TSM Options History — March 2007

In March 2007, TSM traded between $10.11 and $11.55. ATM implied volatility averaged 29.2%. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 8.2% (HV 20d: 37.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.80.

Notable Days

  • 2007-03-29: Highest Volume — 4,459 contracts
  • 2007-03-02: Largest IV spike — 88.7% change
  • 2007-03-19: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.96$10.11$11.55$10.93$10.75
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV29.2%15.0%44.5%18.6%34.6%
Expected Move8.6%4.3%10.9%5.3%9.9%
HV 20d37.4%27.1%40.4%27.1%37.0%
HV 60d33.9%33.0%35.2%34.7%33.0%
Term Structure0.5%-9.7%11.3%9.7%0.2%
VWIV30.7%18.1%38.3%18.4%34.2%
Skew 25d3.0%-28.7%13.3%-1.1%7.9%
Skew 10d7.3%-49.9%36.3%-3.5%36.3%
Call IV 25d29.4%20.2%63.8%22.4%25.7%
Put IV 25d32.4%21.3%37.9%21.3%33.7%
Bid-Ask Spread %10.403.6622.586.1120.77
Gamma HHI0.610.500.900.580.75
Net GEX-231.5K-576.7K329.9K-251.9K-566.9K
Net DEX-8.6M-16.5M3.2M-8.0M-4.5M
Net VEX-85.6K-94.5K-63.5K-88.8K-85.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.0110.814.132.36
Total Volume1,221.6821104,4591,864195
Total OI60,133.13657,22764,99357,31764,993

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$10.93$10.0018.6%5.3%27.1%0.0%18.4%-1.1%9.7%-251.9K-8.0M-88.8K4.136.113631,50126,41730,900
2007-03-02$10.64$10.0035.1%10.1%28.5%0.0%35.5%5.5%-3.3%-331.3K-4.5M-92.7K10.815.952472,67026,25930,968
2007-03-05$10.11$10.0033.9%8.1%33.5%0.0%28.4%2.9%2.9%-576.7K3.2M-93.2K0.708.221,8741,30826,23631,220
2007-03-06$10.61$10.0018.6%8.4%38.2%0.0%29.5%-28.7%0.9%-417.4K-5.0M-92.4K3.779.1817565927,22931,803
2007-03-07$10.50$10.0020.5%8.8%38.1%0.0%30.5%-5.2%1.2%-452.6K-2.9M-94.5K1.468.3548771127,34031,875
2007-03-08$10.78$10.0022.7%9.0%38.8%0.0%31.4%1.6%0.9%-319.1K-7.5M-92.7K0.0816.111511227,70731,916
2007-03-09$10.75$10.0022.0%9.4%38.8%0.0%32.7%-2.1%-2.6%-343.5K-6.4M-91.9K2.249.457171,60927,65331,924
2007-03-12$11.12$10.0039.7%10.4%40.4%0.0%32.8%3.0%-2.5%-160.5K-11.2M-89.8K0.3310.0997832328,16832,076
2007-03-13$10.96$10.0041.3%9.8%39.7%0.0%33.8%-0.2%-2.8%-218.2K-10.2M-88.5K0.3111.531,84757728,49232,346
2007-03-14$11.06$10.0044.5%10.2%39.8%0.0%18.6%13.3%-4.0%-191.5K-10.7M-89.7K0.0411.105362128,56632,502
2007-03-15$11.15$10.0036.9%10.6%37.4%0.0%35.8%2.8%-3.1%-155.3K-11.1M-86.5K0.7222.5818413228,22032,498
2007-03-16$11.02$10.0036.3%10.4%37.6%0.0%33.4%0.4%-4.9%-216.0K-9.8M-87.8K0.0510.072101028,22932,561
2007-03-19$11.04$10.0037.9%10.9%37.6%0.0%28.1%13.3%-9.7%-212.7K-8.4M-86.7K0.729.5655239726,89032,128
2007-03-20$11.31$10.0023.4%6.7%38.4%0.0%38.0%4.6%-1.5%-12.8K-12.7M-78.6K1.834.8416530227,26732,403
2007-03-21$11.55$10.0019.8%5.7%39.0%0.0%20.2%6.6%3.2%329.9K-16.5M-63.5K0.136.083374327,33632,633
2007-03-22$11.34$10.0015.9%4.6%39.4%0.0%18.1%6.9%10.7%-45.2K-12.2M-80.2K0.043.66125527,59032,666
2007-03-23$11.37$10.0015.0%4.3%39.2%0.0%38.1%4.0%10.0%-32.3K-12.6M-80.5K1.985.0326452227,60432,671
2007-03-26$11.43$10.0024.4%7.0%39.2%0.0%29.3%8.4%-3.5%36.9K-13.7M-74.8K0.015.081,1181527,75933,096
2007-03-27$11.12$10.0029.5%8.5%37.7%0.0%38.3%3.3%11.3%-151.3K-10.4M-80.3K0.494.29743628,25333,099
2007-03-28$10.82$10.0036.4%10.4%38.6%0.0%36.5%10.5%-2.7%-330.3K-7.3M-81.6K2.3119.7229267428,30233,100
2007-03-29$10.80$10.0034.5%9.9%38.2%0.0%34.6%7.6%1.1%-473.5K-6.4M-83.4K5.0120.987423,71728,45033,584
2007-03-30$10.75$10.0034.6%9.9%37.0%0.0%34.2%7.9%0.2%-566.9K-4.5M-85.9K2.3620.775813728,05636,937