TSM Options History — March 2009

In March 2009, TSM traded between $7.45 and $9.32. ATM implied volatility averaged 48.6%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 7.4% (HV 20d: 56.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.56.

Notable Days

  • 2009-03-04: Highest Volume — 6,279 contracts
  • 2009-03-11: Largest IV drop — 28.6% change
  • 2009-03-10: Highest IV Rank — 32.4%
  • 2009-03-11: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.63$7.45$9.32$7.45$8.95
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV48.6%38.5%59.6%51.2%40.9%
Expected Move14.3%11.5%16.3%14.7%11.7%
HV 20d56.0%50.4%60.0%53.0%58.6%
HV 60d56.6%54.0%58.6%56.3%57.2%
IV Rank23.6%15.5%32.4%25.7%17.5%
IV Percentile62.9%33.3%87.7%72.6%38.1%
Term Structure4.1%-2.4%12.2%-1.1%6.4%
VWIV49.9%32.3%57.4%51.3%47.1%
Skew 25d6.3%-18.6%22.3%9.2%-14.9%
Skew 10d11.3%-19.7%30.1%13.4%-17.5%
Call IV 25d45.3%32.2%55.9%38.9%46.5%
Put IV 25d51.6%29.2%64.5%48.1%31.6%
Bid-Ask Spread %18.737.8032.7713.8510.92
Gamma HHI0.620.460.730.530.66
Net GEX71.0K-69.1K153.0K-69.1K127.1K
Net DEX-10.2M-16.1M2.6M2.6M-12.3M
Net VEX-103.3K-108.9K-95.5K-95.5K-97.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.098.113.710.68
Total Volume1,977.545376,2791,32337
Total OI75,636.04569,14681,31169,14676,317

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$7.45$7.5051.2%14.7%53.0%25.7%51.3%9.2%-1.1%-69.1K2.6M-95.5K3.7113.852811,04233,10636,040
2009-03-03$7.78$7.5052.3%15.0%55.2%26.5%52.3%15.7%2.1%-59.4K-368.9K-98.2K1.3020.6376199333,21736,009
2009-03-04$8.04$7.5053.6%15.4%54.8%27.6%53.6%21.0%0.2%-46.5K-3.1M-100.7K0.1418.585,49378633,75836,399
2009-03-05$8.09$7.5045.2%13.0%54.5%20.9%44.3%22.3%10.6%-22.0K-4.8M-107.9K1.2526.6241251538,39536,721
2009-03-06$8.25$7.5038.5%15.2%54.4%15.5%53.0%19.1%11.2%5.7K-6.0M-108.8K0.6019.171,65199438,58337,042
2009-03-09$7.74$7.5049.4%14.7%52.7%24.2%51.2%-4.5%7.1%-63.7K-1.3M-103.9K8.1112.091751,42038,51237,442
2009-03-10$8.35$7.5059.6%15.8%59.7%32.4%53.8%7.4%11.2%76.4K-8.4M-105.3K0.1114.654,25146838,63838,106
2009-03-11$8.66$7.5042.6%16.3%58.7%18.8%57.4%7.0%8.5%82.5K-11.9M-108.9K4.6921.712961,38840,07238,029
2009-03-12$8.86$7.5044.5%12.7%58.7%20.3%51.6%6.7%3.5%100.0K-13.6M-106.0K0.5021.871,40770040,09538,791
2009-03-13$8.82$7.5046.4%13.3%58.7%21.8%48.2%4.1%2.2%106.0K-13.5M-106.6K1.0032.7747147040,73438,390
2009-03-16$8.73$7.5054.7%15.7%58.6%28.5%51.0%5.5%9.2%95.7K-13.2M-104.4K1.1026.6618620440,94038,165
2009-03-17$8.98$7.5044.8%12.9%52.3%20.6%47.8%13.4%4.7%122.9K-15.2M-102.8K0.2326.2146010640,96738,210
2009-03-18$9.08$7.5050.7%14.5%51.6%25.3%55.0%15.8%-2.4%127.6K-16.1M-103.4K1.2424.048691,07641,18338,213
2009-03-19$8.78$7.5049.0%14.0%50.4%23.9%51.4%1.5%-2.3%120.1K-13.4M-102.6K0.1325.702,22329641,62338,600
2009-03-20$8.52$7.5056.1%16.1%51.4%29.6%49.8%5.2%12.2%105.4K-11.3M-106.3K0.1818.985309742,56138,750
2009-03-23$9.28$7.5050.2%14.4%57.4%24.9%49.3%14.8%1.4%150.0K-15.4M-102.0K0.577.801,03458638,79531,234
2009-03-24$9.11$7.5050.1%14.4%57.3%24.8%48.7%-12.1%1.8%153.0K-14.5M-101.4K0.0912.661,39012739,28131,276
2009-03-25$9.01$7.5051.9%14.9%57.6%26.2%51.3%14.0%-1.4%150.9K-13.4M-101.9K5.2018.529174,77039,68531,239
2009-03-26$9.32$7.5046.8%13.4%58.3%22.2%46.8%18.3%1.7%74.5K-14.7M-100.3K0.4211.641,92881840,23734,565
2009-03-27$9.25$7.5051.1%14.7%57.8%25.6%51.0%-12.5%-0.9%111.8K-13.8M-107.0K0.2717.562938042,00134,939
2009-03-30$8.89$7.5040.3%11.5%60.0%17.0%32.3%-18.6%4.5%113.3K-10.4M-100.8K2.759.484011,10442,14334,990
2009-03-31$8.95$7.5040.9%11.7%58.6%17.5%47.1%-14.9%6.4%127.1K-12.3M-97.7K0.6810.92221542,26134,056