TSM Options History — January 2010

In January 2010, TSM traded between $9.99 and $11.58. ATM implied volatility averaged 31.7%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.8% (HV 20d: 25.9%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.46.

Notable Days

2010-01-15: Highest Volume — 4,244 contracts
2010-01-13: Largest IV spike — 32.4% change
2010-01-13: Highest IV Rank — 54.5%
2010-01-07: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.73	$9.99	$11.58	$11.58	$10.16
Max Pain	$9.87	$7.50	$10.00	$7.50	$10.00
ATM IV	31.7%	21.6%	46.5%	22.0%	27.1%
Expected Move	9.1%	7.8%	10.1%	8.4%	7.8%
HV 20d	25.9%	16.8%	32.3%	17.5%	32.2%
HV 60d	27.4%	26.4%	29.6%	27.0%	27.4%
IV Rank	31.0%	8.7%	54.5%	9.6%	24.1%
IV Percentile	22.7%	3.6%	66.7%	3.6%	8.3%
Term Structure	-0.2%	-3.3%	7.4%	-0.9%	3.6%
VWIV	32.1%	27.1%	35.1%	29.7%	27.1%
Skew 25d	1.5%	-5.8%	20.0%	5.9%	20.0%
Skew 10d	6.8%	-8.6%	41.0%	15.2%	41.0%
Call IV 25d	31.7%	20.1%	38.3%	29.0%	28.2%
Put IV 25d	33.1%	28.0%	48.2%	35.0%	48.2%
Bid-Ask Spread %	19.55	12.84	26.15	24.62	19.69
Gamma HHI	0.55	0.47	0.67	0.49	0.66
Net GEX	83.0K	-8.6K	143.3K	-8.6K	48.7K
Net DEX	-5.5M	-11.1M	-26.0K	-10.7M	-591.3K
Net VEX	-64.1K	-68.1K	-56.2K	-56.2K	-64.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.05	7.08	0.06	0.29
Total Volume	1,715.789	351	4,244	2,123	2,822
Total OI	30,088.579	25,829	34,271	25,829	29,796

Daily Data (19 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
2010-01-04	$11.58	$7.50	22.0%	8.4%	17.5%	9.6%	29.7%	5.9%	-0.9%	-8.6K	-10.7M	-56.2K	0.06	24.62	1,999	124	16,821	9,008
2010-01-05	$11.53	$10.00	21.6%	8.8%	16.8%	8.7%	30.9%	4.3%	0.1%	42.2K	-11.1M	-58.5K	0.70	25.54	1,790	1,262	18,287	9,027
2010-01-06	$11.49	$10.00	26.2%	9.0%	16.9%	17.2%	31.8%	3.7%	-1.8%	54.6K	-10.5M	-61.7K	0.68	23.66	1,853	1,251	19,345	9,947
2010-01-07	$11.11	$10.00	30.4%	10.1%	21.2%	25.1%	34.0%	0.9%	0.8%	82.8K	-9.1M	-66.3K	1.51	21.49	140	211	21,324	11,192
2010-01-08	$11.10	$10.00	36.3%	8.5%	21.1%	35.9%	29.8%	3.4%	7.4%	83.2K	-8.5M	-66.3K	0.16	14.53	1,908	309	21,346	11,276
2010-01-11	$11.04	$10.00	36.5%	9.6%	21.2%	36.2%	29.7%	-1.8%	0.3%	82.5K	-8.5M	-66.1K	6.34	25.99	303	1,920	22,539	11,544
2010-01-12	$10.70	$10.00	35.1%	9.9%	23.1%	33.6%	34.7%	-2.6%	-2.3%	136.3K	-8.1M	-62.8K	0.41	16.01	2,923	1,206	22,597	10,513
2010-01-13	$10.98	$10.00	46.5%	10.0%	24.7%	54.5%	34.4%	-0.4%	-1.9%	125.8K	-9.5M	-67.6K	0.16	19.97	504	83	23,206	10,829
2010-01-14	$10.87	$10.00	32.5%	9.3%	25.0%	28.7%	35.1%	2.4%	0.2%	123.7K	-9.2M	-66.5K	0.05	16.88	457	23	23,239	10,857
2010-01-15	$10.60	$10.00	32.6%	9.3%	26.5%	34.8%	33.6%	-5.5%	-2.7%	143.3K	-8.0M	-64.2K	0.12	15.18	3,799	445	23,393	10,878
2010-01-19	$10.96	$10.00	33.9%	9.7%	29.2%	39.8%	34.9%	10.5%	-3.3%	136.4K	-3.4M	-68.1K	1.27	23.97	437	555	17,557	9,300
2010-01-20	$10.80	$10.00	31.4%	9.0%	27.8%	34.0%	32.6%	-5.8%	0.4%	113.9K	-3.0M	-66.9K	4.17	26.15	212	884	17,676	9,328
2010-01-21	$10.59	$10.00	32.3%	9.3%	28.4%	36.2%	34.0%	-2.2%	-2.1%	96.6K	-2.4M	-65.7K	0.73	20.77	558	405	17,794	9,413
2010-01-22	$10.09	$10.00	31.8%	9.1%	32.1%	34.9%	31.7%	-5.4%	-0.8%	72.4K	-633.8K	-63.4K	0.93	12.84	921	854	18,155	9,514
2010-01-25	$10.15	$10.00	31.6%	9.1%	32.3%	34.6%	31.6%	-5.0%	-0.8%	62.2K	-744.0K	-63.7K	7.08	15.95	77	545	18,509	10,024
2010-01-26	$10.00	$10.00	32.3%	9.3%	31.9%	36.1%	32.3%	-5.3%	0.6%	59.8K	-39.6K	-62.9K	0.20	13.64	674	138	18,564	10,067
2010-01-27	$9.99	$10.00	33.0%	9.5%	31.9%	37.7%	33.0%	3.7%	-3.1%	60.4K	-26.0K	-63.0K	0.95	19.05	206	196	19,091	10,147
2010-01-28	$10.05	$10.00	28.4%	8.1%	31.9%	27.0%	28.4%	6.9%	1.5%	60.9K	-177.0K	-63.1K	1.99	15.58	203	403	19,271	10,309
2010-01-29	$10.16	$10.00	27.1%	7.8%	32.2%	24.1%	27.1%	20.0%	3.6%	48.7K	-591.3K	-64.2K	0.29	19.69	2,187	635	19,306	10,490