TSM Options History — December 2017

In December 2017, TSM traded between $38.66 and $39.72. ATM implied volatility averaged 21.9%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.2% (HV 20d: 21.8%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.40.

Notable Days

  • 2017-12-14: Highest Volume — 13,305 contracts
  • 2017-12-11: Largest IV spike — 22.6% change
  • 2017-12-04: Highest IV Rank — 51.9%
  • 2017-12-27: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.32$38.66$39.72$39.70$39.71
Max Pain$39.60$39.00$41.00$41.00$40.00
ATM IV21.9%19.7%24.3%20.9%22.1%
Expected Move6.2%5.8%6.5%6.0%6.3%
HV 20d21.8%12.1%24.4%24.0%12.1%
HV 60d18.6%18.1%19.2%18.9%18.3%
IV Rank39.2%27.3%51.9%33.8%40.1%
IV Percentile73.8%56.7%86.9%65.1%77.8%
Term Structure0.0%-1.9%1.7%1.7%-1.9%
VWIV21.7%20.7%23.3%21.1%22.1%
Skew 25d2.9%1.7%4.4%4.4%4.0%
Skew 10d6.6%4.0%9.1%6.0%7.7%
Call IV 25d20.7%19.6%21.8%19.6%20.7%
Put IV 25d23.6%22.1%25.1%24.1%24.7%
Bid-Ask Spread %14.479.8619.9318.2018.61
Gamma HHI0.350.290.430.320.29
Net GEX-3.7M-5.4M-2.2M-2.2M-5.2M
Net DEX19.6M9.3M34.6M9.3M17.3M
Net VEX-333.8K-360.8K-310.6K-330.5K-334.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.401.385.571.642.24
Total Volume5,221.43,89013,3055,8214,955
Total OI63,598.857,21569,47957,21569,479

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$39.70$41.0020.9%6.0%24.0%33.8%21.1%4.4%1.7%-2.2M9.3M-330.5K1.6418.202,2043,61718,45638,759
2017-12-04$39.43$39.0024.3%6.3%24.0%51.9%22.0%3.2%-0.6%-2.3M11.2M-323.1K1.3813.942,1292,94418,59538,847
2017-12-05$39.23$39.0023.9%6.4%23.8%50.1%21.4%3.6%0.0%-2.4M14.9M-324.6K1.7615.141,8173,19419,33238,877
2017-12-06$38.66$39.0022.4%6.3%24.0%41.8%22.7%3.3%0.2%-2.6M22.5M-323.1K1.6011.691,7082,73819,39939,151
2017-12-07$39.01$39.0021.7%6.4%24.4%38.0%23.3%3.5%0.1%-2.6M18.1M-325.8K1.7212.291,5342,63919,69539,233
2017-12-08$38.99$39.0019.7%6.2%23.8%27.3%21.6%2.7%1.1%-2.5M17.2M-317.4K1.8112.871,4422,61319,92439,197
2017-12-11$39.34$39.0024.2%6.4%24.1%51.3%21.9%3.0%0.3%-2.5M11.3M-313.2K1.9712.701,3612,68420,16339,730
2017-12-12$39.30$39.0023.9%6.3%23.9%49.7%21.8%2.7%0.3%-2.5M12.5M-313.2K2.4011.951,1442,74620,43339,892
2017-12-13$39.30$39.0021.3%6.1%23.9%35.9%21.1%2.6%0.8%-2.7M11.9M-313.3K2.1519.931,3602,91920,52839,774
2017-12-14$39.43$39.0021.8%6.2%23.9%38.4%21.3%2.3%0.2%-2.6M10.5M-310.6K5.5714.472,02411,28120,64039,841
2017-12-15$39.42$40.0021.2%6.1%23.2%35.6%21.0%2.5%0.5%-4.4M25.1M-346.2K2.0517.171,9984,09221,50347,893
2017-12-18$39.42$40.0021.5%6.2%23.2%36.8%22.2%3.2%-0.1%-4.6M24.4M-346.8K3.2512.021,4904,84018,14446,659
2017-12-19$39.34$40.0021.6%6.2%23.1%37.5%21.0%2.8%-0.4%-4.7M27.0M-360.8K2.7514.161,2293,37618,47248,854
2017-12-20$39.44$40.0021.3%6.1%22.7%35.7%21.0%1.7%0.1%-4.9M24.6M-358.6K2.6614.761,1843,14918,59248,953
2017-12-21$39.22$40.0021.1%6.0%22.7%34.7%20.9%2.8%0.2%-5.0M28.4M-354.9K2.5312.921,2523,16218,68848,986
2017-12-22$39.60$40.0020.2%5.8%22.3%29.9%20.7%2.2%0.1%-4.9M21.1M-354.2K2.779.861,4594,04518,81449,052
2017-12-26$38.99$40.0021.5%6.2%16.8%37.2%22.0%2.1%0.1%-5.4M34.6M-345.2K2.1015.331,5693,29119,12149,836
2017-12-27$39.10$40.0022.6%6.5%16.9%42.8%22.7%2.6%-1.4%-5.4M32.7M-341.2K2.8214.091,1943,36419,34949,814
2017-12-28$39.72$40.0021.3%6.1%12.2%35.7%21.6%2.5%-0.6%-5.4M17.9M-339.3K2.7617.381,2443,43719,37749,924
2017-12-29$39.71$40.0022.1%6.3%12.1%40.1%22.1%4.0%-1.9%-5.2M17.3M-334.5K2.2418.611,5293,42619,53449,945