TSM Options History — July 2007

In July 2007, TSM traded between $10.10 and $11.74. ATM implied volatility averaged 29.5%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.4% (HV 20d: 26.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2007-07-26: Highest Volume — 2,918 contracts
  • 2007-07-20: Largest IV spike — 63.2% change
  • 2007-07-20: Highest IV Rank — 54.3%
  • 2007-07-20: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.14$10.10$11.74$11.28$10.15
Max Pain$10.12$10.00$12.50$10.00$10.00
ATM IV29.5%19.5%37.7%20.0%35.8%
Expected Move8.4%5.6%10.8%5.7%10.3%
HV 20d26.2%22.7%34.0%24.4%33.5%
HV 60d23.2%21.1%26.8%21.2%26.8%
IV Rank37.1%16.3%54.3%18.8%49.7%
IV Percentile55.9%21.3%86.9%23.8%77.1%
Term Structure-0.1%-5.5%9.1%6.9%-4.6%
VWIV31.0%21.8%37.6%25.9%31.2%
Skew 25d4.7%1.1%7.8%4.5%4.4%
Skew 10d8.3%2.6%13.3%8.4%5.3%
Call IV 25d25.8%22.5%31.6%24.6%25.2%
Put IV 25d30.5%27.6%34.5%29.1%29.5%
Bid-Ask Spread %20.568.1938.538.1916.20
Gamma HHI0.570.440.740.690.44
Net GEX41.3K6.8K77.0K68.4K6.8K
Net DEX-9.7M-14.9M-515.9K-13.4M-925.0K
Net VEX-10.4K-19.6K-5.9K-5.9K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.002.400.950.05
Total Volume648.143352,918408626
Total OI12,337.6674,74217,29813,6628,782

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$11.28$10.0020.0%5.7%24.4%0.0%25.9%4.5%6.9%68.4K-13.4M-5.9K0.958.1920919912,6151,047
2007-07-03$11.39$10.0019.5%5.6%23.8%0.0%31.4%5.0%8.9%47.3K-13.7M-6.9K0.1312.3731412,8161,246
2007-07-05$11.39$10.0022.9%6.6%23.7%18.8%33.5%3.5%1.6%56.5K-13.7M-7.0K0.0012.3746012,8421,250
2007-07-06$11.48$10.0021.9%6.3%23.5%16.3%25.4%5.4%-2.2%29.8K-13.9M-6.4K0.0715.911771312,8621,250
2007-07-09$11.73$10.0030.3%8.2%23.5%36.5%28.9%6.3%-2.2%54.6K-14.3M-6.9K0.0919.388888013,0111,250
2007-07-10$11.45$10.0026.9%7.1%25.1%28.3%30.0%5.5%-1.4%77.0K-14.0M-8.3K0.1023.324084213,7441,330
2007-07-11$11.40$10.0023.5%6.8%23.9%20.3%29.0%2.5%0.0%66.4K-14.0M-8.5K0.0029.39362014,0111,340
2007-07-12$11.69$10.0027.6%7.9%24.9%30.1%27.5%7.8%-0.3%55.3K-14.7M-9.5K0.0021.4788014,3061,340
2007-07-13$11.66$10.0030.0%8.6%24.4%35.8%0.0%6.2%-2.5%47.5K-14.7M-9.4K0.0025.2751014,3201,340
2007-07-16$11.68$10.0030.7%8.8%23.7%37.4%0.0%6.1%-3.0%48.8K-14.8M-9.3K0.2313.871283014,3401,340
2007-07-17$11.74$10.0030.7%8.8%22.7%37.5%31.1%5.4%-2.6%51.5K-14.9M-9.5K0.1515.101342014,4051,370
2007-07-18$11.36$10.0032.0%9.2%26.4%40.6%31.1%5.6%-4.0%61.5K-14.1M-9.7K2.4027.2217141014,4941,390
2007-07-19$11.23$10.0023.1%6.6%26.8%19.3%21.8%2.4%9.1%25.1K-13.9M-9.3K1.669.998691,43914,5481,704
2007-07-20$10.90$12.5037.7%10.8%25.2%54.3%37.6%2.8%-4.2%25.8K-13.2M-10.6K0.7716.0138929814,8302,468
2007-07-23$11.02$10.0037.6%10.8%24.3%54.0%37.0%1.9%-2.1%29.6K-857.6K-10.8K0.0028.0247413,1731,569
2007-07-24$10.90$10.0031.2%8.9%24.6%38.6%29.2%1.1%7.1%33.8K-1.1M-12.2K0.0130.2044633,5901,570
2007-07-25$10.90$10.0036.8%10.6%24.6%52.1%36.5%2.9%-2.0%37.8K-1.2M-12.0K0.3229.225001583,8141,567
2007-07-26$10.22$10.0032.8%9.4%33.0%42.4%33.4%5.4%-2.5%26.6K-687.9K-11.9K0.8238.531,5991,3194,2051,681
2007-07-27$10.10$10.0037.5%10.7%33.0%53.7%37.5%6.0%-5.5%7.7K-515.9K-17.0K0.6414.748105205,0592,677
2007-07-30$10.28$10.0031.1%8.9%34.0%38.4%31.2%7.7%2.8%8.8K-991.2K-18.5K0.0425.06643265,5713,024
2007-07-31$10.15$10.0035.8%10.3%33.5%49.7%0.0%4.4%-4.6%6.8K-925.0K-19.6K0.0516.20594325,7393,043