TSM Options History — September 2009

In September 2009, TSM traded between $10.42 and $11.13. ATM implied volatility averaged 35.1%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 9.9% (HV 20d: 25.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 6.08.

Notable Days

  • 2009-09-30: Highest Volume — 3,463 contracts
  • 2009-09-08: Largest IV spike — 27.1% change
  • 2009-09-08: Highest IV Rank — 17.1%
  • 2009-09-29: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.82$10.42$11.13$10.56$10.96
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV35.1%32.5%41.9%32.6%33.7%
Expected Move10.1%9.3%11.4%9.3%9.7%
HV 20d25.2%19.7%31.7%31.7%22.2%
HV 60d30.7%28.6%34.5%34.5%29.8%
IV Rank10.3%7.4%17.1%9.5%8.1%
IV Percentile10.7%3.6%30.6%7.5%6.0%
Term Structure1.8%-3.1%11.2%2.3%11.2%
VWIV32.4%21.0%38.6%32.7%26.4%
Skew 25d9.5%1.3%16.7%4.6%15.8%
Skew 10d19.6%-7.7%39.7%14.2%21.9%
Call IV 25d26.0%20.4%32.1%28.5%23.7%
Put IV 25d35.5%32.5%39.5%33.1%39.5%
Bid-Ask Spread %19.5710.4826.5426.5410.48
Gamma HHI0.690.480.970.960.58
Net GEX31.6K-91.4K80.8K-91.4K80.8K
Net DEX-4.2M-5.3M-2.1M-2.1M-4.9M
Net VEX-14.4K-17.6K-12.5K-17.2K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.080.0055.720.460.02
Total Volume709.524613,4635243,463
Total OI15,418.57111,86118,66015,78212,506

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$10.56$10.0032.6%9.3%31.7%9.5%32.7%4.6%2.3%-91.4K-2.1M-17.2K0.4626.543581667,7028,080
2009-09-02$10.61$10.0035.0%10.0%30.9%11.5%35.5%6.2%0.8%-71.1K-2.3M-17.6K0.2324.21159367,8898,013
2009-09-03$10.72$10.0038.7%11.1%30.6%14.5%38.6%8.0%-2.7%-60.7K-2.8M-17.1K0.0023.2913108,0268,023
2009-09-04$10.81$10.0033.0%10.2%30.7%9.8%21.0%12.8%0.2%-57.0K-3.2M-16.4K11.6717.841391,6228,1578,023
2009-09-08$11.06$10.0041.9%10.4%31.4%17.1%36.4%15.3%-0.2%15.3K-4.9M-14.5K33.6017.17752,5208,2697,001
2009-09-09$11.10$10.0032.5%10.8%31.4%9.4%37.8%16.7%-1.6%21.5K-5.2M-14.9K1.3517.76931268,3249,505
2009-09-10$11.13$10.0039.0%11.2%30.9%14.2%22.2%16.4%-1.6%39.6K-5.3M-14.4K0.4817.18189908,3679,518
2009-09-11$10.93$10.0033.8%9.7%26.5%10.1%25.1%4.7%3.4%14.3K-4.9M-14.5K0.0514.74841468,4219,560
2009-09-14$10.79$10.0033.2%9.5%23.3%9.6%33.7%1.3%3.5%20.1K-4.8M-14.8K55.7214.05251,3938,9789,595
2009-09-15$10.91$10.0034.7%9.9%22.2%10.8%28.9%10.1%1.1%59.2K-5.0M-14.3K0.3014.8953168,9789,602
2009-09-16$11.00$10.0037.0%10.6%22.3%12.7%36.8%11.7%-0.9%51.2K-5.2M-14.0K0.0612.807759,0239,606
2009-09-17$10.89$10.0033.0%9.5%22.4%7.5%28.1%2.4%2.8%43.1K-5.1M-13.3K0.8923.5190809,0089,586
2009-09-18$10.87$10.0034.3%9.8%22.1%8.5%34.5%8.1%1.5%72.6K-5.1M-13.6K0.1222.07217259,0349,626
2009-09-21$10.77$10.0034.2%9.8%22.5%8.5%33.8%1.4%3.2%73.6K-4.1M-13.2K2.0423.661132317,7884,073
2009-09-22$10.88$10.0034.4%9.8%19.7%8.6%34.2%9.7%3.3%73.2K-4.3M-12.9K0.0023.4710707,8894,300
2009-09-23$10.77$10.0032.8%9.4%20.0%7.4%32.8%16.2%5.5%74.3K-4.1M-13.2K0.2623.9077207,9224,300
2009-09-24$10.42$10.0033.8%9.7%22.0%8.2%33.9%7.0%3.0%76.9K-2.9M-14.2K19.5713.45831,6247,9444,306
2009-09-25$10.45$10.0033.2%9.5%22.0%7.6%33.0%11.9%4.1%74.1K-3.2M-13.8K0.4821.06208997,9534,285
2009-09-28$10.70$10.0036.0%10.3%22.2%10.0%35.5%8.6%1.8%76.0K-4.3M-12.8K0.1724.645298,0664,211
2009-09-29$10.79$10.0039.6%11.4%22.2%13.0%38.5%10.8%-3.1%77.7K-4.5M-12.8K0.2624.29192508,1134,220
2009-09-30$10.96$10.0033.7%9.7%22.2%8.1%26.4%15.8%11.2%80.8K-4.9M-12.5K0.0210.483,411528,2364,270