TSM Options History — October 2009

In October 2009, TSM traded between $9.54 and $10.55. ATM implied volatility averaged 32.2%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 3.0% (HV 20d: 29.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2009-10-13: Highest Volume — 13,007 contracts
  • 2009-10-12: Largest IV spike — 27.1% change
  • 2009-10-28: Highest IV Rank — 23.6%
  • 2009-10-28: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.06$9.54$10.55$10.55$9.54
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV32.2%26.8%38.2%34.5%34.7%
Expected Move9.7%8.5%10.9%9.9%10.0%
HV 20d29.2%25.1%33.2%26.3%32.2%
HV 60d30.3%28.0%31.5%30.7%29.8%
IV Rank10.5%2.3%23.6%8.8%17.9%
IV Percentile6.1%0.4%24.6%8.7%15.9%
Term Structure-0.2%-4.0%4.1%4.1%-1.5%
VWIV33.7%29.6%38.2%34.5%34.8%
Skew 25d8.8%-2.5%27.7%4.9%27.7%
Skew 10d15.1%-4.6%48.3%15.0%36.6%
Call IV 25d29.4%23.2%36.6%30.2%35.0%
Put IV 25d38.1%29.5%62.7%35.1%62.7%
Bid-Ask Spread %14.919.2726.5426.5421.27
Gamma HHI0.870.670.950.670.95
Net GEX168.9K-341.3K346.1K82.0K346.1K
Net DEX-4.2M-8.8M2.5M-3.9M-4.8M
Net VEX-24.6K-45.3K-13.6K-13.6K-45.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.009.340.910.19
Total Volume2,105.36426513,007265282
Total OI18,674.512,62628,06212,67325,008

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$10.55$10.0034.5%9.9%26.3%8.8%34.5%4.9%4.1%82.0K-3.9M-13.6K0.9126.541391268,4044,269
2009-10-02$10.35$10.0035.4%10.1%26.8%9.5%35.4%13.9%0.7%90.2K-3.1M-14.1K0.0620.172,7811548,4464,180
2009-10-05$10.42$10.0034.1%10.5%26.8%8.4%36.6%10.5%0.1%166.2K-5.4M-16.9K0.7913.5519815711,1204,287
2009-10-06$10.37$10.0033.6%10.6%25.1%8.0%34.3%0.6%-0.6%164.8K-5.2M-16.9K0.0011.96317011,1264,443
2009-10-07$10.17$10.0032.3%10.6%25.6%6.9%36.9%6.7%-2.1%183.7K-3.8M-17.3K0.2611.501,10228611,3274,443
2009-10-08$9.92$10.0027.6%9.8%26.5%3.0%34.4%15.6%-0.1%206.5K-2.6M-18.5K0.8911.3482273112,0184,690
2009-10-09$10.05$10.0026.8%10.2%26.8%2.3%35.4%7.7%-1.8%206.0K-3.8M-20.1K0.1110.598129012,6355,127
2009-10-12$9.91$10.0034.1%10.3%26.9%8.4%36.0%5.7%-1.7%215.7K-2.7M-20.1K1.5311.6819129313,1725,217
2009-10-13$10.20$10.0036.5%10.5%28.9%10.4%36.6%20.0%-2.0%208.6K-5.1M-20.2K1.9812.844,3618,64613,2255,408
2009-10-14$10.35$10.0027.5%10.3%29.3%2.9%35.8%19.3%0.0%-56.0K-8.8M-22.0K0.2514.592686715,93012,132
2009-10-15$10.06$10.0034.2%9.8%30.6%17.1%34.2%-2.5%-1.5%-341.3K-4.2M-23.5K0.3913.101,54560915,90310,675
2009-10-16$9.83$10.0031.8%9.1%31.3%13.0%31.8%5.5%2.8%-73.1K2.5M-22.9K9.349.275875,48316,48710,550
2009-10-19$9.93$10.0031.3%9.0%31.7%12.2%31.3%2.9%0.2%187.9K-3.2M-22.0K0.1713.915619310,5383,339
2009-10-20$9.93$10.0029.6%8.5%31.3%9.4%29.6%3.3%-0.2%202.4K-3.4M-22.4K0.1513.863,30149810,9323,426
2009-10-21$10.20$10.0029.8%8.6%33.2%9.7%29.8%5.6%1.3%260.3K-5.6M-25.6K0.3018.921,26438012,7583,730
2009-10-22$10.18$10.0031.1%8.9%31.2%11.9%31.2%6.1%-0.4%269.5K-5.9M-27.0K0.3216.0468822013,5064,037
2009-10-23$10.01$10.0031.0%8.9%31.6%11.7%31.0%4.4%0.7%275.5K-5.2M-30.2K1.0719.7116818014,1074,217
2009-10-26$10.02$10.0031.6%9.1%30.1%12.7%31.6%6.7%0.9%282.5K-5.1M-29.8K0.1419.091,63622414,1744,306
2009-10-27$9.87$10.0030.7%8.8%30.1%11.3%30.7%25.3%0.5%290.9K-4.6M-34.8K0.5716.1833819315,2644,469
2009-10-28$9.62$10.0038.2%10.9%30.0%23.6%38.2%-1.0%-4.0%243.7K-3.4M-33.9K0.0710.452,29416315,3354,650
2009-10-29$9.91$10.0031.2%8.9%30.2%12.0%31.2%3.7%-0.1%304.6K-5.8M-44.4K0.0711.443,82124917,0634,766
2009-10-30$9.54$10.0034.7%10.0%32.2%17.9%34.8%27.7%-1.5%346.1K-4.8M-45.3K0.1921.272374520,1264,882