TSM Options History — May 2009

In May 2009, TSM traded between $10.01 and $11.84. ATM implied volatility averaged 46.9%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 14.0% (HV 20d: 60.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2009-05-15: Highest Volume — 9,669 contracts
  • 2009-05-07: Largest IV spike — 25.5% change
  • 2009-05-07: Highest IV Rank — 29.1%
  • 2009-05-06: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.65$10.01$11.84$10.78$10.94
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV46.9%40.5%55.5%51.3%40.8%
Expected Move13.0%11.6%14.8%14.7%11.7%
HV 20d60.9%48.3%63.8%48.3%55.6%
HV 60d57.9%56.3%59.6%56.3%56.5%
IV Rank22.0%16.4%29.1%25.8%16.4%
IV Percentile48.6%25.8%79.0%66.3%25.8%
Term Structure5.4%-8.3%18.7%-8.3%11.2%
VWIV43.7%22.9%52.0%51.0%41.1%
Skew 25d7.0%-7.9%24.1%14.5%13.8%
Skew 10d17.0%-12.6%49.0%49.0%44.4%
Call IV 25d39.9%25.3%48.6%34.4%25.3%
Put IV 25d46.8%39.2%56.5%48.9%39.2%
Bid-Ask Spread %16.0710.1428.1820.1528.18
Gamma HHI0.830.770.950.870.82
Net GEX777.1K454.1K2.2M696.8K772.8K
Net DEX-25.1M-42.3M-16.0M-28.6M-29.4M
Net VEX-145.2K-157.5K-132.4K-154.4K-132.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.203.240.701.52
Total Volume1,806.05579,669892459
Total OI86,759.8580,37091,57384,86084,226

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$10.78$10.0051.3%14.7%48.3%25.8%51.0%14.5%-8.3%696.8K-28.6M-154.4K0.7020.1552436854,27330,587
2009-05-04$11.84$10.0052.1%12.5%58.1%26.4%44.8%13.4%-2.6%454.1K-42.3M-144.7K0.5715.842,9601,69054,46030,686
2009-05-05$11.16$10.0049.5%14.0%59.6%24.4%45.8%6.1%-0.0%580.8K-34.2M-150.7K1.5420.039941,53156,51232,050
2009-05-06$11.05$10.0044.2%14.8%57.6%20.1%52.0%6.7%-3.4%615.9K-32.8M-150.9K3.2410.608562,77156,50431,572
2009-05-07$10.39$10.0055.5%13.5%62.6%29.1%47.2%-3.6%13.2%645.0K-19.9M-157.5K0.3613.812,08175256,73434,225
2009-05-08$10.44$10.0050.7%13.6%62.1%25.3%47.3%-0.8%8.0%696.5K-21.9M-155.9K2.5121.6031679257,04134,070
2009-05-11$10.37$10.0051.9%13.6%62.0%26.3%47.4%-1.4%4.6%731.4K-22.8M-150.1K1.8023.8323442257,20633,743
2009-05-12$10.15$10.0051.3%14.1%62.0%25.8%49.3%-4.7%-0.5%822.0K-18.6M-148.1K0.2610.141,23532157,27634,016
2009-05-13$10.01$10.0055.2%13.1%61.8%28.9%45.6%-7.7%4.4%880.3K-16.0M-146.1K0.9212.0634131557,47734,096
2009-05-14$10.30$10.0046.7%13.4%62.5%22.1%46.7%-3.1%12.4%883.0K-21.0M-146.7K0.8712.4021018357,28134,131
2009-05-15$10.02$10.0041.8%12.0%63.5%18.2%41.8%-7.9%3.7%2.2M-16.6M-141.1K0.3711.967,0532,61657,22634,111
2009-05-18$10.55$10.0044.8%12.8%63.5%20.6%43.8%8.5%18.7%642.7K-19.4M-147.2K0.2112.981,08623151,23029,140
2009-05-19$10.64$10.0041.8%12.0%63.4%18.2%32.9%11.7%4.7%599.5K-23.6M-143.8K0.3613.891,87767252,07531,826
2009-05-20$10.52$10.0040.5%11.6%63.8%17.2%40.5%20.1%3.7%737.8K-23.8M-141.4K2.4312.2235285453,49729,732
2009-05-21$10.41$10.0044.1%12.6%63.8%20.0%44.1%24.1%10.1%714.1K-19.6M-145.4K1.3412.8210714353,70329,676
2009-05-22$10.53$10.0041.1%11.8%63.5%16.7%41.1%9.4%9.6%721.8K-23.4M-142.1K0.7813.80322553,73229,732
2009-05-26$10.76$10.0044.7%12.8%63.7%19.5%44.7%13.7%1.7%719.2K-26.7M-135.8K0.2015.5261212453,71629,742
2009-05-27$10.92$10.0042.9%12.3%63.7%18.1%43.0%8.9%8.1%735.4K-29.3M-135.3K0.6121.0733320454,10629,793
2009-05-28$11.14$10.0047.6%13.6%57.4%21.9%22.9%18.2%8.2%718.8K-32.0M-135.0K2.3018.5813531054,17029,824
2009-05-29$10.94$10.0040.8%11.7%55.6%16.4%41.1%13.8%11.2%772.8K-29.4M-132.4K1.5228.1818227754,18330,043