TSM Options History — September 2007

In September 2007, TSM traded between $9.72 and $10.28. ATM implied volatility averaged 31.2%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 9.4% (HV 20d: 40.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.31.

Notable Days

2007-09-10: Highest Volume — 2,813 contracts
2007-09-10: Largest IV spike — 25.9% change
2007-09-10: Highest IV Rank — 53.1%
2007-09-11: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.04	$9.72	$10.28	$10.12	$10.12
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	31.2%	25.5%	37.8%	31.8%	25.5%
Expected Move	9.1%	7.3%	10.4%	9.1%	7.3%
HV 20d	40.6%	32.0%	49.7%	49.6%	32.0%
HV 60d	39.0%	38.3%	39.5%	38.7%	39.5%
IV Rank	37.6%	24.4%	53.1%	39.0%	24.4%
IV Percentile	49.8%	27.4%	86.0%	53.0%	27.4%
Term Structure	2.3%	-1.4%	9.2%	2.1%	9.2%
VWIV	31.6%	25.5%	36.4%	31.8%	25.5%
Skew 25d	4.7%	2.6%	7.4%	5.0%	3.4%
Skew 10d	8.5%	4.5%	11.5%	9.6%	8.9%
Call IV 25d	29.0%	26.5%	33.3%	32.0%	27.4%
Put IV 25d	33.8%	30.0%	38.1%	37.0%	30.8%
Bid-Ask Spread %	14.14	9.23	21.93	19.31	12.96
Gamma HHI	0.86	0.82	0.91	0.82	0.87
Net GEX	520.1K	359.5K	832.7K	359.5K	586.8K
Net DEX	-8.4M	-12.0M	-5.5M	-8.0M	-8.8M
Net VEX	-41.7K	-43.5K	-40.2K	-41.7K	-40.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	1.50	0.44	0.08
Total Volume	1,049.158	210	2,813	1,773	290
Total OI	25,000.421	22,550	27,338	22,550	24,158

Daily Data (19 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
2007-09-04	$10.12	$10.00	31.8%	9.1%	49.6%	39.0%	31.8%	5.0%	2.1%	359.5K	-8.0M	-41.7K	0.44	19.31	1,233	540	18,082	4,468
2007-09-05	$9.97	$10.00	31.9%	9.1%	49.7%	39.3%	31.9%	4.8%	1.9%	374.1K	-7.2M	-41.6K	0.01	21.93	207	3	18,345	4,569
2007-09-06	$10.12	$10.00	30.7%	8.8%	48.0%	36.5%	30.7%	4.6%	2.8%	380.8K	-8.2M	-41.6K	0.61	14.26	646	393	18,294	4,569
2007-09-07	$9.72	$10.00	30.0%	10.1%	47.0%	35.0%	35.4%	3.5%	-1.4%	364.6K	-5.5M	-40.2K	0.03	9.23	2,405	75	18,666	4,697
2007-09-10	$9.73	$10.00	37.8%	10.3%	46.8%	53.1%	35.7%	2.6%	0.1%	381.8K	-6.2M	-41.5K	0.05	11.16	2,682	131	19,483	4,745
2007-09-11	$9.80	$10.00	32.7%	10.4%	46.6%	41.2%	36.4%	5.6%	-0.9%	482.8K	-7.1M	-42.9K	0.00	10.94	362	0	21,032	4,767
2007-09-12	$9.85	$10.00	33.0%	9.8%	43.8%	41.9%	34.0%	5.1%	1.4%	615.0K	-7.5M	-43.5K	0.10	13.73	315	33	22,571	4,767
2007-09-13	$10.04	$10.00	34.0%	9.7%	40.8%	44.2%	34.0%	5.7%	-0.3%	516.8K	-9.1M	-42.9K	0.41	14.65	1,092	451	21,097	4,800
2007-09-14	$9.98	$10.00	33.8%	9.7%	40.7%	43.7%	33.8%	7.4%	0.7%	604.4K	-8.3M	-43.0K	0.81	16.30	695	560	21,265	5,198
2007-09-17	$9.82	$10.00	34.3%	9.8%	35.0%	44.9%	34.3%	5.5%	-0.5%	524.2K	-6.4M	-41.2K	0.25	13.94	675	167	21,018	5,244
2007-09-18	$10.23	$10.00	31.8%	9.1%	37.8%	39.1%	31.8%	2.9%	0.6%	614.9K	-10.4M	-41.0K	0.24	15.19	419	100	21,134	5,347
2007-09-19	$10.11	$10.00	32.9%	9.4%	38.1%	41.7%	32.9%	5.4%	1.6%	607.8K	-9.2M	-41.3K	0.01	16.00	1,523	10	21,141	5,277
2007-09-20	$10.08	$10.00	29.3%	8.4%	37.4%	33.4%	29.3%	4.4%	4.3%	832.7K	-9.6M	-42.7K	1.08	16.19	223	241	21,714	5,282
2007-09-21	$10.25	$10.00	31.1%	8.9%	37.8%	37.5%	31.1%	6.3%	0.5%	554.6K	-12.0M	-41.7K	0.02	9.40	1,016	20	21,728	5,406
2007-09-24	$10.27	$10.00	30.3%	8.7%	37.7%	35.7%	30.3%	5.6%	2.1%	470.5K	-9.8M	-40.3K	1.50	15.78	329	492	19,227	4,351
2007-09-25	$10.12	$10.00	27.9%	8.0%	36.1%	30.0%	27.9%	4.5%	4.6%	522.9K	-8.5M	-42.4K	0.15	9.40	256	39	19,403	4,753
2007-09-26	$10.06	$10.00	26.4%	7.6%	33.7%	26.5%	26.4%	4.1%	7.6%	558.9K	-8.2M	-42.3K	0.11	10.28	1,629	175	19,515	4,782
2007-09-27	$10.28	$10.00	26.9%	7.7%	32.4%	27.6%	26.9%	3.2%	6.5%	529.2K	-9.9M	-40.4K	0.05	18.01	484	23	19,286	4,827
2007-09-28	$10.12	$10.00	25.5%	7.3%	32.0%	24.4%	25.5%	3.4%	9.2%	586.8K	-8.8M	-40.8K	0.08	12.96	268	22	19,311	4,847