TSM Options History — January 2007 In January 2007, TSM traded between $10.62 and $11.49. ATM implied volatility averaged 31.3%. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 5.8% (HV 20d: 37.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.37.
Notable Days 2007-01-05 : Highest Volume — 11,136 contracts2007-01-31 : Largest IV spike — 90.5% change2007-01-22 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $11.01 $10.62 $11.49 $10.97 $10.91 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 31.3% 19.1% 46.0% 19.1% 39.1% Expected Move 9.4% 5.5% 13.2% 5.5% 11.2% HV 20d 37.1% 35.4% 38.7% 38.7% 35.4% Term Structure -4.0% -13.5% 13.5% 5.4% -4.7% VWIV 34.0% 19.5% 46.0% 19.5% 37.8% Skew 25d 5.1% -7.9% 20.7% 2.5% -0.0% Skew 10d 9.5% 0.1% 19.3% 4.9% 2.7% Call IV 25d 28.4% 21.7% 37.6% 26.5% 31.8% Put IV 25d 33.5% 19.8% 46.7% 29.0% 31.7% Bid-Ask Spread % 15.04 6.19 25.64 8.24 6.73 Gamma HHI 0.60 0.51 0.76 0.56 0.62 Net GEX -340.7K -841.0K -112.3K -191.3K -369.6K Net DEX -14.3M -24.4M -5.6M -19.2M -7.2M Net VEX -111.0K -129.8K -103.1K -105.5K -107.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.01 9.40 0.16 0.01 Total Volume 1,479.2 81 11,136 1,032 120 Total OI 82,041.25 61,742 98,913 85,528 64,778
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-01-03 $10.97 $10.00 19.1% 5.5% 0.0% 0.0% 19.5% 2.5% 5.4% -191.3K -19.2M -105.5K 0.16 8.24 893 139 35,665 49,863 2007-01-04 $10.97 $10.00 19.8% 5.7% 0.0% 0.0% 20.3% -0.1% -4.3% -193.9K -19.5M -103.9K 2.08 9.75 80 166 36,174 49,912 2007-01-05 $10.69 $10.00 20.2% 9.0% 0.0% 0.0% 31.6% 8.9% -2.6% -438.4K -15.3M -114.4K 9.40 11.26 1,071 10,065 36,176 50,019 2007-01-08 $10.75 $10.00 23.3% 8.6% 0.0% 0.0% 30.1% 7.4% -1.4% -590.5K -15.3M -119.6K 1.84 12.23 377 694 37,016 58,522 2007-01-09 $10.62 $10.00 23.3% 8.4% 0.0% 0.0% 29.3% 6.0% -2.0% -786.9K -13.0M -121.9K 0.46 18.92 218 100 37,177 58,572 2007-01-10 $10.68 $10.00 28.2% 8.9% 0.0% 0.0% 31.0% 7.3% -0.8% -841.0K -10.6M -129.8K 1.34 18.29 256 342 37,164 58,672 2007-01-11 $10.91 $10.00 36.6% 10.5% 0.0% 0.0% 36.6% 13.4% -3.5% -360.4K -17.0M -117.2K 1.32 17.88 1,800 2,375 37,153 58,937 2007-01-12 $11.25 $10.00 40.5% 11.6% 0.0% 0.0% 40.7% 4.3% -6.9% -258.8K -21.0M -115.3K 0.74 16.36 880 653 37,653 60,967 2007-01-16 $11.31 $10.00 36.6% 10.5% 0.0% 0.0% 40.6% 6.7% -5.5% -238.9K -21.5M -111.4K 0.14 15.97 978 141 37,779 61,134 2007-01-17 $11.49 $10.00 32.3% 9.3% 0.0% 0.0% 40.9% 6.2% -1.4% -112.3K -24.4M -104.8K 1.82 12.67 197 358 38,001 59,086 2007-01-18 $11.25 $10.00 39.8% 11.4% 0.0% 0.0% 40.1% 0.8% -11.9% -192.0K -22.0M -106.6K 0.37 21.88 265 97 38,069 59,331 2007-01-19 $11.29 $10.00 27.1% 7.8% 0.0% 0.0% 25.7% 3.0% -4.9% -190.8K -21.8M -107.0K 0.30 22.45 798 240 37,839 59,340 2007-01-22 $11.06 $10.00 46.0% 13.2% 0.0% 0.0% 46.0% 20.7% -13.5% -268.2K -7.9M -111.1K 3.42 16.88 407 1,392 25,735 36,007 2007-01-23 $11.25 $10.00 42.8% 12.3% 0.0% 0.0% 40.3% 4.5% -5.1% -221.4K -10.1M -107.0K 0.10 23.23 706 70 25,757 37,160 2007-01-24 $11.48 $10.00 37.1% 10.6% 0.0% 0.0% 40.1% 9.0% -6.3% -126.1K -12.9M -103.5K 0.24 25.64 1,041 248 26,316 37,186 2007-01-25 $10.76 $10.00 35.1% 10.1% 38.7% 0.0% 34.5% 9.2% -7.1% -393.9K -5.8M -108.4K 1.16 22.54 674 782 26,550 37,303 2007-01-26 $10.93 $10.00 29.3% 8.4% 38.0% 0.0% 21.2% -1.8% -8.1% -349.8K -7.0M -110.6K 1.33 6.39 277 368 26,603 37,922 2007-01-29 $10.77 $10.00 29.4% 8.4% 37.2% 0.0% 39.2% -7.9% -8.2% -416.6K -5.6M -110.7K 0.97 7.36 119 116 26,586 37,976 2007-01-30 $10.91 $10.00 20.5% 5.9% 36.4% 0.0% 0.0% 1.3% 13.5% -273.9K -8.5M -103.1K 0.27 6.19 64 17 26,649 38,076 2007-01-31 $10.91 $10.00 39.1% 11.2% 35.4% 0.0% 37.8% -0.0% -4.7% -369.6K -7.2M -107.5K 0.01 6.73 119 1 26,695 38,083
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