TSM Options History — November 2007

In November 2007, TSM traded between $9.27 and $10.50. ATM implied volatility averaged 34.5%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 4.2% (HV 20d: 38.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2007-11-30: Highest Volume — 3,210 contracts
  • 2007-11-21: Largest IV spike — 23.8% change
  • 2007-11-21: Highest IV Rank — 55.6%
  • 2007-11-21: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.83$9.27$10.50$10.50$9.92
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV34.5%30.0%38.9%32.9%33.2%
Expected Move9.9%8.6%11.1%9.4%9.5%
HV 20d38.7%33.7%41.1%40.1%35.6%
HV 60d36.3%34.5%39.3%39.3%34.8%
IV Rank45.4%35.0%55.6%41.7%42.3%
IV Percentile67.6%41.2%89.3%59.0%57.4%
Term Structure1.5%-1.8%5.1%1.5%-1.8%
VWIV34.6%30.0%39.4%33.2%33.2%
Skew 25d1.4%-12.0%23.1%-0.7%4.0%
Skew 10d4.4%-19.6%51.9%8.7%6.3%
Call IV 25d34.0%25.0%44.4%34.3%32.1%
Put IV 25d35.5%30.0%61.8%33.5%36.1%
Bid-Ask Spread %13.998.6224.5124.5115.33
Gamma HHI0.500.410.580.480.55
Net GEX182.9K120.7K278.3K201.6K164.4K
Net DEX-4.9M-8.4M-2.7M-8.4M-5.1M
Net VEX-40.5K-44.3K-38.3K-39.7K-41.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.012.310.380.01
Total Volume858.333723,2106343,210
Total OI24,689.14322,23427,40922,23424,332

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$10.50$10.0032.9%9.4%40.1%41.7%33.2%-0.7%1.5%201.6K-8.4M-39.7K0.3824.5145817617,7084,526
2007-11-02$10.39$10.0030.0%8.6%39.0%35.0%30.0%-1.1%5.0%205.7K-7.8M-39.1K0.2322.993438017,7744,520
2007-11-05$10.20$10.0034.7%9.9%39.4%45.9%34.5%7.7%0.5%204.9K-7.0M-38.3K0.4512.881466517,8674,580
2007-11-06$10.43$10.0034.6%9.9%40.2%45.6%34.7%8.6%1.6%210.2K-8.0M-38.8K0.8712.411,1821,03017,9554,630
2007-11-07$10.16$10.0035.3%9.7%41.0%47.2%33.9%17.4%2.5%211.7K-7.1M-43.6K0.148.622,01028019,0295,630
2007-11-08$9.90$10.0033.0%9.9%37.4%41.9%34.5%3.0%3.1%223.6K-5.5M-43.7K1.0910.0454559520,7965,694
2007-11-09$9.81$10.0036.1%10.7%37.0%49.1%37.5%2.9%1.9%211.3K-5.4M-44.3K0.2312.383418021,0116,062
2007-11-12$9.59$10.0037.4%10.0%37.8%52.1%34.8%-8.7%1.4%201.0K-4.0M-41.3K0.4115.041,10345621,2216,049
2007-11-13$9.99$10.0031.4%9.9%40.8%38.1%34.6%3.9%2.0%278.3K-5.4M-42.9K0.2411.042095020,9096,196
2007-11-14$9.84$10.0037.1%9.7%40.3%51.6%34.0%-9.4%2.4%240.9K-4.6M-41.4K0.159.201662520,9726,151
2007-11-15$9.65$10.0037.8%10.8%40.8%53.1%37.0%3.0%-0.7%192.5K-3.1M-39.8K1.5612.7938059220,9546,151
2007-11-16$9.75$10.0036.6%10.5%38.9%50.4%36.6%0.6%-1.4%226.6K-3.6M-39.7K1.6113.1030148621,0516,358
2007-11-19$9.53$10.0035.7%10.2%39.8%48.2%35.8%-12.0%0.5%120.7K-3.6M-38.9K0.2412.1373517517,1455,450
2007-11-20$9.66$10.0031.4%9.0%38.3%38.1%31.4%0.1%3.2%131.6K-3.8M-39.7K0.1411.375718117,5505,615
2007-11-21$9.27$10.0038.9%11.1%40.0%55.6%37.3%-3.9%1.0%123.0K-2.8M-38.5K0.0511.474102017,9025,624
2007-11-23$9.49$10.0031.9%9.1%41.1%39.4%32.0%23.1%5.1%136.4K-3.4M-39.1K0.9320.5113412518,1855,624
2007-11-26$9.49$10.0035.8%10.3%40.7%48.4%39.4%-2.5%3.2%138.3K-3.6M-39.3K2.3113.6021950518,2605,723
2007-11-27$9.43$10.0033.7%9.7%33.7%43.6%34.0%-9.4%1.9%123.1K-2.7M-39.1K0.1615.67621018,2796,208
2007-11-28$9.75$10.0034.6%9.9%36.3%45.7%34.6%1.7%-1.5%143.3K-4.2M-40.9K0.0416.914972018,2716,131
2007-11-29$9.75$10.0032.8%9.4%35.0%41.4%32.8%2.2%0.7%151.0K-4.3M-41.5K0.0711.781421018,2286,151
2007-11-30$9.92$10.0033.2%9.5%35.6%42.3%33.2%4.0%-1.8%164.4K-5.1M-41.7K0.0115.333,1862418,2466,086