TSM Options History — April 2008

In April 2008, TSM traded between $10.19 and $11.24. ATM implied volatility averaged 39.9%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 4.9% (HV 20d: 44.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.87.

Notable Days

  • 2008-04-28: Highest Volume — 5,223 contracts
  • 2008-04-30: Largest IV drop — 14.7% change
  • 2008-04-29: Highest IV Rank — 67.7%
  • 2008-04-29: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.65$10.19$11.24$10.60$11.24
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV39.9%34.0%44.5%40.6%38.0%
Expected Move11.7%9.8%12.8%11.6%10.9%
HV 20d44.8%32.1%54.4%54.4%34.1%
HV 60d45.0%40.8%48.7%48.7%41.4%
IV Rank56.8%43.2%67.7%58.5%52.3%
IV Percentile86.9%64.7%95.2%92.1%81.3%
Term Structure0.9%-8.3%12.6%2.4%4.6%
VWIV39.4%27.8%49.3%40.3%36.8%
Skew 25d7.4%-7.7%21.6%10.3%3.4%
Skew 10d19.4%2.7%46.2%46.2%6.7%
Call IV 25d34.2%24.5%50.9%30.6%41.3%
Put IV 25d41.7%37.4%49.6%40.9%44.7%
Bid-Ask Spread %15.347.9129.3619.747.91
Gamma HHI0.530.400.770.460.71
Net GEX58.5K-49.2K106.3K104.9K-49.2K
Net DEX-7.3M-16.2M-677.0K-9.8M-2.2M
Net VEX-53.1K-61.1K-46.1K-61.1K-52.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.870.2018.190.250.84
Total Volume980.3181475,223371626
Total OI34,937.77320,05342,82940,42326,814

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$10.60$10.0040.6%11.6%54.4%58.5%40.3%10.3%2.4%104.9K-9.8M-61.1K0.2519.742967523,17517,248
2008-04-02$10.47$10.0038.8%11.1%53.1%54.2%38.8%8.1%1.3%79.8K-8.6M-60.6K0.7518.09937022,72117,294
2008-04-03$10.66$10.0034.0%9.8%52.6%43.2%27.8%12.4%12.6%106.3K-10.5M-59.4K0.2016.4455911123,32617,357
2008-04-04$10.43$10.0037.1%11.5%53.0%50.3%0.0%10.5%1.5%95.1K-9.0M-58.4K0.3111.721123523,27817,438
2008-04-07$10.49$10.0035.7%12.0%52.9%47.2%41.8%16.5%0.4%96.8K-9.9M-57.1K4.1310.743815723,34817,454
2008-04-08$10.34$10.0038.5%11.4%52.9%53.5%39.6%10.9%1.4%98.7K-8.4M-57.3K0.8011.521098723,38517,476
2008-04-09$10.19$10.0035.4%12.2%49.0%46.2%40.7%9.2%-3.9%101.1K-6.2M-57.3K0.4811.081889023,41017,501
2008-04-10$10.51$10.0039.9%11.4%49.6%57.0%40.0%12.5%3.2%103.6K-10.1M-55.1K18.1912.821482,69223,45217,565
2008-04-11$10.28$10.0041.0%11.8%50.2%59.5%29.6%10.2%0.4%-5.4K-7.8M-55.6K1.088.6123425323,36119,185
2008-04-14$10.20$10.0041.2%11.8%49.0%60.0%41.3%11.1%1.0%-24.6K-6.8M-53.6K0.348.432097123,42919,287
2008-04-15$10.36$10.0039.9%11.4%48.6%56.9%39.9%21.6%1.8%-14.3K-8.4M-52.0K10.9210.887986323,52619,227
2008-04-16$10.96$10.0044.1%12.7%50.0%66.8%43.8%3.7%-1.5%74.8K-13.5M-50.4K1.2814.8446759923,53419,029
2008-04-17$10.92$10.0044.1%12.6%47.8%66.7%43.5%0.8%0.7%83.2K-15.8M-46.5K1.0318.2945546923,42318,812
2008-04-18$11.07$10.0043.9%12.6%44.6%66.2%42.9%-0.4%0.6%88.3K-16.2M-46.4K0.2520.891,07427323,60019,229
2008-04-21$11.07$10.0044.5%12.8%36.3%67.6%42.7%2.6%-8.3%100.1K-5.3M-46.9K8.8229.363372,97312,9487,105
2008-04-22$10.76$10.0039.4%11.3%37.4%55.7%38.5%10.3%1.1%98.9K-4.3M-46.1K4.9618.284522312,9497,105
2008-04-23$10.66$10.0037.5%10.7%36.9%51.3%30.1%7.7%4.7%57.6K-1.6M-49.1K18.0718.70811,46413,1519,864
2008-04-24$10.73$10.0039.6%11.4%34.0%56.3%39.9%9.3%1.7%49.6K-1.8M-50.3K4.6219.403415713,19410,346
2008-04-25$10.73$10.0038.0%10.9%33.4%52.5%38.0%8.5%2.7%47.8K-1.6M-50.1K0.8413.33877313,22610,454
2008-04-28$10.91$10.0041.1%11.8%33.7%59.8%42.3%-7.7%-4.2%41.6K-2.3M-50.0K2.2123.461,6263,59713,21310,521
2008-04-29$10.83$10.0044.5%12.8%32.1%67.7%49.3%-7.7%-4.3%-47.3K-677.0K-52.2K4.7312.955927912,84013,831
2008-04-30$11.24$10.0038.0%10.9%34.1%52.3%36.8%3.4%4.6%-49.2K-2.2M-52.7K0.847.9134128512,87313,941