TSM Options History — January 2008

In January 2008, TSM traded between $7.99 and $9.57. ATM implied volatility averaged 36.0%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 4.6% (HV 20d: 40.6%). 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 9 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2008-01-31: Highest Volume — 4,896 contracts
  • 2008-01-07: Largest IV spike — 76.6% change
  • 2008-01-23: Highest IV Rank — 100.0%
  • 2008-01-23: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.83$7.99$9.57$9.57$9.25
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV36.0%22.3%58.3%32.6%22.3%
Expected Move10.3%6.4%16.7%9.3%6.4%
HV 20d40.6%29.6%53.8%29.6%53.8%
HV 60d37.2%34.4%41.5%34.4%40.3%
IV Rank48.7%16.8%100.0%41.0%16.8%
IV Percentile64.1%10.7%100.0%55.4%10.7%
Term Structure0.7%-25.0%24.4%1.4%9.0%
VWIV35.4%22.1%49.0%32.9%22.1%
Skew 25d3.4%-16.8%18.1%3.2%6.5%
Skew 10d7.3%-15.5%26.8%1.5%12.2%
Call IV 25d33.9%24.3%46.8%34.1%26.5%
Put IV 25d37.3%25.9%49.6%37.3%32.9%
Bid-Ask Spread %15.037.2234.9115.5511.33
Gamma HHI0.570.340.870.870.69
Net GEX79.1K16.5K285.9K285.9K90.7K
Net DEX128.7K-3.2M2.1M-3.2M-472.1K
Net VEX-31.4K-38.5K-24.8K-36.6K-38.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.006.200.120.05
Total Volume1,040.1431824,8967064,896
Total OI24,346.09516,22229,35326,78919,566

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$9.57$10.0032.6%9.3%29.6%41.0%32.9%3.2%1.4%285.9K-3.2M-36.6K0.1215.556327420,7886,001
2008-01-03$9.44$10.0027.2%7.8%29.9%28.4%29.1%6.4%4.8%251.3K-2.3M-35.3K0.738.8215811521,0276,066
2008-01-04$8.93$10.0025.5%8.2%33.0%24.4%35.2%7.3%0.9%105.1K-241.4K-29.7K0.2926.1092926921,0546,162
2008-01-07$8.75$10.0045.0%12.4%31.4%69.9%36.3%2.0%-5.1%88.6K294.4K-28.6K0.398.1544517221,8786,368
2008-01-08$8.76$10.0035.0%9.2%31.2%46.7%37.7%5.5%-2.9%80.8K188.8K-28.8K0.1034.911,22112022,1196,350
2008-01-09$9.06$10.0030.0%9.9%34.4%35.0%0.0%-5.7%-0.1%117.2K-445.2K-31.5K1.8714.1715228422,1726,462
2008-01-10$9.08$10.0036.4%10.4%34.0%49.9%36.5%-6.3%-1.7%108.5K-367.7K-32.1K2.1512.4320043022,2476,592
2008-01-11$8.89$10.0032.2%9.2%34.2%40.2%24.7%-12.9%-3.4%95.2K-56.2K-31.5K6.2012.827546522,2446,763
2008-01-14$9.05$10.0035.6%10.2%35.1%48.0%38.7%-5.8%-0.1%35.6K13.8K-31.7K0.3222.901384422,2456,852
2008-01-15$8.77$10.0031.9%9.2%35.9%39.4%27.0%-14.1%-1.3%73.1K213.1K-30.7K2.617.3114437622,2826,811
2008-01-16$8.48$10.0045.1%12.9%36.6%70.3%35.7%18.0%-4.2%34.4K771.1K-28.1K0.5022.8330815422,3566,719
2008-01-17$8.39$10.0044.7%12.8%34.9%69.3%44.8%16.1%-2.3%25.8K751.6K-28.0K0.6222.0958936322,5406,813
2008-01-18$8.64$10.0038.0%10.9%37.0%53.7%26.3%18.1%12.0%27.0K653.8K-29.8K0.398.731,75367622,5096,841
2008-01-22$7.99$10.0043.1%12.4%45.0%65.6%42.9%9.7%-2.9%16.5K2.1M-24.8K0.5618.2265736510,0456,177
2008-01-23$8.56$10.0058.3%16.7%52.4%100.0%49.0%16.2%-25.0%30.8K1.1M-30.2K0.8823.1748642610,3876,231
2008-01-24$8.69$10.0032.0%9.2%52.9%39.2%40.4%-16.8%7.4%35.6K817.4K-32.1K1.008.0837537410,6996,347
2008-01-25$8.70$10.0036.8%10.5%52.6%50.3%43.1%5.8%5.1%32.6K753.7K-32.8K0.108.909159010,9736,534
2008-01-28$8.70$10.0028.9%8.3%52.5%32.1%25.2%10.1%24.4%29.8K1.0M-32.1K0.007.22860011,3066,569
2008-01-29$8.90$10.0028.8%8.3%53.2%31.9%0.0%12.0%13.2%43.1K730.5K-33.0K0.0712.073232411,5196,538
2008-01-30$8.89$10.0045.7%13.1%53.1%70.8%45.0%-4.1%-14.5%53.8K431.1K-33.5K0.179.871,50326311,5816,535
2008-01-31$9.25$10.0022.3%6.4%53.8%16.8%22.1%6.5%9.0%90.7K-472.1K-38.5K0.0511.334,66922712,8936,673