TSM Options History — September 2008

In September 2008, TSM traded between $8.65 and $9.98. ATM implied volatility averaged 32.6%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 15.5% (HV 20d: 48.1%). 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 17 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2008-09-18: Highest Volume — 2,659 contracts
  • 2008-09-29: Largest IV spike — 114.6% change
  • 2008-09-29: Highest IV Rank — 85.3%
  • 2008-09-29: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.16$8.65$9.98$9.36$9.37
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV32.6%20.8%69.1%31.4%32.0%
Expected Move9.5%6.1%19.8%9.0%9.2%
HV 20d48.1%29.6%67.7%33.9%67.7%
HV 60d41.8%35.8%48.3%35.8%48.3%
IV Rank27.0%8.3%85.3%25.2%26.1%
IV Percentile35.6%2.4%99.6%31.0%38.5%
Term Structure1.8%-17.4%13.9%-4.8%1.4%
VWIV33.9%21.2%62.2%32.5%34.6%
Skew 25d6.6%-6.9%39.8%29.4%8.3%
Skew 10d12.1%-9.1%70.3%40.6%13.8%
Call IV 25d35.0%25.1%43.0%38.3%33.7%
Put IV 25d41.6%27.9%82.8%67.7%42.0%
Bid-Ask Spread %23.148.4092.538.6236.68
Gamma HHI0.980.960.990.980.98
Net GEX309.2K126.7K1.0M288.6K383.2K
Net DEX-564.8K-5.9M2.4M-185.6K-2.2M
Net VEX-20.4K-27.0K-12.6K-22.3K-23.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.002.420.530.17
Total Volume632.81612,659624109
Total OI20,844.28616,63822,71820,43720,064

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$9.36$10.0031.4%9.0%33.9%25.2%32.5%29.4%-4.8%288.6K-185.6K-22.3K0.538.6240821615,3505,087
2008-09-03$9.07$10.0041.7%12.0%31.8%41.6%41.7%-6.9%-10.1%233.0K427.7K-21.3K0.2510.3644010915,3885,280
2008-09-04$8.65$10.0031.0%8.9%29.6%24.6%33.2%-0.9%4.8%151.3K2.2M-14.7K0.318.402367215,7475,298
2008-09-05$9.03$10.0023.5%8.0%34.4%12.6%30.7%7.3%0.5%223.9K1.1M-19.2K0.5718.5731217715,9045,355
2008-09-08$9.35$10.0020.8%8.6%36.6%8.3%29.8%39.8%5.7%301.7K385.6K-20.8K0.0022.591,116015,9315,320
2008-09-09$8.78$10.0028.5%8.1%40.9%20.6%0.0%-0.2%4.7%229.9K1.6M-16.2K1.6111.938012916,3685,320
2008-09-10$8.99$10.0030.2%8.4%42.5%23.3%29.9%6.9%-1.0%232.3K778.6K-18.4K0.3817.3832312416,4045,169
2008-09-11$8.80$10.0028.9%8.3%42.5%21.2%25.8%3.8%0.0%194.7K1.7M-16.2K0.0911.693333016,6825,275
2008-09-12$9.09$10.0027.6%7.9%44.6%19.0%32.8%9.6%1.3%251.4K943.1K-18.8K0.4134.48984016,7555,276
2008-09-15$8.80$10.0021.4%6.1%45.1%9.3%21.2%15.3%13.9%126.7K2.4M-12.6K0.8512.80332816,8175,296
2008-09-16$9.02$10.0028.4%8.2%46.4%20.4%33.4%5.5%2.8%228.8K1.4M-17.0K0.0613.553612016,8445,210
2008-09-17$8.86$10.0031.1%8.9%46.4%24.6%31.4%4.1%2.9%228.1K1.3M-16.6K2.1816.9611324616,9905,212
2008-09-18$9.37$10.0035.0%10.0%51.5%31.0%34.3%3.8%6.9%305.0K189.0K-20.4K1.7631.129641,69517,0055,339
2008-09-19$9.98$10.0034.5%9.9%56.8%30.1%34.5%6.0%6.5%1.0M-5.9M-27.0K0.2521.361,04925817,4385,280
2008-09-22$9.62$10.0038.2%10.9%58.2%36.0%38.2%-0.2%4.6%336.6K-3.7M-23.9K0.1423.712,28033013,4703,168
2008-09-23$9.31$10.0031.8%9.1%59.0%25.9%30.5%-1.7%3.1%368.0K-3.3M-23.9K0.8519.5219316515,6263,262
2008-09-24$9.43$10.0028.4%8.2%59.3%20.4%28.4%10.1%7.0%420.6K-3.2M-25.0K0.1029.325355115,7833,416
2008-09-25$9.56$10.0038.1%10.9%59.5%35.8%38.1%-1.1%2.3%417.3K-4.0M-26.7K0.4522.98964316,2653,467
2008-09-26$9.25$10.0032.2%9.2%60.4%26.4%34.9%-3.2%2.5%362.3K-2.6M-23.8K2.4221.3410926416,3223,498
2008-09-29$8.70$10.0069.1%19.8%62.8%85.3%62.2%3.9%-17.4%195.6K-1.3M-21.0K0.5192.53693516,3583,691
2008-09-30$9.37$10.0032.0%9.2%67.7%26.1%34.6%8.3%1.4%383.2K-2.2M-23.3K0.1736.68931616,3883,676