TSM Options History — February 2007

In February 2007, TSM traded between $10.68 and $11.55. ATM implied volatility averaged 24.6%. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 7.3% (HV 20d: 31.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.57.

Notable Days

  • 2007-02-12: Highest Volume — 3,687 contracts
  • 2007-02-21: Largest IV spike — 44.6% change
  • 2007-02-07: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.11$10.68$11.55$11.01$11.10
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV24.6%15.8%40.6%23.3%21.7%
Expected Move6.9%4.5%9.3%6.7%6.2%
HV 20d31.9%22.4%35.2%34.6%26.5%
Term Structure1.5%-11.2%9.9%7.6%-9.0%
VWIV24.6%16.7%34.1%21.8%23.1%
Skew 25d3.8%-3.7%12.8%3.6%-0.5%
Skew 10d6.8%-4.3%14.4%2.6%-0.6%
Call IV 25d20.0%15.8%23.9%22.5%21.5%
Put IV 25d23.8%16.6%31.8%26.1%21.0%
Bid-Ask Spread %6.553.5320.856.685.93
Gamma HHI0.550.490.690.570.52
Net GEX-153.3K-527.1K124.3K-238.1K-116.8K
Net DEX-11.0M-15.5M-5.4M-9.9M-10.7M
Net VEX-89.4K-101.1K-70.3K-99.1K-82.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.004.260.150.33
Total Volume798.105713,687151485
Total OI61,795.73754,82467,01964,47056,334

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-02-01$11.01$10.0023.3%6.7%34.6%0.0%21.8%3.6%7.6%-238.1K-9.9M-99.1K0.156.681312026,53937,931
2007-02-02$10.94$10.0024.0%8.0%34.7%0.0%0.0%5.6%-0.9%-256.7K-9.5M-98.7K0.135.8363826,63737,948
2007-02-05$10.85$10.0025.0%7.7%33.5%0.0%25.7%4.2%2.4%-305.2K-8.2M-98.4K0.216.2476915826,68437,947
2007-02-06$10.97$10.0035.5%8.1%33.7%0.0%0.0%7.0%2.2%-320.4K-8.4M-101.1K0.565.8781945526,31438,084
2007-02-07$11.16$10.0040.6%9.3%33.8%0.0%33.1%10.7%-3.7%-247.2K-10.8M-96.1K0.045.791,8728226,75738,335
2007-02-08$11.12$10.0030.1%8.6%33.8%0.0%0.0%12.8%2.0%-145.3K-10.5M-95.6K1.103.7211813026,62838,380
2007-02-09$10.95$10.0030.6%8.8%33.5%0.0%31.9%6.2%-3.4%-218.7K-9.7M-97.7K0.105.052142126,72938,421
2007-02-12$10.68$10.0029.0%8.3%32.6%0.0%29.2%7.1%0.1%-527.1K-5.4M-98.4K0.9020.851,9361,75126,76138,441
2007-02-13$10.73$10.0026.1%7.5%32.6%0.0%25.1%5.7%3.9%-311.5K-7.3M-97.5K4.265.6015465627,84738,595
2007-02-14$11.15$10.0024.7%7.1%35.2%0.0%0.0%-1.5%-0.6%-119.7K-12.6M-91.7K0.044.467273027,87938,786
2007-02-15$11.17$10.0025.1%7.2%34.4%0.0%34.1%-1.5%-4.0%-101.1K-12.9M-91.4K0.005.03272028,20938,810
2007-02-16$11.23$10.0018.1%5.2%34.5%0.0%19.4%1.7%9.4%-94.2K-13.4M-87.8K0.745.3016312028,16038,744
2007-02-20$11.35$10.0015.8%4.5%33.8%0.0%17.0%2.6%8.2%-6.7K-13.1M-75.9K0.215.071,22926025,34129,483
2007-02-21$11.48$10.0022.9%6.6%33.5%0.0%19.2%6.5%9.9%28.4K-13.6M-77.5K0.593.5324214225,44929,543
2007-02-22$11.55$10.0016.0%4.6%32.8%0.0%16.7%2.1%6.3%124.3K-15.5M-74.0K0.374.761615925,96229,608
2007-02-23$11.39$10.0017.8%5.1%22.9%0.0%23.8%-0.3%1.6%118.5K-14.9M-70.3K0.165.47631026,01229,642
2007-02-26$11.39$10.0017.1%4.9%22.4%0.0%20.2%3.9%6.8%-1.5K-13.7M-78.7K0.034.386171726,04629,652
2007-02-27$10.94$10.0023.4%6.7%26.4%0.0%28.9%-3.7%-11.2%-174.1K-9.1M-85.3K0.9914.8060760325,82129,660
2007-02-28$11.10$10.0021.7%6.2%26.5%0.0%23.1%-0.5%-9.0%-116.8K-10.7M-82.6K0.335.9336611926,24730,087