TSM Options History — April 2007 In April 2007, TSM traded between $10.52 and $11.03. ATM implied volatility averaged 31.7%. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 9.8% (HV 20d: 21.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.18.
Notable Days 2007-04-04 : Highest Volume — 5,213 contracts2007-04-30 : Largest IV spike — 72.3% change2007-04-09 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $10.76 $10.52 $11.03 $10.78 $10.54 Max Pain $10.13 $10.00 $12.50 $10.00 $10.00 ATM IV 31.7% 16.5% 45.8% 33.8% 28.4% Expected Move 9.2% 4.7% 10.6% 9.7% 8.1% HV 20d 21.9% 15.3% 31.6% 31.6% 19.7% HV 60d 30.9% 28.0% 33.0% 33.0% 28.8% Term Structure 0.3% -5.9% 15.2% 3.0% 1.9% VWIV 31.6% 15.8% 36.9% 33.3% 28.0% Skew 25d 7.2% -4.8% 14.9% 7.0% 2.0% Skew 10d 13.8% -4.9% 38.9% 31.9% 11.4% Call IV 25d 24.1% 19.1% 29.2% 26.5% 26.7% Put IV 25d 31.3% 17.1% 36.0% 33.5% 28.7% Bid-Ask Spread % 8.27 4.39 16.29 5.87 6.20 Gamma HHI 0.69 0.45 0.87 0.77 0.85 Net GEX -225.0K -657.2K 93.3K -577.8K -68.2K Net DEX -8.2M -11.7M -1.8M -5.8M -1.8M Net VEX -80.3K -90.9K -76.3K -82.1K -79.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.18 0.04 17.55 0.04 0.85 Total Volume 1,195.25 108 5,213 1,135 345 Total OI 60,150.5 35,702 72,601 64,817 40,399
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 2007-04-02 $10.78 $10.00 33.8% 9.7% 31.6% 0.0% 33.3% 7.0% 3.0% -577.8K -5.8M -82.1K 0.04 5.87 1,096 39 28,064 36,753 2007-04-03 $10.90 $10.00 29.5% 8.5% 26.9% 0.0% 20.2% 4.0% 15.2% -421.5K -7.2M -79.1K 0.15 6.19 634 93 28,017 36,705 2007-04-04 $10.78 $10.00 35.1% 10.1% 27.0% 0.0% 35.0% 5.7% -2.5% -657.2K -6.5M -79.3K 0.94 4.39 2,691 2,522 28,403 36,724 2007-04-05 $10.97 $10.00 26.0% 7.4% 26.1% 0.0% 32.7% -4.8% 2.1% -336.8K -11.1M -89.4K 0.58 4.57 350 203 31,058 39,224 2007-04-09 $10.87 $12.50 31.6% 10.6% 26.3% 0.0% 36.9% 14.2% -2.7% -434.6K -9.9M -86.0K 0.64 9.23 286 183 30,897 39,272 2007-04-10 $10.81 $10.00 45.8% 10.3% 23.2% 0.0% 35.5% 12.4% -2.5% -556.6K -7.5M -90.9K 1.08 8.13 356 386 30,912 39,325 2007-04-11 $10.77 $10.00 24.8% 10.2% 22.7% 0.0% 0.0% 14.8% -3.4% -256.0K -11.4M -79.5K 0.83 9.36 289 239 30,985 39,365 2007-04-12 $10.80 $10.00 36.2% 10.4% 22.4% 0.0% 36.3% 14.9% -4.3% -156.6K -11.6M -77.9K 2.38 9.27 32 76 30,929 39,580 2007-04-13 $10.70 $10.00 35.1% 10.1% 22.3% 0.0% 35.1% 13.0% -3.1% -248.8K -10.7M -78.2K 0.34 8.17 884 299 30,924 39,620 2007-04-16 $10.77 $10.00 35.1% 10.1% 22.2% 0.0% 35.1% -0.2% -2.9% -135.9K -11.7M -77.5K 0.28 16.22 698 196 31,454 39,772 2007-04-17 $10.66 $10.00 34.5% 9.9% 22.4% 0.0% 34.4% 11.3% -2.8% -252.3K -11.0M -78.8K 7.24 16.29 58 420 31,520 39,951 2007-04-18 $10.67 $10.00 35.9% 10.3% 20.3% 0.0% 35.8% 12.2% -5.9% -52.0K -11.4M -78.3K 3.12 9.63 322 1,006 31,514 39,987 2007-04-19 $10.55 $10.00 34.5% 9.9% 18.4% 0.0% 34.5% 10.1% -3.4% -375.9K -9.5M -79.7K 0.49 9.56 314 153 31,744 40,840 2007-04-20 $10.52 $10.00 33.8% 9.7% 17.6% 0.0% 33.8% 9.0% -3.4% -135.7K -9.5M -78.5K 1.32 8.76 661 874 31,770 40,831 2007-04-23 $10.58 $10.00 32.0% 9.2% 17.8% 0.0% 32.0% 7.2% -1.1% 11.5K -4.3M -78.5K 17.55 11.79 94 1,650 19,759 15,943 2007-04-24 $10.79 $10.00 31.7% 9.1% 19.4% 0.0% 31.6% 2.2% -0.1% 21.9K -4.9M -80.1K 0.07 5.11 569 42 19,825 16,807 2007-04-25 $10.95 $10.00 34.1% 9.8% 18.1% 0.0% 34.0% 11.0% -0.7% 41.0K -6.2M -80.3K 1.02 4.60 400 408 20,283 16,812 2007-04-26 $11.03 $10.00 20.6% 5.9% 15.3% 0.0% 20.2% 2.5% 9.7% 93.3K -7.1M -76.3K 3.42 5.38 709 2,425 20,516 17,105 2007-04-27 $10.69 $10.00 16.5% 4.7% 19.1% 0.0% 15.8% -3.8% 12.4% -2.3K -4.2M -76.6K 1.19 6.66 870 1,033 20,172 19,249 2007-04-30 $10.54 $10.00 28.4% 8.1% 19.7% 0.0% 28.0% 2.0% 1.9% -68.2K -1.8M -79.2K 0.85 6.20 186 159 20,442 19,957
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