TSM Options History — October 2007

In October 2007, TSM traded between $9.71 and $10.78. ATM implied volatility averaged 31.4%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.7% (HV 20d: 32.1%). 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 14 of 23 days. Put/call ratio averaged 0.23.

Notable Days

  • 2007-10-09: Highest Volume — 9,594 contracts
  • 2007-10-31: Largest IV drop — 54.3% change
  • 2007-10-18: Highest IV Rank — 57.5%
  • 2007-10-18: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.24$9.71$10.78$10.43$10.65
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV31.4%15.6%39.7%29.2%15.6%
Expected Move9.5%4.5%11.4%8.4%4.5%
HV 20d32.1%26.4%39.7%30.6%39.7%
HV 60d39.8%38.9%40.7%40.0%39.9%
IV Rank38.3%1.4%57.5%33.1%1.4%
IV Percentile54.5%0.5%90.5%38.5%0.5%
Term Structure1.2%-6.4%20.8%1.8%20.8%
VWIV32.4%15.2%39.7%29.4%15.2%
Skew 25d4.4%-8.3%26.9%1.2%-8.3%
Skew 10d10.2%-11.3%40.8%11.9%-11.3%
Call IV 25d30.1%22.8%38.5%28.0%27.0%
Put IV 25d34.5%18.7%58.0%29.2%18.7%
Bid-Ask Spread %14.276.0524.6821.087.59
Gamma HHI0.610.400.820.820.46
Net GEX264.5K69.8K507.4K481.3K172.4K
Net DEX-7.5M-15.1M-1.6M-11.6M-9.3M
Net VEX-35.7K-40.1K-32.6K-38.2K-37.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.320.230.67
Total Volume1,680.2611749,5941,5501,382
Total OI21,889.91317,99725,20024,28521,908

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$10.43$10.0029.2%8.4%30.6%33.1%29.4%1.2%1.8%481.3K-11.6M-38.2K0.2321.081,26328719,4364,849
2007-10-02$10.52$10.0028.8%8.3%30.0%32.1%28.8%1.7%4.4%448.8K-12.4M-38.2K0.086.056595019,6995,039
2007-10-03$10.38$10.0029.2%8.4%29.9%33.1%29.5%-0.5%5.0%499.5K-11.3M-39.0K0.0621.893121819,7655,089
2007-10-04$10.41$10.0029.6%8.5%29.5%33.9%29.2%-0.0%2.4%507.4K-11.5M-38.5K0.0624.682321419,8335,089
2007-10-05$10.69$10.0018.0%9.8%26.4%7.0%34.2%11.4%0.4%244.2K-15.1M-32.7K0.1513.861,04915519,9755,103
2007-10-08$10.61$10.0022.6%9.2%26.7%17.7%32.0%8.6%3.3%346.7K-14.5M-33.5K0.0011.64462119,9975,113
2007-10-09$10.70$10.0032.2%10.1%26.7%40.0%35.4%11.2%0.4%382.6K-13.6M-36.3K0.0013.019,5751920,0885,112
2007-10-10$10.78$10.0031.4%10.9%26.7%38.3%30.2%14.3%-2.4%151.9K-8.8M-32.6K0.0414.605612414,1705,126
2007-10-11$10.21$10.0032.9%9.4%33.3%41.6%32.8%-2.2%2.8%226.9K-5.6M-33.7K0.2113.311,19424513,8115,138
2007-10-12$10.04$10.0032.7%9.4%33.8%41.3%30.4%2.3%0.3%227.9K-4.4M-34.1K0.0413.683,84417114,1765,355
2007-10-15$10.00$10.0033.2%9.5%33.3%42.5%33.2%3.1%-1.3%254.5K-4.3M-33.7K0.0815.861,68913315,5605,520
2007-10-16$9.97$10.0033.9%9.7%29.8%43.9%33.9%4.0%-0.3%271.1K-4.1M-34.2K0.2411.653378016,4115,614
2007-10-17$10.18$10.0033.4%9.6%30.5%42.9%33.0%3.5%0.4%323.2K-6.9M-34.6K0.7511.9266450116,6305,645
2007-10-18$10.10$10.0039.7%11.4%30.6%57.5%39.7%4.6%-6.4%427.3K-6.1M-34.8K0.478.5755826317,0036,036
2007-10-19$9.74$10.0039.6%11.3%32.5%57.2%39.6%-2.1%-2.5%198.7K-1.6M-33.8K1.3210.541,8502,44716,7896,124
2007-10-22$9.71$10.0035.3%10.1%32.5%47.3%35.3%0.7%-1.6%69.8K-2.6M-33.8K0.0515.081,7658913,4134,584
2007-10-23$10.02$10.0035.9%10.3%34.3%48.7%35.3%5.8%-0.3%116.4K-4.1M-36.4K0.2211.8953111914,4834,613
2007-10-24$9.77$10.0038.3%11.0%35.4%54.3%38.3%1.5%-3.9%115.5K-3.3M-35.8K0.1117.521,34214914,6774,558
2007-10-25$9.78$10.0029.1%8.3%34.3%32.7%29.1%1.8%4.8%128.7K-3.7M-36.5K0.1115.836046515,2344,568
2007-10-26$9.91$10.0030.5%8.8%34.4%36.1%30.5%26.9%2.9%139.0K-4.2M-36.6K0.1214.754195115,3814,603
2007-10-29$10.51$10.0037.6%10.8%39.0%52.7%37.1%4.1%-3.5%158.1K-6.9M-37.7K0.0615.783,12117815,5684,634
2007-10-30$10.40$10.0034.2%9.8%39.1%44.6%34.1%8.0%1.0%192.6K-7.5M-40.1K0.1717.541492517,4244,525
2007-10-31$10.65$10.0015.6%4.5%39.7%1.4%15.2%-8.3%20.8%172.4K-9.3M-37.4K0.677.5982955317,3974,511