TSM Options History — February 2010

In February 2010, TSM traded between $9.56 and $10.08. ATM implied volatility averaged 26.3%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 2.4% (HV 20d: 28.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.12.

Notable Days

2010-02-03: Highest Volume — 4,643 contracts
2010-02-11: Largest IV spike — 30.0% change
2010-02-01: Highest IV Rank — 33.6%
2010-02-01: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.84	$9.56	$10.08	$10.08	$9.75
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	26.3%	20.6%	31.2%	31.2%	26.4%
Expected Move	8.0%	6.8%	8.9%	8.9%	7.6%
HV 20d	28.7%	22.2%	33.2%	31.4%	22.2%
HV 60d	27.1%	26.3%	28.4%	27.4%	26.3%
IV Rank	22.2%	8.9%	33.6%	33.6%	22.2%
IV Percentile	9.9%	3.2%	19.0%	19.0%	11.5%
Term Structure	2.0%	-1.1%	5.3%	-0.9%	2.7%
VWIV	27.9%	23.9%	31.2%	31.2%	26.3%
Skew 25d	10.7%	-0.4%	31.8%	25.9%	4.3%
Skew 10d	16.0%	-0.3%	46.7%	44.2%	3.8%
Call IV 25d	28.7%	24.8%	31.9%	31.9%	28.5%
Put IV 25d	39.3%	26.2%	57.9%	57.9%	32.7%
Bid-Ask Spread %	16.34	11.64	21.25	18.62	18.93
Gamma HHI	0.85	0.80	0.94	0.86	0.85
Net GEX	288.6K	124.5K	793.3K	134.3K	303.4K
Net DEX	-948.2K	-3.2M	949.9K	-1.3M	825.1K
Net VEX	-74.5K	-82.0K	-64.9K	-65.5K	-80.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.00	7.34	1.08	0.19
Total Volume	1,045.579	121	4,643	654	258
Total OI	36,908.105	31,567	41,990	31,567	35,941

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
2010-02-01	$10.08	$10.00	31.2%	8.9%	31.4%	33.6%	31.2%	25.9%	-0.9%	134.3K	-1.3M	-65.5K	1.08	18.62	315	339	21,345	10,222
2010-02-02	$9.96	$10.00	28.1%	8.1%	30.7%	26.3%	28.1%	3.3%	1.9%	124.5K	-979.5K	-64.9K	0.27	18.67	766	203	21,418	10,471
2010-02-03	$10.06	$10.00	25.9%	7.4%	31.3%	21.2%	0.0%	26.2%	4.2%	134.7K	-1.5M	-67.3K	0.53	19.67	3,037	1,606	21,883	10,610
2010-02-04	$9.68	$10.00	28.3%	8.1%	33.2%	26.8%	28.1%	6.1%	2.4%	196.9K	-509.9K	-69.3K	1.26	16.42	402	508	24,564	11,426
2010-02-05	$9.56	$10.00	25.1%	8.8%	31.9%	19.2%	30.7%	-0.4%	-0.0%	179.7K	746.1K	-68.0K	1.25	13.51	706	885	24,699	11,756
2010-02-08	$9.61	$10.00	26.4%	8.8%	32.2%	22.3%	30.8%	0.8%	-0.3%	204.0K	-73.7K	-70.2K	0.28	15.34	245	69	25,156	12,082
2010-02-09	$9.60	$10.00	20.6%	8.6%	32.3%	8.9%	30.0%	1.0%	0.9%	213.6K	13.2K	-69.8K	0.03	20.24	804	28	25,314	12,098
2010-02-10	$9.70	$10.00	22.5%	8.8%	31.5%	13.2%	30.8%	17.6%	-1.1%	233.9K	-552.3K	-70.2K	0.49	15.62	81	40	25,794	12,103
2010-02-11	$9.89	$10.00	29.2%	8.4%	30.7%	29.0%	29.2%	17.9%	2.5%	265.0K	-1.7M	-72.7K	3.83	13.52	325	1,244	25,857	12,143
2010-02-12	$9.71	$10.00	28.6%	8.2%	31.0%	27.6%	28.6%	20.9%	1.1%	248.0K	-98.9K	-74.5K	0.00	21.25	1,054	4	26,004	13,326
2010-02-16	$9.91	$10.00	28.3%	8.1%	31.4%	26.9%	28.3%	19.7%	3.3%	323.7K	-1.9M	-77.2K	1.53	12.84	709	1,088	27,038	13,329
2010-02-17	$10.02	$10.00	26.6%	7.6%	28.9%	22.8%	26.6%	1.4%	5.3%	414.6K	-3.0M	-82.0K	0.38	12.78	156	59	27,511	14,369
2010-02-18	$10.06	$10.00	26.1%	7.5%	28.7%	21.6%	26.1%	18.0%	2.8%	459.5K	-3.2M	-81.7K	0.18	12.23	372	68	27,555	14,378
2010-02-19	$10.02	$10.00	24.3%	7.0%	28.1%	17.4%	24.3%	1.5%	3.4%	793.3K	-3.2M	-80.7K	0.39	18.22	737	291	27,643	14,347
2010-02-22	$10.00	$10.00	26.9%	7.7%	22.4%	23.6%	26.9%	1.5%	1.6%	319.1K	-2.3M	-79.7K	7.34	15.90	172	1,262	20,413	13,735
2010-02-23	$9.85	$10.00	25.9%	7.4%	22.8%	21.1%	25.9%	3.7%	1.2%	308.7K	-350.9K	-81.4K	0.73	19.78	438	321	20,471	14,933
2010-02-24	$9.82	$10.00	25.9%	7.4%	22.3%	21.2%	25.9%	1.2%	3.0%	306.3K	23.2K	-81.3K	0.33	11.64	546	182	20,583	14,998
2010-02-25	$9.75	$10.00	23.9%	6.8%	22.4%	16.5%	23.9%	31.8%	4.8%	319.8K	949.9K	-79.7K	1.17	15.20	252	294	20,671	15,068
2010-02-26	$9.75	$10.00	26.4%	7.6%	22.2%	22.2%	26.3%	4.3%	2.7%	303.4K	825.1K	-80.4K	0.19	18.93	216	42	20,725	15,216