TSM Options History — August 2009

In August 2009, TSM traded between $10.16 and $10.95. ATM implied volatility averaged 36.7%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.4% (HV 20d: 36.3%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2009-08-26: Highest Volume — 1,538 contracts
  • 2009-08-26: Largest IV drop — 14.5% change
  • 2009-08-14: Highest IV Rank — 16.4%
  • 2009-08-14: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.48$10.16$10.95$10.58$10.70
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV36.7%31.5%41.1%34.7%33.4%
Expected Move10.6%9.0%11.8%10.0%9.6%
HV 20d36.3%31.5%41.1%34.5%31.5%
HV 60d37.8%34.4%40.5%40.5%34.4%
IV Rank12.9%8.7%16.4%11.3%10.2%
IV Percentile16.5%6.7%27.4%13.1%9.1%
Term Structure-0.6%-13.4%3.6%2.3%3.0%
VWIV36.1%28.2%41.1%34.7%33.4%
Skew 25d13.7%6.4%25.9%6.4%7.5%
Skew 10d30.9%11.1%55.2%41.1%34.9%
Call IV 25d28.5%22.5%38.4%28.7%27.0%
Put IV 25d42.2%32.0%64.0%35.0%34.6%
Bid-Ask Spread %15.579.9929.1329.1325.32
Gamma HHI0.970.851.000.980.93
Net GEX402.3K-185.9K830.6K457.8K-83.9K
Net DEX-9.4M-18.6M1.1M-12.2M-2.5M
Net VEX-23.8K-34.5K-4.6K-29.1K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.003.760.340.08
Total Volume509.714551,53872455
Total OI25,283.2387,71531,25828,02515,738

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$10.58$10.0034.7%10.0%34.5%11.3%34.7%6.4%2.3%457.8K-12.2M-29.1K0.3429.1354018419,4968,529
2009-08-04$10.47$10.0036.6%10.5%34.9%12.8%36.5%6.9%1.8%490.0K-11.2M-30.9K0.0620.151,4088119,7218,505
2009-08-05$10.28$10.0035.2%10.1%35.1%11.6%35.2%20.2%2.9%635.5K-9.7M-33.5K1.4116.6914119920,9368,544
2009-08-06$10.16$10.0037.9%10.9%35.5%13.8%37.9%25.9%-0.5%610.4K-8.4M-33.4K0.1114.501,29113620,9828,606
2009-08-07$10.23$10.0035.1%11.0%34.3%11.6%37.8%8.1%-0.6%695.2K-9.6M-34.5K0.0213.41155321,6178,650
2009-08-10$10.21$10.0037.9%10.9%33.6%13.8%38.0%25.6%-0.1%720.9K-9.3M-32.3K1.4713.978812921,4998,652
2009-08-11$10.22$10.0036.3%10.4%33.6%12.5%36.3%10.1%1.0%716.6K-10.1M-31.7K0.129.991241521,4778,744
2009-08-12$10.42$10.0037.4%10.5%33.9%13.4%36.7%10.8%1.8%636.8K-12.6M-29.7K0.0014.3057021,5308,733
2009-08-13$10.95$10.0037.8%10.8%37.8%13.7%28.2%14.5%1.1%141.4K-18.6M-20.6K0.2012.724569121,5428,733
2009-08-14$10.56$10.0041.1%11.8%40.5%16.4%41.1%12.1%-4.0%479.1K-15.9M-24.0K0.1012.452082021,6508,694
2009-08-17$10.35$10.0037.5%10.8%41.1%13.5%37.2%20.3%1.0%807.4K-12.0M-26.5K0.2411.893037421,8118,714
2009-08-18$10.40$10.0040.9%11.7%40.4%16.3%37.5%21.6%-3.4%696.7K-14.7M-23.1K3.7612.5824290921,7608,744
2009-08-19$10.31$10.0039.2%11.2%37.4%14.9%37.1%21.4%-0.6%830.6K-13.9M-23.4K1.0213.22464721,6659,536
2009-08-20$10.44$10.0040.4%11.6%37.7%15.8%40.4%21.2%-4.2%446.2K-15.2M-21.9K0.4413.26994421,6629,559
2009-08-21$10.44$10.0038.1%10.9%37.6%14.0%38.1%10.8%-3.2%634.4K-14.5M-21.7K0.1613.964356821,6649,594
2009-08-24$10.78$10.0035.0%10.0%39.2%11.5%35.6%11.3%3.6%-33.3K-3.5M-17.9K2.3415.361794197,8877,361
2009-08-25$10.76$10.0038.8%11.1%39.2%14.6%38.8%12.7%-0.7%-32.1K-3.3M-18.6K1.6616.952213667,9877,468
2009-08-26$10.53$10.0033.2%9.5%39.7%10.0%33.1%6.6%2.7%-50.6K-2.5M-18.9K0.4619.761,0504888,0737,577
2009-08-27$10.54$10.0033.0%9.5%32.2%9.8%32.9%6.7%-13.4%-185.9K1.1M-7.3K0.5617.37156872,4897,104
2009-08-28$10.78$10.0031.5%9.0%31.6%8.7%30.8%7.7%-3.9%-163.9K499.2K-4.6K0.0010.029001,3616,354
2009-08-31$10.70$10.0033.4%9.6%31.5%10.2%33.4%7.5%3.0%-83.9K-2.5M-16.8K0.0825.325147,6618,077