TSM Options History — November 2009

In November 2009, TSM traded between $9.51 and $10.80. ATM implied volatility averaged 30.8%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.2% (HV 20d: 30.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 7.19.

Notable Days

2009-11-04: Highest Volume — 2,988 contracts
2009-11-18: Largest IV spike — 11.6% change
2009-11-18: Highest IV Rank — 20.2%
2009-11-18: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.25	$9.51	$10.80	$9.58	$10.39
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	30.8%	27.9%	36.1%	34.5%	29.1%
Expected Move	8.9%	8.0%	10.4%	9.9%	8.3%
HV 20d	30.9%	25.0%	33.1%	32.1%	25.0%
HV 60d	28.5%	27.0%	30.1%	29.8%	28.3%
IV Rank	11.7%	7.5%	20.2%	17.5%	10.9%
IV Percentile	6.4%	1.6%	24.2%	15.1%	4.0%
Term Structure	1.7%	-2.4%	4.9%	0.6%	2.2%
VWIV	30.9%	28.3%	36.1%	34.5%	29.2%
Skew 25d	7.9%	-3.2%	36.2%	-3.2%	6.4%
Skew 10d	18.8%	-1.9%	45.2%	-1.7%	40.8%
Call IV 25d	26.5%	22.0%	32.6%	31.2%	28.7%
Put IV 25d	34.4%	26.9%	68.7%	28.0%	35.1%
Bid-Ask Spread %	16.80	11.12	25.67	19.18	14.64
Gamma HHI	0.94	0.89	0.96	0.95	0.94
Net GEX	465.8K	353.6K	583.5K	353.6K	479.4K
Net DEX	-11.8M	-18.1M	-4.0M	-4.7M	-11.3M
Net VEX	-57.7K	-63.3K	-44.5K	-45.3K	-56.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.19	0.00	95.75	1.31	95.75
Total Volume	711.2	49	2,988	351	387
Total OI	28,845.4	24,964	31,648	25,055	25,633

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2009-11-02	$9.58	$10.00	34.5%	9.9%	32.1%	17.5%	34.5%	-3.2%	0.6%	353.6K	-4.7M	-45.3K	1.31	19.18	152	199	20,164	4,891
2009-11-03	$9.51	$10.00	30.6%	8.8%	32.1%	11.1%	30.2%	-3.1%	1.2%	367.3K	-4.0M	-44.5K	0.10	25.67	1,306	137	20,240	5,036
2009-11-04	$9.68	$10.00	30.8%	8.8%	32.5%	11.3%	30.9%	36.2%	2.2%	416.8K	-5.7M	-50.8K	0.08	17.29	2,765	223	21,462	5,087
2009-11-05	$9.79	$10.00	28.5%	8.2%	31.7%	7.5%	28.5%	5.8%	2.9%	515.6K	-8.0M	-58.3K	1.64	21.52	1,014	1,661	24,013	5,248
2009-11-06	$9.79	$10.00	29.4%	9.4%	31.3%	9.1%	32.7%	0.9%	-0.1%	509.6K	-7.3M	-63.1K	0.26	11.12	273	71	24,246	6,485
2009-11-09	$9.95	$10.00	29.0%	9.2%	31.5%	8.4%	32.2%	3.0%	0.5%	559.9K	-8.7M	-63.3K	0.62	11.50	146	91	24,184	6,497
2009-11-10	$10.02	$10.00	32.3%	8.2%	29.8%	13.9%	28.6%	4.0%	4.2%	572.5K	-9.7M	-62.9K	0.13	13.28	642	83	24,184	6,570
2009-11-11	$10.45	$10.00	30.6%	8.7%	33.1%	11.0%	30.3%	14.4%	2.8%	583.5K	-14.6M	-62.9K	0.60	16.77	625	376	24,697	6,579
2009-11-12	$10.45	$10.00	30.2%	8.7%	31.3%	10.4%	30.2%	7.7%	2.4%	508.5K	-15.4M	-61.6K	0.28	14.61	300	83	24,796	6,771
2009-11-13	$10.59	$10.00	33.0%	9.4%	30.1%	14.9%	32.9%	13.2%	-0.2%	463.9K	-16.2M	-61.0K	0.27	15.65	211	57	24,819	6,707
2009-11-16	$10.80	$10.00	34.1%	9.8%	30.5%	16.8%	34.0%	11.5%	-0.8%	375.3K	-18.1M	-59.0K	0.17	20.02	350	60	24,837	6,766
2009-11-17	$10.69	$10.00	32.4%	9.3%	30.9%	14.0%	32.4%	9.4%	0.5%	408.1K	-17.4M	-58.6K	0.04	19.47	315	13	24,863	6,748
2009-11-18	$10.78	$10.00	36.1%	10.4%	29.8%	20.2%	36.1%	12.8%	-2.4%	369.2K	-17.9M	-58.1K	0.35	17.37	57	20	24,872	6,756
2009-11-19	$10.42	$10.00	32.0%	9.2%	32.5%	13.3%	0.0%	7.5%	1.3%	493.7K	-15.5M	-59.3K	0.15	16.57	301	44	24,882	6,766
2009-11-20	$10.39	$10.00	28.6%	8.2%	31.8%	7.7%	28.6%	12.3%	4.4%	501.7K	-15.3M	-59.3K	0.00	12.52	1,432	0	24,798	6,776
2009-11-23	$10.51	$10.00	29.3%	8.4%	32.0%	8.9%	29.2%	4.5%	1.0%	439.5K	-12.3M	-57.2K	0.09	13.05	45	4	20,440	4,524
2009-11-24	$10.41	$10.00	27.9%	8.0%	31.7%	8.4%	28.5%	3.6%	3.8%	459.6K	-11.6M	-57.7K	8.45	17.14	11	93	20,494	4,526
2009-11-25	$10.48	$10.00	28.4%	8.2%	29.9%	9.5%	29.1%	7.0%	3.0%	462.2K	-11.9M	-57.2K	10.38	17.38	32	332	20,505	4,620
2009-11-27	$10.31	$10.00	28.2%	8.1%	29.1%	9.0%	28.3%	3.7%	4.9%	476.1K	-10.6M	-58.2K	23.08	21.33	13	300	20,486	4,940
2009-11-30	$10.39	$10.00	29.1%	8.3%	25.0%	10.9%	29.2%	6.4%	2.2%	479.4K	-11.3M	-56.6K	95.75	14.64	4	383	20,489	5,144