TSM Options History — June 2007

In June 2007, TSM traded between $10.27 and $11.23. ATM implied volatility averaged 33.0%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 10.3% (HV 20d: 22.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2007-06-07: Highest Volume — 249,408 contracts
  • 2007-06-11: Largest IV drop — 33.4% change
  • 2007-06-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.82$10.27$11.23$11.08$11.13
Max Pain$10.13$10.00$12.50$10.00$10.00
ATM IV33.0%20.3%56.9%54.1%24.3%
Expected Move8.0%5.8%15.5%15.5%7.0%
HV 20d22.7%20.5%26.2%20.6%24.2%
HV 60d21.2%20.7%22.4%22.4%21.3%
Term Structure0.1%-40.5%12.3%-40.5%-5.6%
VWIV27.9%20.6%50.5%50.5%25.9%
Skew 25d-0.5%-15.6%12.7%1.6%2.7%
Skew 10d8.6%4.4%13.6%4.4%4.8%
Call IV 25d29.3%20.9%46.1%24.9%25.9%
Put IV 25d28.8%25.4%33.7%26.5%28.6%
Bid-Ask Spread %17.685.7133.955.7114.59
Gamma HHI0.810.480.990.480.83
Net GEX120.1K-194.9K391.1K7.2K136.8K
Net DEX-7.0M-13.0M316.2K-7.0M-13.0M
Net VEX-26.3K-81.6K0-81.6K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.002.250.150.58
Total Volume12,620.1430249,408244114
Total OI21,713.238054,68454,27313,616

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$11.08$10.0054.1%15.5%20.6%0.0%50.5%1.6%-40.5%7.2K-7.0M-81.6K0.155.712133127,68926,584
2007-06-04$10.99$10.0049.7%8.0%20.8%0.0%21.9%-15.4%-1.1%22.6K-5.6M-79.6K0.5226.9322711727,73926,613
2007-06-05$10.83$10.0048.0%7.8%21.6%0.0%27.1%-15.6%-0.8%39.3K-4.0M-78.7K1.1518.4614716927,72526,619
2007-06-06$10.78$10.0048.6%7.6%20.5%0.0%25.0%4.5%-0.0%47.2K-3.4M-77.2K1.1018.2320322327,80126,674
2007-06-07$10.71$10.0056.9%8.7%20.6%0.0%30.6%6.1%-3.0%38.4K-2.7M-78.5K0.0010.28248,75765127,90626,778
2007-06-08$10.57$12.5044.5%7.9%20.8%0.0%0.0%12.7%5.7%-194.9K316.2K-67.2K0.009.910020,93327,208
2007-06-11$10.46$0.0029.6%8.5%21.2%0.0%29.7%0.0%-1.2%0000.0219.96126200
2007-06-12$10.27$10.0027.5%7.9%21.3%0.0%27.5%0.0%1.7%3.8K-71.7K-2792.0512.54851741262
2007-06-13$10.38$10.0024.7%7.1%21.6%0.0%24.7%0.0%3.7%-1.6K-57.9K-9630.1623.4612320189173
2007-06-14$10.60$10.0028.6%8.2%21.6%0.0%28.6%0.0%1.2%-166-111.4K-8750.0214.317,045117225179
2007-06-15$10.82$10.0029.1%8.3%22.0%0.0%28.7%0.0%-0.1%204.8K-6.4M-7.0K0.0732.564,6323117,239259
2007-06-18$10.67$10.0028.3%8.1%21.9%0.0%28.3%0.0%1.2%376.8K-10.1M-11.7K2.2530.89245411,822511
2007-06-19$10.70$10.0027.8%8.0%21.9%0.0%28.2%0.0%1.6%391.1K-10.1M-11.4K0.5033.16402011,828544
2007-06-20$10.80$10.0026.4%7.6%21.6%0.0%0.0%0.0%9.6%339.8K-10.4M-11.1K0.3333.9518611,828564
2007-06-21$11.23$10.0023.1%6.6%25.0%0.0%25.6%0.0%-6.3%119.8K-12.8M-3.9K0.0011.8297011,846570
2007-06-22$10.98$10.0028.0%8.0%26.2%0.0%0.0%0.0%7.0%293.9K-11.1M-9.9K0.0013.6294011,922570
2007-06-25$10.99$10.0021.8%6.3%26.2%0.0%24.4%0.0%5.9%189.5K-12.4M-5.1K0.1111.101631811,996570
2007-06-26$11.01$10.0020.3%5.8%25.7%0.0%20.6%0.0%12.3%152.4K-12.7M-4.7K0.009.8316012,140588
2007-06-27$11.14$10.0022.9%6.6%26.0%0.0%0.0%0.0%9.1%126.3K-12.9M-4.4K0.9910.6548347812,146588
2007-06-28$11.17$10.0028.2%8.1%24.8%0.0%0.0%0.0%2.4%230.0K-12.3M-10.1K0.009.4125012,6021,066
2007-06-29$11.13$10.0024.3%7.0%24.2%0.0%25.9%2.7%-5.6%136.8K-13.0M-7.2K0.5814.59724212,6001,016