TSM Options History — February 2009

In February 2009, TSM traded between $7.34 and $8.69. ATM implied volatility averaged 48.1%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 8.9% (HV 20d: 57.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.19.

Notable Days

2009-02-20: Highest Volume — 23,664 contracts
2009-02-06: Largest IV spike — 28.3% change
2009-02-20: Highest IV Rank — 27.5%
2009-02-20: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.91	$7.34	$8.69	$7.51	$7.54
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	48.1%	37.3%	53.4%	47.6%	47.4%
Expected Move	14.0%	11.6%	15.3%	13.6%	13.6%
HV 20d	57.0%	50.9%	61.1%	59.3%	53.2%
HV 60d	64.3%	56.8%	69.0%	69.0%	56.8%
IV Rank	23.2%	14.6%	27.5%	22.8%	22.7%
IV Percentile	66.7%	36.5%	77.8%	67.5%	62.7%
Term Structure	4.0%	-2.9%	14.7%	-1.1%	3.2%
VWIV	49.2%	41.5%	61.6%	47.6%	47.4%
Skew 25d	11.9%	-2.5%	48.0%	48.0%	9.5%
Skew 10d	27.6%	-3.3%	79.3%	79.2%	16.4%
Call IV 25d	44.8%	30.5%	58.1%	44.8%	46.6%
Put IV 25d	56.7%	44.7%	92.8%	92.8%	56.2%
Bid-Ask Spread %	19.78	12.33	34.06	18.72	19.03
Gamma HHI	0.74	0.53	0.86	0.86	0.53
Net GEX	-150.4K	-295.3K	159.2K	-255.2K	-66.0K
Net DEX	148.0K	-6.1M	6.3M	6.3M	1.8M
Net VEX	-77.4K	-97.9K	-65.2K	-75.2K	-97.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.02	6.12	0.20	6.12
Total Volume	3,512.474	146	23,664	847	655
Total OI	61,680.895	54,413	69,066	56,874	69,066

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
2009-02-02	$7.51	$7.50	47.6%	13.6%	59.3%	22.8%	47.6%	48.0%	-1.1%	-255.2K	6.3M	-75.2K	0.20	18.72	707	140	21,364	35,510
2009-02-03	$7.80	$7.50	46.8%	13.4%	60.8%	22.2%	0.0%	32.6%	-2.9%	-260.2K	2.9M	-76.5K	1.97	17.66	238	470	21,939	35,620
2009-02-04	$7.93	$7.50	45.6%	13.1%	59.1%	21.2%	46.1%	28.5%	0.4%	-255.1K	1.3M	-75.7K	0.75	21.79	1,608	1,210	22,109	35,767
2009-02-05	$8.11	$7.50	40.3%	11.6%	50.9%	17.0%	41.5%	11.6%	14.7%	-219.4K	-961.2K	-78.4K	0.32	25.61	759	240	23,265	36,477
2009-02-06	$8.69	$7.50	51.7%	14.5%	55.2%	26.1%	47.7%	6.0%	6.3%	-150.0K	-5.6M	-78.6K	1.01	28.36	691	698	23,925	36,387
2009-02-09	$8.49	$7.50	37.3%	13.1%	56.0%	14.6%	45.9%	-0.5%	7.5%	-156.2K	-6.1M	-72.1K	2.13	29.93	291	620	24,284	36,605
2009-02-10	$8.12	$7.50	42.9%	14.1%	58.2%	19.0%	49.4%	-0.1%	3.6%	-224.1K	-1.6M	-76.2K	1.49	14.43	302	450	24,409	36,931
2009-02-11	$8.31	$7.50	49.1%	14.8%	56.8%	24.1%	42.9%	8.0%	4.6%	-193.4K	-2.8M	-75.4K	0.37	30.81	524	195	24,515	37,107
2009-02-12	$8.39	$7.50	49.1%	14.1%	54.4%	24.0%	49.4%	0.3%	8.7%	-167.0K	-5.2M	-71.5K	0.58	18.68	321	186	24,650	37,093
2009-02-13	$8.29	$7.50	47.1%	13.5%	54.7%	22.4%	47.1%	-2.5%	9.1%	-174.1K	-5.3M	-71.2K	0.59	34.06	92	54	24,762	37,140
2009-02-17	$7.72	$7.50	48.8%	14.0%	61.1%	23.7%	50.1%	2.6%	3.2%	-295.3K	2.4M	-70.2K	0.54	16.95	343	185	24,844	37,150
2009-02-18	$7.97	$7.50	50.4%	14.5%	56.8%	25.1%	61.6%	7.1%	2.3%	-263.2K	57.1K	-69.2K	0.02	17.93	8,116	147	24,913	37,119
2009-02-19	$7.63	$7.50	50.0%	14.3%	59.1%	24.7%	50.5%	-2.2%	2.0%	110.2K	-81.9K	-68.5K	0.09	14.14	3,531	335	31,412	37,125
2009-02-20	$7.50	$7.50	53.4%	15.3%	57.8%	27.5%	51.9%	8.4%	1.7%	159.2K	4.3M	-65.2K	0.45	12.37	16,364	7,300	31,335	37,145
2009-02-23	$7.34	$7.50	53.2%	15.3%	56.7%	27.3%	53.2%	5.2%	3.7%	-126.4K	4.9M	-77.9K	5.13	13.81	1,219	6,257	24,084	30,329
2009-02-24	$7.64	$7.50	53.2%	15.3%	58.6%	27.3%	53.2%	14.5%	3.1%	-146.0K	3.4M	-86.3K	0.17	12.77	5,001	845	24,809	34,101
2009-02-25	$7.63	$7.50	49.3%	14.1%	57.3%	24.1%	49.8%	10.2%	3.9%	-93.5K	1.8M	-92.2K	0.35	12.33	1,303	456	29,003	34,742
2009-02-26	$7.68	$7.50	50.1%	14.4%	56.4%	24.8%	50.0%	39.3%	2.2%	-82.9K	1.3M	-93.2K	0.30	16.42	3,745	1,139	29,875	35,026
2009-02-27	$7.54	$7.50	47.4%	13.6%	53.2%	22.7%	47.4%	9.5%	3.2%	-66.0K	1.8M	-97.9K	6.12	19.03	92	563	33,185	35,881