TSM Options History — October 2017

In October 2017, TSM traded between $38.10 and $42.29. ATM implied volatility averaged 19.5%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.3% (HV 20d: 16.2%). Max pain ranged from $36.00 to $41.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.87.

Notable Days

  • 2017-10-12: Highest Volume — 17,781 contracts
  • 2017-10-11: Largest IV drop — 19.5% change
  • 2017-10-10: Highest IV Rank — 46.0%
  • 2017-10-17: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.38$38.10$42.29$38.10$42.29
Max Pain$38.32$36.00$41.00$38.00$41.00
ATM IV19.5%16.0%24.3%21.1%17.1%
Expected Move5.4%4.6%6.1%6.0%4.9%
HV 20d16.2%14.6%18.8%15.5%15.3%
HV 60d15.8%14.8%16.4%15.2%15.9%
IV Rank24.5%7.5%46.0%30.7%13.5%
IV Percentile41.2%8.3%81.7%56.7%19.4%
Term Structure-0.0%-1.6%1.7%-1.6%0.5%
VWIV19.0%15.2%22.3%21.6%17.6%
Skew 25d2.1%0.6%2.7%2.7%1.7%
Skew 10d5.7%2.6%12.2%9.2%7.2%
Call IV 25d18.0%14.5%20.8%20.8%16.5%
Put IV 25d20.0%17.1%23.5%23.5%18.2%
Bid-Ask Spread %20.6113.9036.5720.1517.54
Gamma HHI0.220.150.350.160.26
Net GEX-1.6M-4.1M122.5K-4.1M122.5K
Net DEX-15.4M-45.8M24.0M24.0M-32.8M
Net VEX-264.5K-325.7K-226.5K-308.7K-235.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.396.871.811.06
Total Volume6,453.3181,63617,7812,9324,881
Total OI59,737.22743,53470,66063,21750,962

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$38.10$38.0021.1%6.0%15.5%30.7%21.6%2.7%-1.6%-4.1M24.0M-308.7K1.8120.151,0431,88912,78950,428
2017-10-03$38.41$38.0020.7%5.9%15.0%28.9%21.2%0.6%-0.6%-3.9M18.3M-316.5K1.0121.471,9241,93413,02851,730
2017-10-04$38.27$38.0020.8%6.0%14.7%29.7%22.3%2.2%-1.6%-4.0M20.8M-325.5K1.4421.341,2421,79313,56351,871
2017-10-05$38.46$36.0020.9%5.6%14.6%30.2%20.0%2.3%0.4%-3.8M15.3M-325.7K0.6718.781,14276514,05751,909
2017-10-06$38.45$36.0022.2%5.5%14.6%36.4%19.4%1.9%0.6%-3.9M13.9M-317.7K0.7218.6995168514,06251,969
2017-10-09$38.81$36.0023.4%5.5%14.7%41.8%20.4%2.6%0.4%-3.4M5.5M-297.4K2.1121.661,1372,39914,14152,017
2017-10-10$38.95$36.0024.3%5.7%14.8%46.0%20.1%1.8%0.2%-3.1M4.5M-304.0K1.4314.751,7442,50114,14253,043
2017-10-11$40.38$36.0019.5%5.6%18.8%23.4%19.3%2.1%0.2%-1.8M-18.3M-267.6K0.3918.766,0392,32614,76653,177
2017-10-12$40.44$37.0020.4%5.9%18.5%31.2%19.8%2.1%-0.7%-1.0M-26.2M-274.3K2.4036.575,23112,55017,37053,290
2017-10-13$40.84$38.0020.0%5.7%18.6%28.8%20.0%1.9%-0.9%-520.5K-33.8M-243.6K4.6228.182,43711,26718,35544,655
2017-10-16$40.92$39.0020.6%5.9%18.4%32.3%20.5%2.5%-1.2%-903.7K-32.6M-242.1K6.8727.321,62511,16718,51545,191
2017-10-17$41.21$39.0021.3%6.1%18.4%35.9%21.5%2.4%-1.4%-299.6K-38.8M-234.0K6.7821.871,82212,34818,55545,227
2017-10-18$41.49$39.0021.1%6.1%17.5%34.9%21.6%2.4%-1.2%-418.4K-40.1M-234.8K1.2418.592,6963,34418,83746,139
2017-10-19$41.05$39.0017.3%5.0%18.1%14.5%17.6%2.2%1.7%-171.6K-40.1M-229.3K0.6516.034,7743,08320,09347,334
2017-10-20$41.08$39.0016.4%4.7%17.2%9.8%17.4%2.1%1.6%-466.7K-45.8M-238.6K0.7127.284,1362,93421,59647,320
2017-10-23$41.20$39.0017.0%4.9%14.9%12.7%15.6%2.1%0.1%-494.4K-19.8M-237.3K1.1113.901,5861,76114,20729,327
2017-10-24$41.28$39.0016.9%4.8%14.9%12.0%15.2%1.7%0.1%-462.8K-21.0M-233.9K1.6515.101,6402,70914,29529,555
2017-10-25$41.15$39.0017.2%4.9%15.2%13.9%16.5%2.3%0.1%-611.1K-17.9M-242.0K1.9017.461,7203,26414,40130,656
2017-10-26$41.27$40.0016.5%4.7%14.8%9.9%16.2%2.1%1.5%-821.0K-17.6M-252.3K0.8416.892,1241,77714,68131,908
2017-10-27$42.13$40.0016.0%4.6%15.5%7.5%16.5%2.6%0.6%-319.8K-28.8M-226.5K0.9623.232,5782,46515,11732,157
2017-10-30$42.15$41.0017.3%5.0%15.3%14.3%17.3%1.3%0.3%-339.6K-28.5M-232.0K0.7617.953,7232,81715,22532,559
2017-10-31$42.29$41.0017.1%4.9%15.3%13.5%17.6%1.7%0.5%122.5K-32.8M-235.0K1.0617.542,3712,51016,54834,414