TSM Options History — January 2009

In January 2009, TSM traded between $6.99 and $8.40. ATM implied volatility averaged 52.1%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 5.9% (HV 20d: 58.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 15.34.

Notable Days

  • 2009-01-22: Highest Volume — 18,800 contracts
  • 2009-01-06: Largest IV drop — 35.9% change
  • 2009-01-13: Highest IV Rank — 41.6%
  • 2009-01-06: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.64$6.99$8.40$8.22$7.54
Max Pain$7.25$5.00$7.50$7.50$7.50
ATM IV52.1%39.4%71.2%56.1%43.8%
Expected Move14.9%12.6%17.2%16.1%12.6%
HV 20d58.0%51.1%64.5%55.4%61.3%
HV 60d80.6%69.3%87.9%87.9%69.5%
IV Rank26.4%16.3%41.6%29.6%19.8%
IV Percentile75.3%50.0%97.6%82.9%59.5%
Term Structure-0.5%-4.4%4.0%1.9%-2.6%
VWIV50.5%42.6%59.7%49.9%42.6%
Skew 25d13.7%1.9%38.0%12.6%7.2%
Skew 10d23.2%7.3%72.5%27.9%14.0%
Call IV 25d41.6%34.3%54.8%41.4%41.3%
Put IV 25d55.3%46.9%84.9%54.0%48.5%
Bid-Ask Spread %15.789.9028.9425.8018.76
Gamma HHI0.880.550.990.840.86
Net GEX81.0K-255.3K1.1M177.7K-255.3K
Net DEX983.4K-7.0M5.4M-5.5M4.8M
Net VEX-47.8K-77.4K-12.7K-16.9K-77.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.340.01162.330.093.73
Total Volume3,179.0512518,800125364
Total OI39,825.324,06556,66024,06556,660

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$8.22$7.5056.1%16.1%55.4%29.6%49.9%12.6%1.9%177.7K-5.5M-16.9K0.0925.801151017,1476,918
2009-01-05$8.06$7.5061.5%17.1%55.5%33.9%59.7%24.5%-3.2%189.5K-4.7M-16.8K4.4713.7410245617,1746,908
2009-01-06$8.40$5.0039.4%17.2%55.1%16.3%45.3%15.1%-4.4%78.1K-7.0M-12.7K0.1028.947357317,2167,168
2009-01-07$7.71$5.0052.3%16.3%64.3%26.5%56.9%15.3%-2.4%237.6K-3.0M-18.1K58.4012.77623,62117,7177,168
2009-01-08$7.54$7.5055.6%14.8%64.5%29.2%51.6%9.5%0.1%193.2K-695.4K-21.8K32.5416.121123,64517,72010,625
2009-01-09$7.49$7.5053.5%14.7%62.0%27.5%0.0%11.6%-0.0%132.1K793.9K-23.7K0.7413.0247535117,72613,766
2009-01-12$7.34$7.5058.7%16.0%61.6%31.7%55.8%7.1%-1.4%153.0K1.9M-21.8K1.0014.585,5625,58517,71813,850
2009-01-13$7.67$7.5071.2%15.8%60.0%41.6%55.0%13.8%1.0%135.5K-20.2K-49.5K0.1011.581,31813822,80419,076
2009-01-14$7.37$7.5062.2%16.4%61.6%34.4%57.2%6.5%-3.3%241.7K2.1M-48.2K162.3314.91182,92223,59318,307
2009-01-15$7.37$7.5051.4%14.7%51.2%25.8%51.4%6.3%-0.5%357.8K4.4M-49.9K15.3014.232113,22823,60620,948
2009-01-16$7.45$7.5049.4%14.1%51.1%24.2%46.3%11.2%1.7%1.1M5.4M-53.3K0.0814.308,07962023,65823,621
2009-01-20$6.99$7.5055.5%15.9%53.8%29.1%55.4%1.9%-2.2%-11.2K3.6M-52.5K0.549.901196417,03318,304
2009-01-21$7.15$7.5052.4%15.0%54.7%26.7%52.5%37.7%-1.1%-11.5K3.7M-52.2K0.0511.194482217,15118,346
2009-01-22$7.45$7.5046.7%13.4%55.8%22.1%46.7%7.5%-0.4%-4.7K1.2M-57.8K5.2113.643,02915,77117,46418,354
2009-01-23$7.72$7.5048.3%13.9%57.3%23.4%48.6%11.4%-0.6%-182.3K2.6M-77.3K0.8813.9241636419,42132,225
2009-01-26$7.65$7.5045.3%13.0%57.4%21.0%45.3%11.5%4.0%-190.3K3.1M-74.6K19.2419.741663,19419,56432,393
2009-01-27$7.90$7.5045.4%13.0%58.4%21.1%45.4%11.4%4.0%-233.8K2.3M-77.2K1.0114.2011611719,67235,383
2009-01-28$8.12$7.5047.7%13.7%58.9%22.9%47.3%13.2%-0.1%-230.2K189.2K-77.4K1.0318.1018218819,71935,278
2009-01-29$7.68$7.5046.7%13.4%61.0%22.1%46.7%38.0%-0.7%-254.8K4.5M-77.0K0.0116.141,5612219,76335,342
2009-01-30$7.54$7.5043.8%12.6%61.3%19.8%42.6%7.2%-2.6%-255.3K4.8M-77.1K3.7318.767728721,32135,339