TSM Options History — February 2008

In February 2008, TSM traded between $9.11 and $10.24. ATM implied volatility averaged 30.5%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 18.1% (HV 20d: 48.7%). Max pain ranged from $10.00 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 0.99.

Notable Days

2008-02-01: Highest Volume — 5,323 contracts
2008-02-06: Largest IV drop — 37.5% change
2008-02-05: Highest IV Rank — 60.3%
2008-02-08: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.66	$9.11	$10.24	$9.75	$9.74
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	30.5%	25.5%	41.1%	34.0%	29.5%
Expected Move	9.0%	7.3%	9.8%	9.7%	8.5%
HV 20d	48.7%	37.0%	58.0%	56.9%	38.4%
HV 60d	41.7%	40.8%	43.3%	41.7%	41.2%
IV Rank	35.8%	24.1%	60.3%	43.8%	33.4%
IV Percentile	39.9%	15.5%	92.9%	65.1%	30.2%
Term Structure	3.8%	-0.3%	7.9%	-0.3%	4.2%
VWIV	31.0%	25.5%	34.3%	34.0%	29.5%
Skew 25d	6.0%	-6.7%	23.5%	2.7%	3.3%
Skew 10d	10.1%	-4.8%	33.0%	5.6%	4.2%
Call IV 25d	30.0%	25.4%	34.4%	28.3%	30.7%
Put IV 25d	36.0%	27.7%	54.4%	31.1%	34.1%
Bid-Ask Spread %	14.54	9.51	21.16	12.80	16.20
Gamma HHI	0.91	0.85	0.93	0.85	0.92
Net GEX	422.8K	256.8K	585.3K	256.8K	559.1K
Net DEX	-5.0M	-9.9M	-2.2M	-4.1M	-5.4M
Net VEX	-55.5K	-63.3K	-46.6K	-48.0K	-61.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.00	4.36	0.03	2.85
Total Volume	1,284.2	352	5,323	5,323	1,381
Total OI	30,650.4	23,563	35,288	23,563	35,288

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
2008-02-01	$9.75	$10.00	34.0%	9.7%	56.9%	43.8%	34.0%	2.7%	-0.3%	256.8K	-4.1M	-48.0K	0.03	12.80	5,185	138	16,929	6,634
2008-02-04	$9.77	$10.00	31.7%	9.0%	52.7%	38.5%	31.2%	3.7%	2.8%	407.1K	-5.8M	-53.5K	0.38	12.05	324	122	20,753	6,712
2008-02-05	$9.14	$10.00	41.1%	9.6%	57.9%	60.3%	33.6%	-4.7%	4.4%	287.6K	-2.7M	-47.4K	0.08	9.85	990	78	20,911	6,805
2008-02-06	$9.11	$10.00	25.7%	9.8%	58.0%	24.7%	34.3%	-6.7%	2.4%	257.0K	-2.2M	-46.6K	0.34	16.87	724	245	21,378	6,827
2008-02-07	$9.25	$10.00	29.2%	9.2%	57.0%	32.8%	32.3%	-4.0%	3.2%	296.9K	-2.5M	-48.8K	0.28	17.98	373	105	21,740	6,868
2008-02-08	$9.24	$10.00	27.7%	9.8%	57.0%	29.2%	0.0%	-1.7%	2.4%	287.5K	-2.7M	-49.0K	4.36	21.16	177	771	21,797	6,962
2008-02-11	$9.42	$10.00	31.4%	9.7%	56.7%	37.7%	0.0%	-1.7%	1.6%	332.1K	-3.2M	-52.7K	1.05	14.55	172	180	21,932	7,568
2008-02-12	$9.54	$10.00	31.9%	9.0%	56.6%	39.1%	31.5%	18.1%	4.4%	385.5K	-3.8M	-53.5K	0.13	14.80	804	106	21,998	7,620
2008-02-13	$9.71	$10.00	30.9%	9.4%	55.3%	36.7%	33.0%	18.8%	3.2%	467.1K	-5.3M	-56.3K	0.04	9.51	825	30	22,511	7,631
2008-02-14	$9.70	$10.00	31.9%	9.1%	53.5%	38.9%	31.9%	4.1%	5.4%	473.3K	-6.0M	-57.3K	0.00	13.64	900	1	23,011	7,642
2008-02-15	$9.71	$10.00	33.3%	9.6%	53.1%	42.3%	33.3%	16.2%	2.7%	480.4K	-5.9M	-57.6K	0.07	12.27	749	52	23,336	7,643
2008-02-19	$9.81	$10.00	30.4%	8.7%	52.5%	35.4%	30.4%	1.8%	4.5%	483.5K	-6.4M	-57.0K	3.35	9.67	527	1,767	22,412	7,434
2008-02-20	$9.77	$10.00	30.0%	8.6%	42.3%	34.6%	30.0%	22.7%	4.2%	441.8K	-4.7M	-58.0K	4.31	10.76	263	1,133	22,606	8,984
2008-02-21	$9.60	$10.00	31.6%	9.1%	37.1%	38.3%	31.7%	3.5%	4.0%	383.8K	-3.5M	-58.4K	0.29	16.35	880	253	22,793	9,960
2008-02-22	$9.68	$10.00	31.3%	9.0%	37.0%	37.7%	31.3%	23.5%	3.3%	402.7K	-3.7M	-58.8K	0.22	15.10	354	79	22,916	10,003
2008-02-25	$9.87	$10.00	25.6%	7.3%	37.3%	24.4%	25.6%	2.5%	7.9%	550.5K	-5.4M	-59.4K	1.07	15.36	597	641	23,082	10,038
2008-02-26	$10.13	$10.00	25.5%	7.3%	37.8%	24.1%	25.5%	6.3%	7.7%	585.3K	-8.8M	-60.9K	0.70	17.77	1,295	913	23,535	9,895
2008-02-27	$10.24	$10.00	28.8%	8.3%	37.4%	31.8%	28.7%	7.3%	4.1%	549.0K	-9.9M	-62.1K	0.08	17.92	1,234	96	24,226	9,862
2008-02-28	$10.03	$10.00	29.4%	8.4%	38.6%	33.2%	29.4%	4.6%	3.9%	569.2K	-8.7M	-63.3K	0.09	16.10	1,115	105	24,867	9,899
2008-02-29	$9.74	$10.00	29.5%	8.5%	38.4%	33.4%	29.5%	3.3%	4.2%	559.1K	-5.4M	-61.8K	2.85	16.20	359	1,022	25,294	9,994