TSM Options History — November 2017

In November 2017, TSM traded between $39.42 and $42.99. ATM implied volatility averaged 18.1%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.2% (HV 20d: 14.9%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.78.

Notable Days

  • 2017-11-29: Highest Volume — 8,867 contracts
  • 2017-11-27: Largest IV spike — 17.0% change
  • 2017-11-29: Highest IV Rank — 40.7%
  • 2017-11-29: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.80$39.42$42.99$42.07$39.60
Max Pain$41.24$41.00$42.00$41.00$41.00
ATM IV18.1%16.6%22.2%17.3%20.8%
Expected Move5.2%4.8%6.4%5.0%6.0%
HV 20d14.9%9.8%24.0%15.4%24.0%
HV 60d15.0%13.8%19.0%16.0%18.9%
IV Rank18.9%10.6%40.7%14.7%33.0%
IV Percentile33.6%13.5%73.4%22.2%64.7%
Term Structure1.4%-0.5%2.6%-0.2%1.5%
VWIV18.8%17.3%21.8%17.6%20.9%
Skew 25d2.2%0.6%3.0%2.2%2.2%
Skew 10d5.1%-0.5%11.1%2.3%4.8%
Call IV 25d17.4%15.9%21.1%16.8%20.8%
Put IV 25d19.6%17.7%24.1%19.0%23.0%
Bid-Ask Spread %18.9112.3240.6528.1314.86
Gamma HHI0.280.210.410.270.34
Net GEX-54.2K-2.2M2.2M45.5K-2.2M
Net DEX-23.4M-35.9M9.5M-30.3M9.5M
Net VEX-265.2K-313.4K-233.4K-237.8K-313.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.933.131.211.49
Total Volume5,032.193,6598,8674,5986,512
Total OI53,134.1948,82556,88651,37055,433

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$42.07$41.0017.3%5.0%15.4%14.7%17.6%2.2%-0.2%45.5K-30.3M-237.8K1.2128.132,0762,52216,84634,524
2017-11-02$42.16$41.0017.1%5.1%15.4%13.5%17.5%2.4%0.7%166.3K-31.9M-233.4K1.4324.121,8782,69217,21634,660
2017-11-03$42.17$41.0016.6%4.9%15.4%10.6%17.6%2.4%1.4%185.5K-29.9M-255.5K1.3417.742,0732,78117,38134,925
2017-11-06$42.42$41.0016.9%5.0%15.3%12.0%18.3%2.6%1.1%401.8K-34.3M-244.7K1.6714.231,6942,82517,46035,188
2017-11-07$42.49$41.0017.3%5.0%15.3%14.4%17.9%2.3%1.1%458.3K-35.8M-237.2K2.0017.322,0854,16217,56735,323
2017-11-08$42.44$41.0017.6%5.0%9.8%15.8%18.8%2.4%1.9%395.0K-33.6M-259.6K2.8420.302,1256,04118,09536,660
2017-11-09$41.63$41.0018.4%5.3%12.5%20.4%19.3%3.0%1.1%-140.1K-21.9M-281.0K1.7821.561,7393,08918,36836,699
2017-11-10$41.72$41.0018.3%5.2%12.1%19.5%18.8%1.6%1.6%-27.1K-22.1M-283.5K2.3724.491,3193,12618,53136,987
2017-11-13$41.98$41.0018.6%5.3%12.2%21.5%18.6%2.8%1.1%303.4K-25.9M-275.1K1.4515.911,7712,56118,65936,950
2017-11-14$41.86$41.0018.4%5.3%12.1%20.3%18.7%2.4%1.7%134.4K-23.9M-274.7K1.7212.321,6502,84518,70837,020
2017-11-15$41.51$41.0018.7%5.4%12.3%22.0%19.2%2.5%1.6%107.3K-18.6M-276.7K0.9314.092,7102,51619,16437,058
2017-11-16$42.09$41.0018.2%5.2%12.6%19.1%18.1%2.3%1.9%1.6M-30.6M-274.3K1.7016.761,4582,47219,69537,125
2017-11-17$42.05$41.0017.4%5.0%12.6%15.2%18.1%1.7%2.3%2.2M-35.9M-267.3K1.3114.952,0352,66519,67637,210
2017-11-20$42.18$41.0017.8%5.1%12.6%17.0%19.7%2.8%2.3%-439.7K-23.5M-253.0K2.2116.791,1392,52015,14133,684
2017-11-21$42.58$41.0016.7%4.8%12.9%11.3%17.3%0.6%2.6%-220.4K-27.1M-252.7K1.4414.581,7322,49515,47533,806
2017-11-22$42.41$42.0017.5%5.0%13.0%15.2%18.9%1.8%2.1%-200.2K-27.0M-251.2K2.3715.711,1912,81915,98733,853
2017-11-24$42.99$42.0016.7%4.8%13.7%10.9%20.2%1.7%2.5%83.4K-31.0M-251.5K2.4722.821,0902,69516,17734,173
2017-11-27$41.08$42.0019.5%5.6%20.3%26.1%19.3%1.4%0.6%-1.0M-13.0M-270.2K1.1114.772,4472,72316,21534,196
2017-11-28$40.92$42.0019.1%5.5%20.3%24.0%19.2%1.8%1.6%-1.1M-10.9M-283.5K1.3415.071,9352,60117,14334,645
2017-11-29$39.42$42.0022.2%6.4%23.8%40.7%21.8%3.0%-0.5%-1.9M6.7M-292.4K3.1340.652,1456,72217,40434,791
2017-11-30$39.60$41.0020.8%6.0%24.0%33.0%20.9%2.2%1.5%-2.2M9.5M-313.4K1.4914.862,6203,89217,89637,537