TSM Options History — December 2008

In December 2008, TSM traded between $6.34 and $8.39. ATM implied volatility averaged 54.0%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 23.0% (HV 20d: 77.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2008-12-10: Highest Volume — 5,099 contracts
  • 2008-12-08: Largest IV spike — 32.1% change
  • 2008-12-15: Highest IV Rank — 35.0%
  • 2008-12-08: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.40$6.34$8.39$6.57$7.90
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV54.0%39.6%62.9%49.2%49.1%
Expected Move16.1%11.3%18.7%14.1%14.1%
HV 20d77.0%54.9%86.8%86.5%54.9%
HV 60d89.7%88.2%91.1%89.7%88.2%
IV Rank27.9%16.4%35.0%24.1%24.0%
IV Percentile82.9%59.1%94.8%81.0%74.2%
Term Structure5.4%-3.1%33.7%10.3%9.3%
VWIV55.6%40.3%66.8%59.4%49.1%
Skew 25d10.4%-9.4%28.0%-2.5%9.3%
Skew 10d18.8%-13.1%45.2%3.9%23.4%
Call IV 25d52.5%40.8%69.4%59.5%41.2%
Put IV 25d62.9%50.6%79.6%57.0%50.6%
Bid-Ask Spread %19.7411.4353.9726.2216.45
Gamma HHI0.720.490.910.550.89
Net GEX91.2K-4.7K186.1K28.7K182.0K
Net DEX-1.2M-10.2M6.2M4.1M-3.9M
Net VEX-22.3K-28.9K-17.2K-25.2K-17.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.006.560.020.00
Total Volume1,065.182165,099597546
Total OI33,636.81822,39641,89037,27323,618

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$6.57$7.5049.2%14.1%86.5%24.1%59.4%-2.5%10.3%28.7K4.1M-25.2K0.0226.225841321,59415,679
2008-12-02$6.34$7.5040.0%11.5%86.8%16.7%0.0%11.2%33.7%43.8K6.1M-18.6K0.6211.43372321,99915,669
2008-12-03$6.54$7.5039.6%11.3%86.1%16.4%40.3%13.2%26.2%52.0K6.2M-19.1K0.4514.3011522,03615,670
2008-12-04$6.42$7.5046.2%13.2%82.8%21.7%47.4%14.1%20.6%46.4K6.0M-19.0K0.9112.79565122,03415,673
2008-12-05$6.72$7.5041.5%18.5%83.4%17.9%64.1%21.2%-2.0%41.4K5.4M-21.6K0.1322.2031422,08415,675
2008-12-08$6.94$7.5054.8%18.7%81.7%28.6%66.8%21.8%-3.1%28.8K3.8M-24.5K0.7427.8617813122,06415,675
2008-12-09$7.13$7.5056.6%18.3%82.4%30.0%63.9%28.0%-3.1%18.7K2.0M-26.4K0.0825.281,1068922,16715,577
2008-12-10$7.50$7.5057.9%17.8%83.7%31.1%47.5%10.2%0.1%12.4K-633.6K-28.5K0.0013.245,0792022,08015,622
2008-12-11$7.30$7.5062.3%17.8%82.9%34.5%62.3%11.4%-0.2%59.8K13.8K-27.8K0.0015.952,230123,30715,632
2008-12-12$7.74$7.5059.7%17.1%83.2%32.4%59.7%17.9%2.7%94.0K-4.8M-28.9K0.0514.854,37722124,71315,632
2008-12-15$7.67$7.5062.9%18.0%78.4%35.0%62.9%-5.4%0.6%144.5K-4.5M-27.6K0.0013.902,999026,03715,853
2008-12-16$8.39$7.5060.6%17.4%82.4%33.2%61.4%-1.0%1.6%147.6K-10.2M-22.2K0.1523.671,09716622,55715,853
2008-12-17$8.19$7.5062.7%18.0%81.8%34.9%56.5%0.7%-0.4%100.0K-9.0M-23.6K0.2931.241303822,53315,887
2008-12-18$7.86$7.5059.2%17.0%80.0%32.1%58.9%-9.4%1.6%27.2K-6.9M-22.9K0.0053.9782022,57115,887
2008-12-19$7.79$7.5053.4%15.3%77.4%27.5%43.0%13.8%6.5%-4.7K-6.3M-22.2K2.2216.0043997322,61715,887
2008-12-22$7.53$7.5050.0%14.3%70.9%24.7%49.0%8.1%7.4%186.1K-2.1M-19.4K6.5618.002241,47016,4635,933
2008-12-23$7.53$7.5057.3%16.4%70.5%30.6%56.6%11.1%1.4%146.8K-1.7M-20.2K0.0512.512131016,4156,960
2008-12-24$7.50$7.5055.4%15.9%70.4%29.1%55.4%9.6%1.9%151.6K-1.5M-19.8K0.0016.9720016,4947,040
2008-12-26$7.56$7.5054.1%15.5%65.1%28.0%0.0%10.3%1.7%162.1K-1.7M-19.3K0.1512.78651016,5147,040
2008-12-29$7.67$7.5058.9%16.9%65.1%31.8%58.9%17.5%-0.9%161.6K-2.3M-19.0K0.2415.972505916,5797,050
2008-12-30$7.95$7.5056.9%16.3%57.1%30.2%49.8%17.7%2.5%174.7K-3.5M-18.4K0.7818.6022217416,6147,026
2008-12-31$7.90$7.5049.1%14.1%54.9%24.0%49.1%9.3%9.3%182.0K-3.9M-17.2K0.0016.45544216,7006,918