TSM Options History — March 2008

In March 2008, TSM traded between $9.63 and $11.10. ATM implied volatility averaged 36.0%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 4.9% (HV 20d: 41.0%). 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 20 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2008-03-03: Highest Volume — 14,083 contracts
  • 2008-03-13: Largest IV spike — 12.5% change
  • 2008-03-24: Highest IV Rank — 60.5%
  • 2008-03-24: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.22$9.63$11.10$9.63$10.27
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV36.0%31.0%41.2%32.5%39.4%
Expected Move10.7%9.3%11.8%9.3%11.3%
HV 20d41.0%27.7%55.1%33.8%53.7%
HV 60d44.6%41.3%49.1%41.3%48.4%
IV Rank48.4%36.9%60.5%40.3%55.7%
IV Percentile72.9%38.1%93.7%53.6%89.7%
Term Structure3.4%1.4%5.6%2.7%2.3%
VWIV37.3%32.4%41.7%32.5%39.6%
Skew 25d6.4%-5.9%22.8%2.7%5.7%
Skew 10d14.8%-9.2%46.1%2.0%16.9%
Call IV 25d35.8%27.0%47.2%33.5%40.5%
Put IV 25d42.2%36.2%54.6%36.2%46.2%
Bid-Ask Spread %14.5110.1226.1218.5618.78
Gamma HHI0.780.420.950.920.48
Net GEX501.3K79.9K1.0M507.1K95.6K
Net DEX-8.9M-15.4M-2.3M-4.0M-6.7M
Net VEX-68.6K-77.9K-58.2K-58.6K-62.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.018.080.870.30
Total Volume1,671.316314,08314,083178
Total OI45,206.0536,16749,35636,16740,290

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$9.63$10.0032.5%9.3%33.8%40.3%32.5%2.7%2.7%507.1K-4.0M-58.6K0.8718.567,5326,55125,37410,793
2008-03-04$10.02$10.0032.4%9.3%36.7%40.1%32.4%4.8%5.6%575.4K-8.2M-75.8K5.8912.565052,97529,97916,000
2008-03-05$10.30$10.0033.3%9.5%27.7%42.1%33.2%17.4%4.6%516.2K-11.2M-77.8K0.3512.8355819830,05817,922
2008-03-06$10.17$10.0033.0%9.5%28.4%41.6%33.0%5.1%3.9%535.0K-10.2M-77.7K0.0119.63628730,25718,114
2008-03-07$10.07$10.0031.5%10.8%28.6%38.0%37.8%-5.9%2.5%585.7K-9.3M-77.9K0.1210.122743430,66718,109
2008-03-10$9.94$10.0031.0%10.9%29.2%36.9%38.1%6.0%1.9%660.7K-6.6M-75.3K0.4410.631135030,66918,132
2008-03-11$10.52$10.0031.6%10.9%34.4%38.3%38.2%17.4%1.6%538.0K-14.8M-72.5K1.9314.0526050130,66318,146
2008-03-12$10.28$10.0032.1%10.5%35.7%39.5%36.6%8.8%4.1%620.7K-12.8M-73.5K0.6415.4262239630,72218,520
2008-03-13$10.19$10.0036.1%10.4%35.6%48.7%36.2%7.6%4.7%827.5K-11.1M-73.2K8.0811.212652,14030,70818,648
2008-03-14$9.88$10.0036.9%10.6%37.5%50.6%36.9%4.4%3.7%806.5K-6.2M-71.2K0.3414.2740013830,84218,123
2008-03-17$9.70$10.0037.1%10.6%38.1%51.0%37.1%6.9%3.4%758.7K-3.0M-66.8K0.8511.4531526830,92618,135
2008-03-18$10.15$10.0035.4%10.2%41.3%47.2%35.5%22.8%5.2%879.6K-10.2M-68.7K0.3712.4032011730,98217,831
2008-03-19$9.79$10.0037.4%10.7%43.4%51.8%37.5%4.0%3.5%1.0M-2.3M-65.3K0.8213.5532827031,03117,946
2008-03-20$10.32$10.0039.5%11.3%46.7%56.5%39.9%3.5%2.5%629.9K-15.4M-65.8K0.8110.2086069331,10018,195
2008-03-24$11.10$10.0041.2%11.8%52.8%60.5%40.9%0.7%1.4%89.1K-12.9M-58.2K0.0726.121,3509721,41116,597
2008-03-25$10.95$10.0040.6%11.6%53.0%59.0%40.6%-2.3%4.4%97.2K-12.1M-60.0K0.7214.6043431422,05416,634
2008-03-26$10.73$10.0041.1%11.8%53.1%59.6%41.7%1.5%3.7%94.0K-10.1M-61.8K0.9713.0656154722,17716,664
2008-03-27$10.32$10.0040.3%11.5%55.1%57.8%40.3%9.7%2.1%79.9K-6.6M-63.6K0.4715.681,33763522,42517,153
2008-03-28$10.17$10.0038.6%11.1%54.8%53.7%38.6%6.9%4.1%95.0K-5.1M-64.8K1.1115.1731034523,04217,082
2008-03-31$10.27$10.0039.4%11.3%53.7%55.7%39.6%5.7%2.3%95.6K-6.7M-62.9K0.3018.781374123,08317,207