TSM Options History — October 2008

In October 2008, TSM traded between $6.36 and $9.32. ATM implied volatility averaged 62.2%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 20.9% (HV 20d: 83.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 5.35.

Notable Days

  • 2008-10-08: Highest Volume — 14,116 contracts
  • 2008-10-13: Largest IV spike — 131.5% change
  • 2008-10-13: Highest IV Rank — 100.0%
  • 2008-10-30: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.83$6.36$9.32$9.32$8.26
Max Pain$8.15$7.50$10.00$10.00$7.50
ATM IV62.2%42.6%144.3%42.6%62.1%
Expected Move15.7%12.2%18.4%12.2%17.8%
HV 20d83.1%64.9%113.2%66.7%113.2%
HV 60d60.0%48.2%77.4%48.2%77.4%
IV Rank49.0%22.8%100.0%43.1%36.1%
IV Percentile94.5%86.1%100.0%86.9%94.4%
Term Structure1.5%-16.1%13.3%-2.0%0.9%
VWIV54.9%42.5%64.2%60.9%62.3%
Skew 25d3.0%-13.7%22.7%-3.6%0.1%
Skew 10d8.0%-23.1%32.0%-2.1%2.4%
Call IV 25d51.9%34.7%71.1%38.4%62.6%
Put IV 25d54.9%34.8%76.7%34.8%62.8%
Bid-Ask Spread %29.1713.2967.5641.3417.84
Gamma HHI0.870.530.980.980.81
Net GEX250.1K20.8K533.2K361.4K238.6K
Net DEX-3.8M-16.5M5.5M-2.3M-13.8M
Net VEX-30.7K-43.2K-12.3K-22.8K-41.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.350.0049.280.380.34
Total Volume2,607.9135414,116551,849
Total OI40,402.21720,09357,76420,09351,067

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$9.32$10.0042.6%12.2%66.7%43.1%0.0%-3.6%-2.0%361.4K-2.3M-22.8K0.3841.34401516,4303,663
2008-10-02$8.78$10.0061.8%17.7%68.0%73.7%60.9%2.2%-16.1%201.2K-969.0K-19.2K49.2867.56251,23216,4473,663
2008-10-03$8.45$10.0042.7%12.2%67.4%43.1%48.2%-1.5%6.0%148.2K347.3K-17.2K0.2461.921233016,4644,435
2008-10-06$8.44$10.0062.6%16.6%65.9%75.0%0.0%10.6%-0.5%20.8K1.7M-12.3K0.5736.37563216,5264,437
2008-10-07$8.00$10.0065.3%16.2%64.9%79.2%54.0%1.3%-2.8%63.3K1.6M-12.3K40.4431.93411,65816,5064,432
2008-10-08$8.19$10.0070.8%17.3%64.9%88.0%62.1%3.8%-5.7%101.9K1.5M-16.0K0.0125.7313,93118516,5135,944
2008-10-09$7.54$7.5076.8%14.9%70.4%97.5%51.6%-6.6%6.1%262.5K-3.4M-24.4K0.0436.437,43527930,1675,904
2008-10-10$8.25$7.5062.3%15.8%77.4%74.5%42.5%-7.6%1.6%533.2K-10.7M-33.0K6.1924.852611,61537,3106,155
2008-10-13$8.70$7.50144.3%17.7%79.3%100.0%50.6%3.1%2.4%345.5K-16.5M-35.0K0.0930.085895537,3056,920
2008-10-14$8.35$7.5063.3%14.7%79.9%37.1%51.4%-4.3%13.3%323.7K-10.3M-30.5K0.8732.2147141037,3846,948
2008-10-15$7.55$7.5082.1%17.4%87.0%51.7%62.1%-13.7%6.7%327.0K-5.4M-31.2K0.0829.191,74314237,5197,210
2008-10-16$7.51$7.5057.7%16.5%83.6%32.7%57.8%-11.0%9.5%425.0K-5.6M-30.4K1.6019.494,6387,41438,9387,099
2008-10-17$7.74$7.5053.1%15.2%80.5%29.2%53.4%-4.5%8.7%435.6K-6.4M-41.1K3.5022.721,3534,73843,46914,295
2008-10-20$7.94$7.5049.7%14.2%81.1%26.5%49.7%19.2%7.9%282.2K-8.8M-42.5K0.0522.634172130,40515,256
2008-10-21$7.40$7.5049.6%14.2%83.6%26.4%49.6%10.7%-0.8%275.0K-3.7M-41.2K16.5118.241642,70730,45515,256
2008-10-22$6.88$7.5048.5%13.9%85.8%25.6%48.7%0.8%6.2%194.3K3.3M-34.6K0.3133.4438511830,53517,930
2008-10-23$6.94$7.5049.8%14.3%85.6%26.6%50.7%0.9%5.6%207.2K2.5M-36.1K0.0022.15391030,83017,891
2008-10-24$6.46$7.5044.9%12.9%87.7%22.8%44.3%-4.5%6.9%142.8K5.5M-27.2K0.6927.57322230,90017,891
2008-10-27$6.36$7.5051.6%14.8%86.2%28.0%64.2%13.4%-2.9%125.6K4.1M-28.9K0.1026.581,0279930,91517,644
2008-10-28$7.70$7.5063.6%18.2%109.3%37.3%63.6%20.3%-7.7%218.6K-6.6M-42.9K0.0813.663,16226331,24117,713
2008-10-29$7.34$7.5062.2%17.8%110.1%36.2%62.4%16.4%-6.4%243.1K-3.7M-42.7K1.0313.2918619132,73217,770
2008-10-30$7.91$7.5064.1%18.4%112.7%37.7%62.8%22.7%-1.8%276.9K-8.7M-43.2K0.5415.6828315432,84817,889
2008-10-31$8.26$7.5062.1%17.8%113.2%36.1%62.3%0.1%0.9%238.6K-13.8M-41.8K0.3417.841,37747233,05318,014