TSM Options History — July 2009

In July 2009, TSM traded between $9.18 and $10.77. ATM implied volatility averaged 38.7%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 8.9% (HV 20d: 29.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2009-07-14: Highest Volume — 85,377 contracts
  • 2009-07-06: Largest IV drop — 42.8% change
  • 2009-07-02: Highest IV Rank — 25.4%
  • 2009-07-02: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.89$9.18$10.77$9.44$10.47
Max Pain$10.13$10.00$12.50$10.00$10.00
ATM IV38.7%29.8%52.1%45.4%38.1%
Expected Move11.2%9.0%14.9%13.0%10.9%
HV 20d29.8%22.4%37.7%36.4%34.8%
HV 60d47.1%40.5%49.0%49.0%40.5%
IV Rank14.5%7.3%25.4%19.9%14.0%
IV Percentile21.6%5.6%69.8%36.1%18.7%
Term Structure-1.6%-14.2%4.6%-5.7%-1.4%
VWIV42.7%30.1%88.2%45.4%38.1%
Skew 25d10.9%-7.7%21.9%17.3%16.4%
Skew 10d21.4%-2.7%43.3%26.5%43.3%
Call IV 25d32.1%26.0%40.2%33.0%29.8%
Put IV 25d43.0%29.4%52.3%50.2%46.2%
Bid-Ask Spread %15.968.6831.328.6814.92
Gamma HHI0.830.520.990.720.98
Net GEX387.4K0661.9K337.3K594.9K
Net DEX-6.4M-16.3M613.0K-3.7M-12.5M
Net VEX-55.9K-110.4K0-110.4K-25.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.0015.130.2415.13
Total Volume6,530.85720585,3774675,467
Total OI44,267.714079,26678,79522,943

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$9.44$10.0045.4%13.0%36.4%19.9%45.4%17.3%-5.7%337.3K-3.7M-110.4K0.248.683769147,71431,081
2009-07-02$9.37$10.0052.1%14.9%36.4%25.4%71.9%10.8%-14.2%338.4K-2.7M-104.9K3.0925.0216350347,55931,119
2009-07-06$9.35$12.5029.8%11.2%36.4%7.3%40.7%12.4%-1.1%253.2K-2.8M-103.4K3.0624.514441,35747,52230,834
2009-07-07$9.20$10.0033.9%11.9%36.7%10.6%41.4%2.1%-3.5%262.3K-1.8M-99.6K0.5931.3233919947,53031,196
2009-07-08$9.18$10.0036.0%11.2%34.3%12.3%39.0%4.5%0.3%252.4K-492.1K-96.1K0.0327.671,2233247,61131,367
2009-07-09$9.46$10.0040.1%11.1%36.7%15.6%88.2%-7.7%-1.2%267.1K-3.6M-102.2K0.1217.205046047,26031,373
2009-07-10$9.68$10.0037.2%10.2%37.7%13.3%35.4%-1.0%4.5%275.5K-5.5M-105.1K0.1613.8275112247,51131,387
2009-07-13$9.69$10.0038.0%9.0%34.1%13.9%30.1%13.1%0.6%285.2K-5.9M-100.5K0.1823.2374813647,86631,400
2009-07-14$9.82$10.0038.8%9.5%26.7%14.6%41.6%17.5%-0.1%176.7K613.0K-87.8K0.0014.6085,09827947,33831,390
2009-07-16$9.85$0.0038.4%11.0%22.5%14.3%38.4%3.0%0.4%0001.3013.918911600
2009-07-17$9.93$10.0032.9%9.4%22.4%9.8%34.4%21.2%4.6%1.2K41.6K-2210.1915.344,52187289114
2009-07-20$10.06$10.0041.4%11.9%22.6%16.6%41.4%6.2%-4.0%86.7K-2.2M-9.1K0.0610.7116,7971,0434,324895
2009-07-21$9.87$10.0040.3%11.6%23.7%15.8%40.3%2.9%-3.1%581.9K-9.2M-28.5K0.3013.122,54675920,2121,697
2009-07-22$10.32$10.0039.2%11.2%26.7%14.9%39.3%10.4%-2.8%613.5K-13.4M-30.3K0.2910.153,5581,02521,4512,317
2009-07-23$10.32$10.0038.5%11.0%26.4%14.3%38.5%21.1%-1.5%628.6K-11.7M-30.6K0.2813.821,48142221,0113,309
2009-07-24$10.29$10.0039.6%11.3%24.7%15.2%39.6%21.9%-2.8%634.8K-11.4M-31.1K0.409.2765226321,3813,606
2009-07-27$10.29$10.0039.1%11.2%24.6%14.8%38.8%21.9%-1.4%646.7K-11.8M-29.8K0.4310.361,04144521,3553,491
2009-07-28$10.24$10.0039.1%11.2%24.6%14.8%39.1%8.2%-1.3%626.1K-10.9M-28.7K0.4111.9232613520,7013,815
2009-07-29$10.10$10.0038.7%11.1%25.3%14.5%38.7%17.7%-0.8%661.9K-10.2M-28.0K0.4712.1135016520,6673,118
2009-07-30$10.77$10.0036.3%10.4%32.5%12.5%36.1%9.4%1.5%610.4K-16.3M-22.7K0.2313.422,14850220,8023,266
2009-07-31$10.47$10.0038.1%10.9%34.8%14.0%38.1%16.4%-1.4%594.9K-12.5M-25.7K15.1314.923395,12819,5003,443