TSM Options History — April 2009

In April 2009, TSM traded between $9.07 and $10.57. ATM implied volatility averaged 51.1%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 7.1% (HV 20d: 58.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2009-04-20: Highest Volume — 10,830 contracts
  • 2009-04-07: Largest IV drop — 26.2% change
  • 2009-04-02: Highest IV Rank — 31.4%
  • 2009-04-06: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.62$9.07$10.57$9.38$10.57
Max Pain$9.76$7.50$10.00$7.50$10.00
ATM IV51.1%41.8%58.4%46.8%48.5%
Expected Move14.9%13.0%17.2%13.4%13.9%
HV 20d58.2%48.7%66.0%59.6%56.8%
HV 60d56.5%53.5%59.9%57.8%56.3%
IV Rank25.6%18.2%31.4%22.2%23.6%
IV Percentile65.8%40.5%85.3%56.0%54.0%
Term Structure-3.2%-7.9%4.2%4.2%-4.6%
VWIV52.0%45.7%60.1%47.3%48.6%
Skew 25d0.6%-16.6%27.7%-7.0%20.9%
Skew 10d4.9%-26.6%62.7%-9.8%62.7%
Call IV 25d49.1%34.8%65.3%47.7%34.8%
Put IV 25d49.7%39.0%74.7%40.7%55.7%
Bid-Ask Spread %16.8710.1032.9913.8817.13
Gamma HHI0.650.410.860.660.86
Net GEX176.1K-70.7K617.8K136.8K617.8K
Net DEX-13.7M-24.5M-4.1M-16.2M-24.5M
Net VEX-117.7K-151.8K-100.4K-100.4K-151.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.068.310.240.11
Total Volume4,155.23831910,8301,0193,568
Total OI80,371.38158,63487,62976,33582,574

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$9.38$7.5046.8%13.4%59.6%22.2%47.3%-7.0%4.2%136.8K-16.2M-100.4K0.2413.8882419542,28034,055
2009-04-02$10.24$7.5058.4%16.7%66.0%31.4%58.7%27.7%-2.0%153.4K-24.2M-105.1K2.0111.383,4937,02142,47034,155
2009-04-03$10.29$10.0055.0%15.6%66.0%28.7%54.3%12.1%-1.4%-29.8K-23.3M-113.0K1.1432.999681,10843,96939,208
2009-04-06$9.80$10.0056.7%17.2%63.9%30.0%60.1%13.7%-7.5%-39.1K-18.1M-110.8K3.4617.679503,29044,49239,837
2009-04-07$9.44$10.0041.8%15.2%61.4%18.2%52.8%21.3%-3.7%-50.7K-14.3M-106.9K8.3119.057055,85844,73240,079
2009-04-08$9.59$10.0047.6%15.5%60.5%22.8%54.4%11.1%-5.2%-28.6K-15.5M-107.3K8.2615.722582,13045,11339,391
2009-04-09$9.82$10.0050.4%14.4%60.6%25.0%50.2%8.6%-0.3%-29.3K-18.3M-110.0K0.2126.792,74556545,15839,345
2009-04-13$9.98$10.0055.3%15.9%60.6%29.0%54.9%-8.8%-6.2%-70.7K-20.4M-108.7K1.3111.821,1551,51145,93439,476
2009-04-14$9.76$10.0055.0%15.8%61.1%28.8%55.0%-13.8%-7.9%-41.6K-17.1M-102.6K2.9310.104021,17844,94139,011
2009-04-15$9.59$10.0052.6%15.1%61.1%26.8%52.4%-16.6%-5.9%15.4K-14.5M-100.9K0.9410.722,6692,52145,20638,515
2009-04-16$9.59$10.0054.3%15.6%61.0%28.2%51.9%-3.9%-6.9%32.5K-12.6M-103.4K0.1315.461,17915846,69740,061
2009-04-17$9.60$10.0050.1%14.4%59.5%24.8%50.0%0.3%-6.2%73.8K-12.8M-102.7K1.9013.973,4316,51947,50740,122
2009-04-20$9.20$10.0052.8%15.1%60.6%27.0%52.8%-11.0%-3.9%206.0K-5.6M-102.1K0.0613.5410,20862234,12124,513
2009-04-21$9.18$10.0050.7%14.5%52.4%25.3%50.7%-10.1%-2.3%358.5K-8.0M-114.7K0.9719.345,4625,31443,37425,016
2009-04-22$9.26$10.0048.2%13.8%52.0%23.3%48.2%-6.4%1.3%368.9K-6.2M-140.0K0.3616.7795033948,62430,287
2009-04-23$9.17$10.0047.6%13.7%52.0%22.8%47.8%-8.8%0.2%377.9K-5.4M-138.6K0.2118.852645548,96130,353
2009-04-24$9.07$10.0051.5%14.8%50.6%26.0%51.6%-11.8%-3.3%364.7K-4.1M-133.6K0.7618.5251639149,11530,350
2009-04-27$9.14$10.0050.4%14.4%50.7%25.0%50.8%13.6%-1.4%379.2K-5.2M-135.8K0.1918.972775249,20530,445
2009-04-28$9.27$10.0045.2%13.0%48.7%20.9%45.7%-3.0%1.1%414.7K-5.7M-132.8K0.0916.186786249,25830,399
2009-04-29$10.08$10.0053.4%15.3%56.7%27.4%53.4%-15.4%-6.2%489.0K-15.5M-149.8K0.0815.517,12554449,03430,416
2009-04-30$10.57$10.0048.5%13.9%56.8%23.6%48.6%20.9%-4.6%617.8K-24.5M-151.8K0.1117.133,20836052,00530,569