TSM Options History — November 2008

In November 2008, TSM traded between $5.85 and $8.38. ATM implied volatility averaged 57.8%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 47.5% (HV 20d: 105.3%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.60.

Notable Days

2008-11-24: Highest Volume — 7,934 contracts
2008-11-21: Largest IV drop — 40.2% change
2008-11-20: Highest IV Rank — 51.9%
2008-11-20: Largest Expected Move — 24.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.12	$5.85	$8.38	$8.05	$7.15
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	57.8%	45.8%	84.0%	56.3%	49.5%
Expected Move	16.6%	13.1%	24.1%	16.1%	14.2%
HV 20d	105.3%	84.1%	115.9%	113.5%	84.1%
HV 60d	83.1%	77.4%	89.2%	77.4%	88.7%
IV Rank	30.9%	21.4%	51.9%	29.8%	24.3%
IV Percentile	89.9%	79.0%	99.6%	91.3%	81.3%
Term Structure	5.6%	-5.2%	18.9%	-3.0%	16.9%
VWIV	58.5%	49.6%	83.4%	56.0%	49.6%
Skew 25d	8.9%	-12.7%	49.1%	10.9%	49.1%
Skew 10d	15.0%	-7.6%	69.4%	19.7%	69.4%
Call IV 25d	53.5%	36.4%	77.1%	46.2%	48.2%
Put IV 25d	62.4%	46.5%	97.2%	57.1%	97.2%
Bid-Ask Spread %	21.31	11.55	37.23	16.25	18.02
Gamma HHI	0.77	0.44	0.90	0.84	0.83
Net GEX	152.8K	-61.4K	393.7K	309.7K	13.5K
Net DEX	1.7M	-16.2M	14.2M	-11.8M	1.3M
Net VEX	-33.1K	-47.1K	-16.8K	-40.4K	-32.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	0.00	7.75	1.40	0.00
Total Volume	1,879.789	10	7,934	563	10
Total OI	56,412.632	29,130	69,279	51,347	37,273

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-11-03	$8.05	$7.50	56.3%	16.1%	113.5%	29.8%	56.0%	10.9%	-3.0%	309.7K	-11.8M	-40.4K	1.40	16.25	235	328	33,275	18,072
2008-11-04	$8.38	$7.50	58.5%	16.8%	112.8%	31.5%	57.4%	21.1%	0.0%	257.0K	-16.2M	-35.3K	2.09	15.27	175	365	33,356	18,140
2008-11-05	$7.76	$7.50	57.9%	16.6%	115.9%	31.0%	58.0%	18.2%	2.4%	311.5K	-8.8M	-41.5K	1.56	18.19	73	114	33,473	18,484
2008-11-06	$7.37	$7.50	61.8%	17.7%	113.5%	34.2%	61.9%	7.2%	-3.6%	297.3K	-2.7M	-39.1K	1.07	20.58	3,735	4,000	33,473	18,548
2008-11-07	$7.78	$7.50	52.0%	14.7%	110.4%	26.3%	51.3%	14.6%	7.9%	364.6K	-9.2M	-45.0K	4.80	18.80	1,072	5,146	36,986	21,845
2008-11-10	$7.66	$7.50	56.0%	15.7%	108.4%	29.5%	54.7%	12.7%	4.0%	322.3K	-6.0M	-47.1K	7.75	14.51	12	93	37,369	25,783
2008-11-11	$7.40	$7.50	55.3%	16.2%	108.2%	28.9%	56.5%	10.1%	-1.6%	328.9K	-2.1M	-44.6K	0.76	14.72	152	115	37,371	25,734
2008-11-12	$7.10	$7.50	51.9%	16.3%	103.2%	26.3%	56.9%	19.7%	3.0%	310.4K	3.5M	-39.4K	0.82	11.55	268	221	37,447	25,751
2008-11-13	$7.50	$7.50	57.8%	16.6%	105.3%	31.0%	57.4%	13.8%	9.4%	393.7K	-3.6M	-43.7K	1.63	22.16	2,441	3,989	37,491	25,759
2008-11-14	$6.96	$7.50	60.5%	17.3%	107.8%	33.1%	60.4%	-2.9%	7.5%	207.0K	9.9M	-35.7K	0.02	16.23	762	14	39,271	29,087
2008-11-17	$6.72	$7.50	61.2%	17.5%	107.7%	33.6%	61.4%	9.5%	4.9%	-61.4K	13.5M	-24.3K	0.03	17.76	1,286	42	39,279	29,073
2008-11-18	$6.50	$7.50	62.6%	17.9%	105.6%	34.8%	62.6%	-11.6%	7.3%	-40.2K	14.2M	-21.0K	0.28	18.87	376	107	40,148	29,065
2008-11-19	$6.13	$7.50	78.0%	22.4%	104.5%	47.1%	65.2%	5.4%	-5.2%	-27.8K	13.6M	-19.1K	0.10	37.23	181	19	40,359	28,806
2008-11-20	$5.85	$7.50	84.0%	24.1%	105.4%	51.9%	83.4%	3.7%	0.9%	-25.3K	13.2M	-16.8K	0.68	34.31	347	237	40,356	28,721
2008-11-21	$6.51	$7.50	50.2%	14.4%	110.1%	24.9%	60.0%	-12.7%	14.5%	-41.4K	14.0M	-20.6K	7.04	30.91	156	1,099	40,366	28,913
2008-11-24	$6.70	$7.50	46.6%	13.4%	110.4%	22.0%	53.5%	-3.3%	18.9%	-54.0K	5.5M	-21.8K	0.00	33.31	7,905	29	13,532	15,598
2008-11-25	$6.65	$7.50	45.8%	13.1%	85.0%	21.4%	53.5%	-7.0%	13.0%	19.7K	3.7M	-28.1K	0.18	30.59	57	10	21,182	15,609
2008-11-26	$7.19	$7.50	52.0%	14.9%	88.7%	26.3%	52.0%	10.2%	9.4%	17.3K	1.2M	-32.9K	0.12	15.65	485	60	21,226	15,619
2008-11-28	$7.15	$7.50	49.5%	14.2%	84.1%	24.3%	49.6%	49.1%	16.9%	13.5K	1.3M	-32.8K	0.00	18.02	10	0	21,594	15,679