21.6%2.9%-2.1%-4.8M41.7M-333.0K1.1237.2476385212,61550,302
2017-09-28$37.07$38.0021.3%6.1%14.1%32.0%22.0%3.2%-1.5%-5.0M46.7M-335.7K1.2136.6569684412,59750,321
2017-09-29$37.57$38.0019.8%5.7%14.9%24.9%20.4%3.4%-1.1%-4.7M36.1M-329.2K0.8024.511,02882512,65350,392