TSM Options History — August 2007

In August 2007, TSM traded between $9.11 and $10.27. ATM implied volatility averaged 36.0%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 8.5% (HV 20d: 44.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2007-08-27: Highest Volume — 10,891 contracts
  • 2007-08-16: Largest IV drop — 49.5% change
  • 2007-08-15: Highest IV Rank — 100.0%
  • 2007-08-03: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.77$9.11$10.27$9.94$9.92
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV36.0%29.2%57.9%34.5%30.5%
Expected Move9.6%8.3%11.8%9.9%8.7%
HV 20d44.6%33.4%51.9%33.4%50.5%
HV 60d33.3%27.1%38.5%27.1%38.5%
IV Rank49.5%33.1%100.0%46.6%36.0%
IV Percentile69.7%43.6%100.0%69.7%46.1%
Term Structure3.0%-9.3%12.3%-1.2%3.5%
VWIV33.7%27.7%41.0%34.7%30.5%
Skew 25d1.4%-7.2%6.5%0.9%3.7%
Skew 10d3.1%-5.8%9.4%1.4%5.5%
Call IV 25d30.8%25.6%37.5%28.3%31.0%
Put IV 25d32.2%27.4%35.2%29.3%34.7%
Bid-Ask Spread %17.4511.1027.0624.1820.43
Gamma HHI0.560.390.820.430.82
Net GEX98.6K4.5K339.1K4.5K339.1K
Net DEX-1.7M-6.5M1.2M-592.8K-6.5M
Net VEX-26.8K-42.3K-19.7K-19.7K-42.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.002.470.160.07
Total Volume1,283.2174010,8911,943376
Total OI13,798.0878,91422,4558,91422,455

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$9.94$10.0034.5%9.9%33.4%46.6%34.7%0.9%-1.2%4.5K-592.8K-19.7K0.1624.181,6682755,8513,063
2007-08-02$10.10$10.0034.8%10.0%34.3%47.3%34.9%6.5%-3.1%78.5K-1.9M-21.9K0.4516.033211457,4293,302
2007-08-03$9.70$10.0041.1%11.8%36.0%62.3%41.0%-0.2%-9.3%63.2K-827.1K-21.2K0.8221.927816437,5403,435
2007-08-06$10.02$10.0034.0%9.0%37.3%45.4%0.0%3.9%2.1%85.7K-1.4M-22.9K0.7520.122291718,0883,984
2007-08-07$9.89$10.0037.6%9.4%36.9%54.0%32.7%3.8%1.5%80.5K-1.3M-23.0K0.1118.823648,2263,950
2007-08-08$10.27$10.0032.1%9.1%40.2%40.8%31.7%4.7%2.9%93.0K-2.6M-22.8K1.2418.6176948,2153,950
2007-08-09$9.78$10.0039.3%10.6%41.4%57.9%37.0%2.1%-0.1%76.6K-834.9K-22.2K1.3517.482233018,2233,959
2007-08-10$9.90$10.0037.6%10.5%42.0%53.9%37.9%2.8%-2.1%83.9K-1.2M-23.3K0.8319.804824008,3824,248
2007-08-13$10.03$10.0039.5%9.5%42.6%58.6%33.2%4.4%1.5%109.9K-1.6M-24.9K0.4416.082781218,7234,507
2007-08-14$9.60$10.0045.1%9.3%44.1%72.0%32.3%-2.3%3.4%77.8K-404.4K-23.1K2.4716.792365828,8464,508
2007-08-15$9.19$10.0057.9%8.3%45.0%100.0%27.7%-7.2%3.0%7.7K1.2M-21.3K0.9616.486276058,9734,837
2007-08-16$9.11$10.0029.2%8.4%45.0%33.1%31.8%-6.2%11.1%4.8K912.8K-22.9K0.4927.067623709,3664,884
2007-08-17$9.70$10.0035.2%10.1%51.3%47.0%35.2%0.8%12.3%151.6K-701.2K-26.1K0.4018.719183639,6244,557
2007-08-20$9.72$10.0033.8%9.7%51.0%43.8%33.8%4.3%8.6%19.8K-1.0M-25.7K0.0814.91733566,9733,954
2007-08-21$9.67$10.0036.2%10.4%51.0%49.5%36.2%0.1%4.9%29.9K-983.1K-26.0K0.2815.50295847,3763,969
2007-08-22$9.88$10.0033.3%9.6%51.9%42.7%33.3%2.4%7.4%36.4K-1.4M-27.1K0.0014.2427707,6164,024
2007-08-23$9.95$10.0031.7%9.1%47.0%38.9%31.7%3.6%3.7%41.7K-1.7M-27.5K0.2015.72205417,8394,024
2007-08-24$10.04$10.0031.0%8.9%46.9%37.3%31.0%4.4%3.4%43.8K-2.0M-28.0K0.0514.47246127,9374,050
2007-08-27$9.72$10.0030.7%8.8%47.8%36.5%30.7%2.1%6.0%42.4K-1.2M-26.8K0.0111.1010,7581337,9924,062
2007-08-28$9.40$10.0037.9%10.9%48.9%53.4%38.1%-3.8%1.7%212.2K-3.5M-36.3K0.1511.592,70340815,6754,185
2007-08-29$9.73$10.0031.6%9.0%50.3%38.6%31.6%1.8%5.7%294.0K-5.3M-41.4K0.0217.326781517,7414,488
2007-08-30$9.53$10.0033.7%9.7%50.3%43.6%34.1%0.1%2.1%291.7K-4.7M-39.9K0.0014.021,782117,8384,488
2007-08-31$9.92$10.0030.5%8.7%50.5%36.0%30.5%3.7%3.5%339.1K-6.5M-42.3K0.0720.433512517,9974,458