TSM Options History — May 2008

In May 2008, TSM traded between $10.89 and $11.65. ATM implied volatility averaged 31.4%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 0.1% (HV 20d: 31.6%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.54.

Notable Days

  • 2008-05-12: Highest Volume — 1,614 contracts
  • 2008-05-21: Largest IV spike — 91.5% change
  • 2008-05-22: Highest IV Rank — 75.0%
  • 2008-05-22: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.30$10.89$11.65$11.32$11.45
Max Pain$12.98$10.00$15.00$10.00$12.50
ATM IV31.4%19.0%47.6%34.3%22.7%
Expected Move8.8%5.5%13.6%9.8%6.5%
HV 20d31.6%28.3%35.5%33.7%30.8%
HV 60d39.9%38.9%40.6%38.9%39.5%
IV Rank37.0%8.0%75.0%43.8%16.6%
IV Percentile41.1%0.8%97.2%62.3%4.4%
Term Structure1.4%-20.6%13.8%-11.9%7.9%
VWIV37.3%21.4%67.1%31.0%34.7%
Skew 25d4.9%-11.0%28.3%6.9%-2.5%
Skew 10d10.3%-5.5%51.7%7.7%5.5%
Call IV 25d30.3%20.2%48.3%30.6%24.3%
Put IV 25d35.2%20.6%76.6%37.4%21.7%
Bid-Ask Spread %18.966.7534.548.229.03
Gamma HHI0.630.430.760.740.53
Net GEX-45.3K-98.8K26.4K-43.0K-22.0K
Net DEX-2.7M-4.8M-1.1M-2.6M-2.9M
Net VEX-49.5K-53.9K-36.0K-53.2K-49.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.540.0027.110.880.95
Total Volume437.2861071,614725119
Total OI27,325.52423,33928,99227,12627,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$11.32$10.0034.3%9.8%33.7%43.8%31.0%6.9%-11.9%-43.0K-2.6M-53.2K0.888.2238534013,06714,059
2008-05-02$11.29$10.0036.9%10.6%32.5%49.8%0.0%3.0%-18.1%-40.9K-2.4M-53.9K10.006.753232013,31514,030
2008-05-05$11.14$15.0030.7%11.1%33.1%35.3%34.9%5.8%2.4%-63.9K-2.1M-51.5K0.9427.7710710113,34714,155
2008-05-06$11.49$15.0025.4%6.7%33.8%23.0%45.0%5.0%4.2%-52.6K-3.4M-51.4K0.5028.1344522413,41214,180
2008-05-07$11.14$15.0027.2%10.1%35.5%27.1%33.3%4.9%6.5%-70.4K-2.4M-50.4K0.8329.74705813,49814,200
2008-05-08$11.04$15.0027.0%10.6%34.4%26.7%35.2%3.2%1.9%-71.0K-1.7M-50.9K1.4912.23477013,52014,215
2008-05-09$10.96$15.0029.3%9.8%33.4%32.0%33.1%12.1%6.3%-71.2K-1.6M-50.3K3.2018.606420513,55514,210
2008-05-12$11.24$15.0040.8%10.5%34.0%59.0%36.5%3.6%4.0%-98.8K-1.3M-36.0K0.2612.601,28532910,31013,029
2008-05-13$11.41$12.5037.2%6.8%34.0%50.7%48.9%2.1%1.7%-43.5K-3.9M-50.8K0.0034.54140014,19214,263
2008-05-14$11.30$12.5044.8%6.1%28.3%68.4%58.7%4.9%9.5%-44.1K-3.1M-50.9K0.2023.1254611014,21314,263
2008-05-15$11.45$12.5031.4%9.0%28.5%36.9%0.0%0.4%0.8%-46.0K-3.6M-51.4K0.4722.6830014014,38514,343
2008-05-16$11.65$12.5026.8%7.7%28.7%26.2%37.0%9.2%5.1%-49.1K-4.8M-50.9K0.3923.8032312614,57314,419
2008-05-19$11.56$12.5025.1%7.2%29.0%22.2%25.0%-11.0%-0.2%-46.8K-3.9M-49.1K0.6113.5748329412,87813,575
2008-05-20$11.26$12.5019.0%5.5%28.7%8.0%25.2%11.8%13.5%-43.6K-2.3M-50.5K0.0523.062711413,15813,666
2008-05-21$11.15$12.5036.4%10.4%28.7%48.8%37.4%0.1%2.8%-41.5K-2.1M-49.2K0.4523.98743313,26613,677
2008-05-22$11.20$12.5047.6%13.6%28.7%75.0%31.4%3.3%-20.6%-37.6K-1.8M-50.3K27.1123.74924413,26413,687
2008-05-23$10.89$12.5038.7%11.1%30.6%54.2%37.7%5.0%-1.8%-44.8K-1.1M-48.4K1.6417.597612513,26213,709
2008-05-27$11.28$12.5022.7%6.5%32.5%16.7%67.1%8.9%7.5%-38.4K-2.1M-49.4K0.7523.5235326413,29613,709
2008-05-28$11.54$12.5020.6%5.9%33.2%11.8%21.4%-2.3%13.8%-7.7K-3.6M-50.5K2.538.2822156013,58113,570
2008-05-29$11.55$12.5034.9%10.0%30.7%45.2%34.3%28.3%-5.0%26.4K-4.8M-41.1K0.057.222621413,68413,837
2008-05-30$11.45$12.5022.7%6.5%30.8%16.6%34.7%-2.5%7.9%-22.0K-2.9M-49.5K0.959.03615813,43013,834