TSM Options History — December 2007

In December 2007, TSM traded between $9.40 and $10.30. ATM implied volatility averaged 30.7%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.4% (HV 20d: 32.0%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2007-12-05: Highest Volume — 739 contracts
2007-12-11: Largest IV spike — 15.0% change
2007-12-11: Highest IV Rank — 44.5%
2007-12-19: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.86	$9.40	$10.30	$9.77	$9.96
Max Pain	$8.63	$7.50	$10.00	$10.00	$10.00
ATM IV	30.7%	26.4%	34.1%	31.9%	27.4%
Expected Move	8.8%	7.6%	9.5%	9.2%	7.9%
HV 20d	32.0%	26.5%	36.3%	35.7%	26.5%
HV 60d	34.4%	33.9%	35.0%	34.0%	34.0%
IV Rank	36.5%	26.5%	44.5%	39.4%	28.9%
IV Percentile	42.9%	23.6%	65.0%	50.2%	25.6%
Term Structure	3.0%	-0.8%	6.3%	2.1%	4.4%
VWIV	30.6%	26.4%	33.3%	31.9%	28.6%
Skew 25d	1.9%	-8.4%	8.1%	8.1%	3.3%
Skew 10d	3.1%	-13.1%	11.7%	11.0%	6.7%
Call IV 25d	32.1%	26.9%	41.7%	33.2%	30.9%
Put IV 25d	34.0%	30.7%	41.3%	41.3%	34.2%
Bid-Ask Spread %	14.60	8.88	21.67	15.85	17.40
Gamma HHI	0.79	0.66	0.89	0.67	0.88
Net GEX	312.7K	232.7K	408.2K	249.6K	372.2K
Net DEX	-5.5M	-9.1M	-2.4M	-5.6M	-5.8M
Net VEX	-42.2K	-46.4K	-37.9K	-44.4K	-39.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.00	2.27	0.37	0.04
Total Volume	343.05	66	739	272	312
Total OI	27,699.95	25,839	28,986	27,153	26,622

Daily Data (20 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
2007-12-03	$9.77	$10.00	31.9%	9.2%	35.7%	39.4%	31.9%	8.1%	2.1%	249.6K	-5.6M	-44.4K	0.37	15.85	199	73	21,061	6,092
2007-12-04	$9.70	$10.00	33.2%	9.5%	35.3%	42.4%	33.3%	3.2%	-0.8%	250.3K	-5.2M	-43.5K	0.22	21.67	198	44	21,121	6,103
2007-12-05	$10.01	$10.00	30.4%	8.7%	36.3%	35.9%	30.4%	4.8%	2.7%	276.3K	-6.8M	-45.0K	0.07	13.03	691	48	21,193	6,144
2007-12-06	$10.26	$10.00	31.2%	8.9%	36.3%	37.8%	31.2%	3.5%	0.8%	312.2K	-8.8M	-45.9K	0.11	17.39	428	49	21,718	6,141
2007-12-07	$10.30	$7.50	31.9%	9.3%	34.9%	39.4%	32.4%	-7.8%	1.4%	328.5K	-9.1M	-46.4K	0.03	8.88	217	6	21,997	6,156
2007-12-10	$10.13	$7.50	29.6%	9.1%	35.4%	34.1%	31.7%	-7.3%	2.3%	347.0K	-8.1M	-44.7K	0.07	11.21	451	33	21,961	6,151
2007-12-11	$9.93	$7.50	34.1%	9.1%	35.1%	44.5%	31.6%	-8.4%	1.4%	328.1K	-6.7M	-44.0K	0.67	14.65	301	203	21,877	6,171
2007-12-12	$10.00	$7.50	32.0%	8.9%	32.0%	39.7%	31.2%	6.4%	3.5%	344.6K	-6.7M	-44.1K	0.59	11.74	218	128	21,893	6,314
2007-12-13	$9.86	$7.50	32.5%	9.3%	32.0%	40.7%	32.5%	3.0%	1.1%	336.7K	-5.6M	-43.6K	1.00	13.72	33	33	21,949	6,427
2007-12-14	$9.65	$7.50	30.8%	8.8%	32.2%	36.7%	30.8%	1.7%	4.5%	319.1K	-4.3M	-41.6K	1.07	13.92	56	60	21,945	6,451
2007-12-17	$9.40	$7.50	30.4%	8.7%	33.2%	36.0%	30.4%	1.0%	6.3%	232.7K	-2.4M	-37.9K	2.27	16.84	130	295	21,958	6,511
2007-12-18	$9.63	$7.50	31.5%	9.0%	33.4%	38.5%	31.5%	4.3%	3.4%	305.2K	-3.7M	-40.3K	0.29	12.12	68	20	21,964	6,703
2007-12-19	$9.68	$7.50	33.3%	9.5%	33.1%	42.6%	33.3%	3.8%	0.7%	305.4K	-3.6M	-40.4K	0.20	14.22	334	66	22,016	6,703
2007-12-20	$9.67	$7.50	31.7%	9.1%	29.4%	38.9%	31.7%	1.3%	2.9%	317.6K	-3.8M	-40.5K	0.14	13.06	66	9	22,268	6,713
2007-12-21	$9.81	$7.50	28.3%	8.1%	28.7%	30.9%	28.3%	2.3%	5.3%	408.2K	-4.7M	-40.7K	1.60	13.79	268	429	22,283	6,703
2007-12-24	$9.82	$10.00	26.4%	7.6%	28.6%	26.5%	26.4%	3.3%	4.6%	293.0K	-4.5M	-39.9K	0.39	18.73	161	62	19,898	5,941
2007-12-26	$9.94	$10.00	29.2%	8.4%	28.7%	33.1%	28.4%	4.6%	4.9%	291.4K	-5.2M	-40.5K	0.06	14.81	571	32	19,993	5,993
2007-12-27	$9.80	$10.00	29.4%	8.4%	26.9%	33.5%	29.4%	3.4%	5.0%	301.6K	-4.9M	-40.3K	0.09	13.75	329	30	20,353	6,004
2007-12-28	$9.90	$10.00	27.9%	8.0%	27.1%	30.1%	27.9%	4.0%	3.5%	335.2K	-5.2M	-40.0K	0.00	15.12	210	0	20,512	5,996
2007-12-31	$9.96	$10.00	27.4%	7.9%	26.5%	28.9%	28.6%	3.3%	4.4%	372.2K	-5.8M	-39.9K	0.04	17.40	301	11	20,626	5,996