TSM Options History — May 2007

In May 2007, TSM traded between $10.23 and $10.91. ATM implied volatility averaged 30.3%. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 9.9% (HV 20d: 20.4%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.26.

Notable Days

  • 2007-05-11: Highest Volume — 4,488 contracts
  • 2007-05-10: Largest IV spike — 65.6% change
  • 2007-05-31: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.56$10.23$10.91$10.69$10.91
Max Pain$10.80$10.00$15.00$10.00$10.00
ATM IV30.3%19.5%42.8%31.8%42.8%
Expected Move9.3%6.0%12.3%9.1%12.3%
HV 20d20.4%18.5%22.8%20.3%20.1%
HV 60d27.4%22.3%28.9%28.9%22.3%
Term Structure-4.6%-38.4%8.7%-0.3%-38.4%
VWIV34.7%23.6%58.2%31.3%58.2%
Skew 25d7.9%-7.7%18.4%3.9%1.0%
Skew 10d20.1%-5.4%39.4%31.8%3.1%
Call IV 25d24.7%18.8%30.8%27.3%24.6%
Put IV 25d32.6%18.3%43.7%31.2%25.7%
Bid-Ask Spread %11.446.0021.586.666.49
Gamma HHI0.730.440.910.900.53
Net GEX-49.4K-273.6K86.8K-64.2K37.3K
Net DEX-1.8M-5.2M3.3M-2.5M-4.9M
Net VEX-83.6K-91.5K-63.6K-79.5K-85.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.0611.851.640.20
Total Volume1,760.9553524,4881,420623
Total OI50,759.77340,38959,70740,38954,509

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$10.69$10.0031.8%9.1%20.3%0.0%31.3%3.9%-0.3%-64.2K-2.5M-79.5K1.646.6653888220,40919,980
2007-05-02$10.62$10.0021.0%6.0%20.0%0.0%23.6%-7.7%8.7%-46.2K-2.2M-79.7K1.026.0017417820,90720,791
2007-05-03$10.71$10.0027.1%7.8%19.9%0.0%33.6%7.4%-4.8%-39.3K-2.5M-80.4K7.786.086550621,02020,899
2007-05-04$10.70$12.5019.9%8.9%18.8%0.0%31.1%8.4%-1.0%-14.6K-3.1M-80.0K8.718.572191,90721,00521,389
2007-05-07$10.70$12.5019.6%9.0%18.5%0.0%31.6%8.0%-1.9%-28.2K-2.6M-79.2K11.859.431631,93121,13522,591
2007-05-08$10.50$12.5019.5%8.8%19.6%0.0%30.6%13.9%-0.8%-106.5K-1.0M-79.5K4.507.697383,31921,15922,617
2007-05-09$10.53$12.5019.6%9.4%19.6%0.0%32.6%15.3%-4.9%-221.3K509.1K-84.8K2.7011.804931,33321,60627,188
2007-05-10$10.42$12.5032.4%9.3%19.8%0.0%35.0%7.1%-5.4%-263.4K2.3M-87.0K1.9613.775101,00121,99927,910
2007-05-11$10.41$15.0035.1%10.1%19.6%0.0%35.1%18.4%-5.7%-273.6K2.9M-87.6K0.077.194,20528322,17028,799
2007-05-14$10.23$10.0036.2%10.4%20.2%0.0%36.3%7.8%-5.0%-269.2K3.3M-63.6K0.527.291,88097220,91624,830
2007-05-15$10.28$10.0036.2%10.4%20.1%0.0%35.8%8.4%-7.6%-208.7K1.3M-91.5K0.9011.6497688326,84929,447
2007-05-16$10.50$10.0033.7%9.7%21.7%0.0%33.7%14.5%-5.1%-28.8K-1.8M-91.3K0.0614.092,34013027,03629,991
2007-05-17$10.68$10.0037.0%10.6%22.2%0.0%39.8%13.1%-8.3%31.1K-5.2M-89.2K1.2010.471,2761,53428,38829,985
2007-05-18$10.53$10.0034.4%9.9%22.8%0.0%32.2%9.7%-5.2%16.0K-3.2M-90.4K1.1811.3744752628,78930,918
2007-05-21$10.51$10.0034.2%9.8%22.7%0.0%34.2%12.6%-9.1%86.8K-2.0M-86.7K0.179.401,01117427,61326,772
2007-05-22$10.66$10.0033.2%9.5%22.2%0.0%42.3%9.5%-7.5%70.4K-3.7M-84.4K1.7815.359111,62327,69026,806
2007-05-23$10.53$10.0025.4%7.3%21.8%0.0%29.8%4.9%7.9%62.9K-3.6M-85.0K1.8012.0824944928,05526,090
2007-05-24$10.42$10.0034.5%9.9%21.7%0.0%35.2%3.3%3.2%86.0K-1.4M-87.6K0.6318.741,47193428,15126,260
2007-05-25$10.47$10.0024.3%7.0%19.0%0.0%28.4%7.6%7.3%-33.8K-2.9M-81.9K0.3015.3340211927,91726,537
2007-05-29$10.63$10.0032.8%9.4%19.2%0.0%34.1%5.4%-8.5%61.7K-4.1M-82.3K0.2921.5875121828,16626,633
2007-05-30$10.66$10.0034.8%10.0%18.5%0.0%38.2%1.2%-9.7%58.8K-4.2M-82.4K0.3820.7028711028,14226,651
2007-05-31$10.91$10.0042.8%12.3%20.1%0.0%58.2%1.0%-38.4%37.3K-4.9M-85.0K0.206.4952010327,92226,587