TSM Options History — July 2008

In July 2008, TSM traded between $9.50 and $10.91. ATM implied volatility averaged 43.6%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 4.6% (HV 20d: 39.0%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.91.

Notable Days

  • 2008-07-30: Highest Volume — 5,010 contracts
  • 2008-07-10: Largest IV drop — 20.0% change
  • 2008-07-01: Highest IV Rank — 88.8%
  • 2008-07-01: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.10$9.50$10.91$10.91$9.50
Max Pain$11.63$10.00$15.00$10.00$10.00
ATM IV43.6%36.9%56.8%56.8%36.9%
Expected Move12.1%10.6%16.3%16.3%10.6%
HV 20d39.0%34.0%45.6%36.6%40.2%
HV 60d34.2%31.7%35.9%33.1%35.8%
IV Rank60.3%45.8%88.8%88.8%45.8%
IV Percentile84.9%62.3%98.0%98.0%62.3%
Term Structure-4.6%-31.5%-0.6%-31.5%-1.4%
VWIV42.6%37.2%60.9%60.9%37.2%
Skew 25d5.1%-4.8%21.4%-0.2%-0.1%
Skew 10d8.9%-3.8%34.1%2.3%2.9%
Call IV 25d32.0%23.2%48.9%33.7%31.1%
Put IV 25d37.1%31.0%54.0%33.5%31.0%
Bid-Ask Spread %16.7711.0927.1416.9827.14
Gamma HHI0.710.410.990.490.99
Net GEX51.7K099.7K54.8K99.7K
Net DEX580.4K-1.1M4.9M-1.1M-1.1M
Net VEX-20.0K-42.9K0-42.9K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.066.822.120.82
Total Volume778.143205,010509319
Total OI13,106.762026,41023,9147,341

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$10.91$10.0056.8%16.3%36.6%88.8%60.9%-0.2%-31.5%54.8K-1.1M-42.9K2.1216.9816334613,31410,600
2008-07-02$10.60$10.0049.9%14.3%36.6%73.9%51.8%12.2%-10.4%60.5K-340.2K-40.9K0.1314.221,24816813,39610,681
2008-07-03$10.25$10.0046.0%13.2%36.0%65.6%46.2%3.6%-4.8%72.5K1.4M-39.4K2.8812.6913538914,09110,782
2008-07-07$10.16$15.0051.3%11.6%35.4%77.0%40.4%4.6%-2.4%71.6K1.7M-38.5K4.2811.766025714,06710,865
2008-07-08$10.18$15.0050.2%11.4%34.2%74.6%0.0%4.0%-2.9%73.0K1.9M-37.8K3.8814.249336114,06010,881
2008-07-09$9.94$15.0051.0%11.5%34.0%76.4%0.0%0.0%-2.6%58.0K3.0M-36.3K6.1711.964024714,07511,228
2008-07-10$10.15$15.0040.8%11.7%35.2%54.4%40.9%3.3%-3.5%54.9K2.7M-38.0K3.6511.09269514,03811,425
2008-07-11$10.30$15.0040.8%11.7%35.4%54.2%40.8%5.1%-2.0%64.4K1.4M-38.9K1.8412.7810118614,04811,370
2008-07-14$10.05$15.0042.8%12.3%35.3%58.7%42.8%-0.6%-3.5%62.3K3.1M-36.0K3.6811.5226296513,98911,384
2008-07-15$9.79$12.5044.5%12.8%35.9%62.3%44.5%-4.8%-5.7%35.2K4.9M-35.2K0.0716.101,52811314,08112,329
2008-07-17$10.36$0.0044.5%12.8%42.3%62.2%44.5%0.0%-6.4%0000.1021.256106000
2008-07-18$10.24$10.0043.0%12.3%42.4%59.1%43.0%0.0%-4.1%18.6K-322.5K-8630.1420.472083060860
2008-07-21$10.38$10.0038.7%11.1%42.7%49.7%38.7%11.8%-1.7%23.4K-483.3K-1.4K6.8218.351711681490
2008-07-22$9.92$10.0041.9%12.0%44.3%56.7%41.9%7.6%-1.9%19.4K-305.5K-1.6K0.2719.33475130826206
2008-07-23$10.14$10.0039.4%11.3%45.1%51.2%39.4%9.5%-2.4%27.9K-557.5K-2.5K0.3113.8191281,237336
2008-07-24$9.88$10.0039.9%11.4%45.6%52.4%39.9%21.4%-1.3%28.8K-451.2K-2.6K0.3917.6757221,291364
2008-07-25$10.02$10.0038.2%11.0%42.9%48.7%38.2%7.9%-0.6%28.5K-468.4K-2.6K0.0617.811,050601,269384
2008-07-28$9.77$10.0039.0%11.2%39.5%50.4%39.0%3.1%-2.3%58.9K-616.9K-3.2K0.1917.611,0571982,004424
2008-07-29$9.84$10.0040.7%11.7%39.4%54.1%40.7%4.9%-3.6%85.2K-1.1M-5.2K0.0022.120203,022610
2008-07-30$9.80$10.0038.6%11.1%39.2%49.5%38.6%4.1%-1.2%87.4K-1.0M-5.1K0.3823.363,6181,3923,022630
2008-07-31$9.50$10.0036.9%10.6%40.2%45.8%37.2%-0.1%-1.4%99.7K-1.1M-11.3K0.8227.141751445,5291,812