TSM Options History — August 2008

In August 2008, TSM traded between $9.39 and $10.67. ATM implied volatility averaged 35.9%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 1.2% (HV 20d: 37.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.02.

Notable Days

  • 2008-08-08: Highest Volume — 14,035 contracts
  • 2008-08-12: Largest IV spike — 137.7% change
  • 2008-08-12: Highest IV Rank — 100.0%
  • 2008-08-04: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.18$9.39$10.67$9.54$9.71
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV35.9%22.9%78.3%37.1%27.7%
Expected Move9.5%8.0%10.7%10.6%8.0%
HV 20d37.1%28.6%44.9%39.5%31.6%
HV 60d36.2%34.7%37.2%35.1%35.7%
IV Rank35.8%15.7%100.0%46.4%19.3%
IV Percentile42.7%4.0%100.0%63.9%11.9%
Term Structure2.0%-1.5%5.5%-1.5%2.2%
VWIV33.1%27.7%37.5%37.5%27.7%
Skew 25d8.6%-3.3%19.4%-0.5%3.7%
Skew 10d14.6%-0.4%36.6%2.4%4.0%
Call IV 25d27.9%21.4%33.9%31.2%29.6%
Put IV 25d36.5%30.6%46.7%30.7%33.3%
Bid-Ask Spread %15.5510.8120.0420.0412.96
Gamma HHI0.980.961.000.990.98
Net GEX266.0K117.2K364.1K124.9K328.5K
Net DEX-6.5M-11.8M-1.1M-1.4M-3.3M
Net VEX-23.7K-30.1K-11.7K-12.5K-27.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.020.0020.540.000.51
Total Volume1,419.6193814,035233858
Total OI16,390.0958,31021,2018,31019,816

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$9.54$10.0037.1%10.6%39.5%46.4%37.5%-0.5%-1.5%124.9K-1.4M-12.5K0.0020.0423306,5071,803
2008-08-04$9.39$10.0035.5%10.7%38.3%42.8%37.5%-3.3%0.3%117.2K-1.1M-11.7K0.5317.4438206,5371,793
2008-08-05$9.79$10.0035.7%10.1%41.6%43.3%35.2%3.7%1.8%150.6K-2.0M-12.8K0.0012.9364106,5731,793
2008-08-06$10.25$10.0036.4%9.9%44.9%44.8%34.6%9.8%2.8%175.6K-3.8M-13.5K0.3316.40212707,1281,793
2008-08-07$10.34$10.0036.9%10.2%44.1%45.8%35.4%19.1%2.7%174.2K-4.1M-14.1K0.1610.81316527,3261,843
2008-08-08$10.51$10.0022.9%10.2%43.9%15.7%35.7%0.0%1.1%143.1K-4.9M-12.8K0.0117.1713,8911447,1971,894
2008-08-11$10.67$10.0033.0%9.7%43.9%37.4%33.4%12.6%1.8%343.8K-11.8M-26.2K0.0116.60826615,9442,014
2008-08-12$10.63$10.0078.3%10.2%42.8%100.0%35.6%13.9%0.4%330.3K-11.5M-26.7K20.5418.951643,36816,1462,020
2008-08-13$10.40$10.0065.5%9.9%42.5%79.6%34.6%11.4%1.5%344.4K-10.4M-27.1K0.0718.746735016,0995,015
2008-08-14$10.49$10.0035.7%10.2%37.6%32.1%35.7%12.7%-0.3%225.3K-10.2M-27.0K1.5414.2310416016,0925,025
2008-08-15$10.57$10.0033.1%9.5%37.4%27.8%33.1%10.9%2.5%297.3K-11.0M-26.5K0.7016.65574016,0865,115
2008-08-18$10.35$10.0033.6%9.6%37.9%28.6%33.6%6.1%2.3%364.1K-9.0M-26.2K11.6515.302302,68015,0221,738
2008-08-19$10.20$10.0032.9%9.4%34.5%27.5%32.9%6.2%2.9%310.4K-7.3M-28.6K8.1313.901601,30015,0443,467
2008-08-20$10.22$10.0031.3%9.0%33.6%25.0%31.3%19.4%5.5%279.1K-7.0M-29.6K2.7612.958222615,0574,242
2008-08-21$10.20$10.0031.7%9.1%32.2%25.7%31.7%19.4%2.9%291.7K-7.1M-29.7K12.9512.983849215,1174,448
2008-08-22$10.24$10.0030.2%8.7%31.8%23.3%30.2%5.8%3.1%303.3K-7.4M-30.1K0.3019.78842515,1254,701
2008-08-25$10.10$10.0028.8%8.2%30.8%21.0%28.8%6.2%2.7%328.6K-6.5M-29.3K0.1513.571,54023015,1384,695
2008-08-26$10.06$10.0029.7%8.5%30.8%22.4%29.7%4.5%3.2%304.8K-5.7M-29.0K1.7611.1314826014,7464,896
2008-08-27$10.14$10.0029.9%8.6%30.8%22.8%0.0%6.0%1.2%325.1K-6.3M-28.5K0.0016.6738014,7764,803
2008-08-28$10.06$10.0028.4%8.1%28.6%20.4%28.4%4.4%3.4%324.7K-5.8M-28.3K1.2517.3615819814,8154,803
2008-08-29$9.71$10.0027.7%8.0%31.6%19.3%27.7%3.7%2.2%328.5K-3.3M-27.2K0.5112.9656729114,8764,940