TSM Options History — June 2008

In June 2008, TSM traded between $10.77 and $11.90. ATM implied volatility averaged 40.2%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 8.4% (HV 20d: 31.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.85.

Notable Days

  • 2008-06-20: Highest Volume — 1,308 contracts
  • 2008-06-09: Largest IV spike — 145.3% change
  • 2008-06-09: Highest IV Rank — 100.0%
  • 2008-06-26: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.16$10.77$11.90$11.45$10.91
Max Pain$10.48$10.00$12.50$12.50$10.00
ATM IV40.2%20.5%62.0%24.5%46.1%
Expected Move10.9%5.9%14.0%7.0%13.2%
HV 20d31.7%27.9%36.7%30.8%36.7%
HV 60d35.3%31.1%39.5%39.4%33.1%
IV Rank53.3%11.4%100.0%20.9%65.7%
IV Percentile71.3%2.4%100.0%7.5%96.8%
Term Structure-3.7%-19.9%11.8%6.7%-7.1%
VWIV42.2%26.8%84.5%84.5%43.3%
Skew 25d2.3%-15.2%17.2%-2.6%17.2%
Skew 10d9.0%-4.0%24.8%6.0%24.8%
Call IV 25d35.0%25.9%48.1%26.5%27.9%
Put IV 25d37.3%23.8%45.1%23.8%45.1%
Bid-Ask Spread %14.106.2423.756.2415.09
Gamma HHI0.530.410.760.520.50
Net GEX-7.3K-62.7K79.6K-20.7K55.5K
Net DEX-1.5M-4.5M401.4K-2.9M-1.8M
Net VEX-45.7K-50.5K-41.8K-48.5K-41.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.850.1116.8916.8912.92
Total Volume506.6671451,308161167
Total OI27,380.23823,08930,28027,30423,903

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$11.45$12.5024.5%7.0%30.8%20.9%0.0%-2.6%6.7%-20.7K-2.9M-48.5K16.896.24915213,43113,873
2008-06-03$11.33$12.5026.9%7.7%30.6%26.3%84.5%2.8%7.1%-24.8K-2.3M-48.1K3.488.319432713,42613,983
2008-06-04$11.58$12.5020.6%5.9%29.6%11.7%57.2%8.4%4.8%-28.5K-3.2M-48.6K0.898.3524421713,43314,224
2008-06-05$11.90$12.5020.5%5.9%28.6%11.4%26.8%9.0%11.8%-18.3K-4.5M-49.0K2.378.9927465013,48414,315
2008-06-06$11.60$10.0025.3%9.7%30.1%22.6%32.7%-1.1%-0.5%-33.6K-2.8M-50.5K0.2620.562496413,51814,847
2008-06-09$11.24$10.0062.0%12.4%32.3%100.0%42.8%1.7%-11.3%-37.3K-1.3M-49.0K2.7723.759726913,64314,791
2008-06-10$10.94$10.0059.2%12.4%32.5%94.0%35.0%-3.7%-13.5%-40.6K375.9K-47.7K0.9812.9551550713,69514,957
2008-06-11$10.92$10.0056.8%11.6%31.9%88.9%40.4%-15.2%-4.9%-43.5K286.6K-46.9K1.7413.54539213,91415,385
2008-06-12$11.04$10.0041.6%11.9%32.1%56.0%29.4%4.1%-5.5%-43.0K-256.7K-46.7K11.0010.093134113,94815,418
2008-06-13$11.23$10.0041.3%11.8%32.4%55.4%48.9%7.5%-4.8%-53.0K-828.1K-47.1K3.6120.7012645513,97015,669
2008-06-16$11.27$10.0042.3%12.1%31.7%57.5%43.8%10.0%0.7%-59.3K-894.2K-46.0K2.7420.6219352813,94615,852
2008-06-17$11.16$10.0038.3%11.0%31.7%49.0%35.6%0.9%-1.2%-59.7K-626.5K-44.8K6.3213.134125914,01616,077
2008-06-18$11.06$10.0042.7%12.2%30.5%58.3%44.8%-4.0%-7.9%-60.1K401.4K-44.8K1.0416.2311011414,02516,097
2008-06-19$11.13$10.0041.3%11.8%30.5%55.4%43.7%5.0%-4.8%-62.7K-108.1K-44.0K0.3218.742457914,04616,201
2008-06-20$10.80$10.0041.7%12.0%32.2%56.2%30.4%5.0%-4.9%42.6K308.8K-42.0K0.1113.911,17413414,10916,171
2008-06-23$10.88$10.0041.6%11.9%30.8%56.0%39.4%-4.0%-3.0%79.0K-2.9M-42.4K3.1211.735115913,5799,512
2008-06-24$10.93$10.0042.0%12.0%27.9%56.9%42.1%15.9%-2.1%79.6K-2.9M-42.3K3.4311.7310837013,6099,611
2008-06-25$11.39$10.0033.3%9.5%30.7%38.0%44.3%-8.2%-10.1%62.2K-3.6M-44.1K2.188.5926858413,1649,925
2008-06-26$10.77$10.0048.9%14.0%36.4%71.8%33.4%0.8%-19.9%57.3K-913.7K-42.4K3.7915.8420276513,18010,429
2008-06-27$10.87$10.0046.6%13.4%36.6%66.8%46.0%-0.9%-6.7%54.9K-1.7M-42.6K0.9716.9516415913,18010,429
2008-06-30$10.91$10.0046.1%13.2%36.7%65.7%43.3%17.2%-7.1%55.5K-1.8M-41.8K12.9215.091215513,31110,592