TSM Options History — June 2009

In June 2009, TSM traded between $9.08 and $11.49. ATM implied volatility averaged 46.1%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 0.8% (HV 20d: 46.9%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 5.13.

Notable Days

  • 2009-06-16: Highest Volume — 8,349 contracts
  • 2009-06-02: Largest IV spike — 98.0% change
  • 2009-06-22: Highest IV Rank — 28.1%
  • 2009-06-22: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.88$9.08$11.49$11.49$9.41
Max Pain$9.89$7.50$10.00$10.00$10.00
ATM IV46.1%24.0%55.6%24.0%46.0%
Expected Move13.2%6.9%15.9%6.9%13.2%
HV 20d46.9%39.2%57.8%57.8%39.2%
HV 60d55.0%50.0%58.5%57.2%50.0%
IV Rank20.5%2.8%28.1%2.8%20.4%
IV Percentile43.5%2.8%80.6%2.8%37.7%
Term Structure-5.0%-17.0%14.5%14.5%-8.3%
VWIV49.2%29.1%96.4%29.1%46.0%
Skew 25d10.5%-18.6%31.4%29.8%11.9%
Skew 10d21.3%-11.8%64.8%21.6%18.8%
Call IV 25d36.7%20.0%46.5%20.0%34.2%
Put IV 25d47.2%26.9%68.8%49.8%46.1%
Bid-Ask Spread %14.2410.2426.6226.6210.24
Gamma HHI0.790.630.920.730.71
Net GEX610.0K203.6K1.2M593.8K311.0K
Net DEX-11.6M-37.8M3.3M-37.8M-3.7M
Net VEX-117.4K-131.7K-96.8K-128.7K-109.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.130.0233.070.280.51
Total Volume1,982.9553148,3491,282917
Total OI85,521.81876,51895,82684,30478,995

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$11.49$10.0024.0%6.9%57.8%2.8%29.1%29.8%14.5%593.8K-37.8M-128.7K0.2826.6299828454,32729,977
2009-06-02$10.88$10.0047.5%13.6%50.5%21.8%39.4%14.5%8.0%729.8K-28.8M-131.1K0.7413.8382761654,30730,174
2009-06-03$10.38$10.0045.5%13.0%48.9%20.2%45.1%23.9%10.1%867.4K-20.3M-129.8K1.0114.141,1921,20854,62530,151
2009-06-04$10.29$10.0049.2%14.1%48.9%23.2%49.5%7.4%8.8%848.7K-18.9M-131.7K0.9911.1431831455,46930,409
2009-06-05$10.24$7.5042.8%12.4%43.8%18.0%44.4%31.4%-0.8%984.9K-20.1M-128.0K0.6011.1519811855,67630,474
2009-06-08$10.21$10.0046.7%12.9%43.8%21.2%45.4%4.1%-1.8%1.0M-19.0M-124.8K24.1912.521042,51655,11130,446
2009-06-09$10.52$10.0049.1%13.9%45.1%22.9%52.8%6.8%-9.7%821.1K-23.0M-128.3K0.0611.496,33638555,15532,670
2009-06-10$10.44$10.0048.2%14.1%44.4%22.1%46.8%3.2%-11.3%1.1M-25.9M-129.9K2.5212.044451,12161,06932,938
2009-06-11$10.53$10.0048.3%13.8%44.1%22.2%51.9%4.5%-16.1%860.9K-22.3M-124.2K0.5612.1223313054,72933,463
2009-06-12$10.04$10.0042.4%12.2%46.4%17.5%42.5%3.1%-2.0%1.2M-15.0M-119.4K0.7511.4483362554,93833,484
2009-06-15$9.46$10.0045.8%13.1%50.0%20.2%50.2%7.0%-5.6%674.3K-2.8M-110.2K2.6412.276551,72855,25233,918
2009-06-16$9.12$10.0048.7%14.0%47.0%22.6%39.2%5.3%-9.9%203.6K3.3M-96.8K0.0211.178,17617355,44533,777
2009-06-17$9.22$10.0047.3%13.6%47.1%21.5%49.8%3.9%-7.1%313.3K41.8K-113.4K2.9611.136481,91562,14333,478
2009-06-18$9.30$10.0048.5%13.9%47.4%22.4%48.8%10.1%-10.5%315.9K-978.5K-109.4K7.1116.0210071162,09832,848
2009-06-19$9.23$10.0047.8%13.7%47.4%21.8%57.6%19.6%-8.8%295.6K830.7K-107.5K1.0917.8525928362,12433,702
2009-06-22$9.08$10.0055.6%15.9%47.1%28.1%96.4%12.5%-17.0%273.1K-324.8K-104.6K0.3214.671,43846546,35030,496
2009-06-23$9.24$10.0047.8%13.7%46.8%21.8%47.7%19.7%-11.7%279.0K-1.3M-104.7K1.4523.7112818646,01030,508
2009-06-24$9.54$10.0049.0%14.0%48.2%22.8%49.1%-18.6%-13.9%393.8K-4.8M-113.1K0.0716.304,61231945,92930,652
2009-06-25$9.62$10.0043.3%12.4%47.6%18.2%58.7%16.9%-4.6%520.1K-6.4M-117.1K5.9212.6313177649,80830,684
2009-06-26$9.57$10.0043.3%12.4%47.4%18.2%43.3%-7.5%-4.8%476.0K-4.7M-110.6K25.9317.602770047,99430,708
2009-06-29$9.55$10.0047.5%13.6%42.6%21.6%0.0%21.9%-7.6%400.3K-4.2M-108.9K33.0713.151446347,99930,970
2009-06-30$9.41$10.0046.0%13.2%39.2%20.4%46.0%11.9%-8.3%311.0K-3.7M-109.7K0.5110.2460830948,00130,994