TSM Options History — December 2009

In December 2009, TSM traded between $10.51 and $11.44. ATM implied volatility averaged 24.0%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 1.0% (HV 20d: 25.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.61.

Notable Days

  • 2009-12-04: Highest Volume — 2,912 contracts
  • 2009-12-23: Largest IV spike — 95.2% change
  • 2009-12-10: Highest IV Rank — 31.5%
  • 2009-12-10: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.97$10.51$11.44$10.51$11.44
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV24.0%16.8%34.3%24.3%19.5%
Expected Move7.5%4.8%9.8%7.0%5.6%
HV 20d25.0%20.1%28.9%25.2%20.1%
HV 60d28.7%27.2%29.5%28.3%27.3%
IV Rank11.6%0.0%31.5%0.7%4.9%
IV Percentile5.5%0.0%24.6%0.4%2.4%
Term Structure7.5%-0.2%20.7%11.5%10.8%
VWIV27.0%14.5%34.4%28.6%31.2%
Skew 25d7.1%-9.4%20.2%-0.6%7.2%
Skew 10d14.2%-5.0%35.1%2.7%10.7%
Call IV 25d22.2%16.6%32.0%32.0%20.7%
Put IV 25d29.3%19.7%37.7%31.4%28.0%
Bid-Ask Spread %12.607.7924.1611.107.79
Gamma HHI0.820.480.990.920.48
Net GEX189.3K2.4K442.7K442.7K2.4K
Net DEX-12.5M-15.8M-9.4M-12.5M-10.2M
Net VEX-54.9K-58.3K-51.1K-55.5K-55.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.027.812.560.34
Total Volume475.955222,912160341
Total OI26,965.524,10629,69825,46825,554

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$10.51$10.0024.3%7.0%25.2%0.7%28.6%-0.6%11.5%442.7K-12.5M-55.5K2.5611.104511520,4894,979
2009-12-02$10.86$10.0018.7%5.4%26.6%0.0%18.6%11.2%14.9%315.9K-15.0M-51.3K0.768.571158720,5275,060
2009-12-03$10.59$10.0024.6%7.0%28.5%11.1%31.2%-9.4%-0.2%434.7K-13.1M-54.0K7.8111.659372620,5955,002
2009-12-04$10.80$10.0019.6%9.0%28.9%1.7%31.3%11.6%2.7%305.2K-14.4M-52.6K1.5613.761,1361,77620,6515,706
2009-12-07$10.88$10.0018.3%9.5%28.9%0.0%33.1%-0.5%2.8%241.7K-13.8M-56.0K4.5113.595323920,7417,363
2009-12-08$10.84$10.0017.4%8.8%28.8%0.0%30.2%11.0%4.3%209.7K-13.9M-55.5K0.3515.3969124120,7757,602
2009-12-09$10.90$10.0022.8%9.7%28.7%10.1%33.6%13.4%0.7%224.1K-14.0M-58.3K0.0219.3588221,2387,837
2009-12-10$10.93$10.0034.3%9.8%25.0%31.5%34.4%9.0%1.8%239.5K-14.0M-57.9K0.9318.74726721,2747,839
2009-12-11$10.73$10.0029.7%8.5%26.1%23.0%29.4%9.0%6.6%272.3K-13.5M-57.5K1.5715.526510221,2837,870
2009-12-14$10.83$10.0031.8%9.1%25.9%26.7%0.0%10.1%3.1%242.9K-13.9M-56.7K0.1014.4720221,2967,970
2009-12-15$10.80$10.0032.6%9.3%25.0%28.3%22.1%10.5%3.1%259.5K-13.6M-57.5K0.2214.88551221,2947,972
2009-12-16$10.84$10.0024.7%7.1%24.7%13.6%23.6%5.5%15.6%226.8K-14.2M-54.7K3.7411.795821721,2587,965
2009-12-17$10.80$10.0028.7%8.2%24.6%21.1%27.5%7.7%7.4%248.5K-13.8M-55.4K2.6824.1610528121,2828,175
2009-12-18$11.11$10.0016.8%4.8%23.0%0.0%14.5%6.2%20.7%44.8K-15.8M-51.1K1.408.5425836221,2598,439
2009-12-21$11.15$10.0020.7%5.9%22.9%7.1%20.7%3.0%11.5%59.8K-10.5M-51.5K1.308.4646560316,3537,753
2009-12-22$11.29$10.0017.2%4.9%22.9%0.7%28.8%20.2%12.9%130.7K-9.6M-58.3K0.769.4316312416,5258,296
2009-12-23$11.15$10.0033.6%9.6%23.2%30.8%32.5%16.7%1.6%141.0K-9.4M-57.2K1.6411.267312016,5828,377
2009-12-24$11.27$10.0019.2%5.5%23.3%4.3%21.7%5.2%9.3%33.8K-10.4M-52.7K0.739.19413016,5898,269
2009-12-28$11.16$10.0025.9%7.4%22.7%16.8%27.5%3.0%3.8%59.4K-10.1M-52.8K0.3211.082177016,5768,240
2009-12-29$11.24$10.0024.1%6.9%22.7%13.4%22.0%4.3%10.9%24.4K-10.3M-52.9K1.539.0937256816,6678,299
2009-12-30$11.28$10.0022.6%6.5%22.5%10.5%24.3%2.7%10.2%5.2K-9.8M-54.0K0.529.481326916,5628,858
2009-12-31$11.44$10.0019.5%5.6%20.1%4.9%31.2%7.2%10.8%2.4K-10.2M-55.3K0.347.792558616,6318,923