TSM Options History — March 2010

In March 2010, TSM traded between $9.86 and $10.55. ATM implied volatility averaged 23.6%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.9% (HV 20d: 20.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.28.

Notable Days

  • 2010-03-24: Highest Volume — 4,687 contracts
  • 2010-03-11: Largest IV spike — 59.8% change
  • 2010-03-11: Highest IV Rank — 26.6%
  • 2010-03-11: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.25$9.86$10.55$9.95$10.49
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV23.6%14.4%28.2%26.0%16.2%
Expected Move7.0%4.1%8.1%7.5%4.6%
HV 20d20.7%19.1%23.2%23.2%20.5%
HV 60d25.7%24.8%26.5%26.5%25.6%
IV Rank16.6%0.0%26.6%21.5%4.1%
IV Percentile9.2%0.0%19.0%10.7%0.4%
Term Structure4.4%-0.5%13.6%1.9%9.9%
VWIV24.4%14.7%28.3%26.0%15.8%
Skew 25d6.8%-24.4%30.3%4.6%-24.4%
Skew 10d16.7%-29.8%45.8%7.2%-29.8%
Call IV 25d26.0%20.3%40.3%29.6%40.3%
Put IV 25d32.9%15.8%65.7%34.1%15.8%
Bid-Ask Spread %14.826.6323.3915.6913.24
Gamma HHI0.700.380.930.860.56
Net GEX259.5K35.8K847.5K367.4K81.2K
Net DEX-2.1M-5.3M1.4M-1.1M-3.4M
Net VEX-92.6K-100.8K-81.7K-81.7K-97.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.0130.460.281.00
Total Volume869.087384,68727038
Total OI39,948.1334,75542,87436,01940,127

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$9.95$10.0026.0%7.5%23.2%21.5%26.0%4.6%1.9%367.4K-1.1M-81.7K0.2815.692115920,81715,202
2010-03-02$9.95$10.0025.3%7.3%23.0%19.9%25.3%30.0%1.2%401.9K-1.0M-81.8K6.2519.673902,43820,94315,151
2010-03-03$9.86$10.0027.1%7.8%22.9%23.9%27.1%5.3%-0.5%328.7K841.3K-86.2K0.6114.2827316621,13817,505
2010-03-04$9.87$10.0022.8%6.5%22.5%13.9%22.7%30.3%2.9%400.6K1.4M-84.8K30.4620.74872,65021,26617,505
2010-03-05$10.13$10.0023.8%7.2%19.7%16.4%25.0%4.2%5.4%389.2K-712.8K-97.0K0.748.6748936421,32720,093
2010-03-08$10.23$10.0024.4%7.8%19.1%17.6%27.3%16.6%3.3%413.2K-1.9M-96.3K0.1213.843133821,60720,018
2010-03-09$10.25$10.0022.0%7.8%19.1%12.1%27.3%5.3%2.8%399.9K-2.7M-96.3K0.6513.3439025321,76320,029
2010-03-10$10.34$10.0017.6%7.7%19.1%1.9%26.9%14.4%3.3%339.6K-4.0M-94.8K1.3511.8470194521,75620,060
2010-03-11$10.50$10.0028.2%8.1%19.4%26.6%28.3%10.7%3.3%110.4K-5.3M-93.9K0.3916.4238214921,78020,700
2010-03-12$10.33$10.0025.6%7.3%19.8%21.2%25.6%13.3%6.8%256.5K-4.2M-93.6K0.3515.712117321,77720,796
2010-03-15$10.14$10.0025.1%7.2%19.8%20.0%25.1%12.3%5.3%518.8K-1.3M-93.4K1.4911.9020230021,72720,783
2010-03-16$10.29$10.0025.8%7.4%19.2%21.7%25.9%4.4%4.8%309.5K-3.6M-92.4K0.8612.141048921,82320,971
2010-03-17$10.42$10.0024.2%6.9%19.3%17.8%24.2%2.4%5.7%146.9K-5.1M-90.9K1.2913.4820226121,82520,936
2010-03-18$10.34$10.0024.1%6.9%19.6%17.6%24.1%9.9%6.0%192.0K-4.4M-91.0K0.2221.011483221,81021,064
2010-03-19$10.09$10.0027.2%7.8%21.6%25.0%27.2%4.4%3.2%847.5K-2.2M-90.6K0.8918.6443038121,86620,316
2010-03-22$10.18$10.0024.4%7.0%21.8%18.2%24.4%4.8%1.0%35.8K1.2M-89.2K0.5215.11814215,90618,849
2010-03-23$10.27$10.0024.0%6.9%21.1%17.2%24.0%12.3%4.3%49.1K525.2K-89.3K0.5319.981276715,91418,874
2010-03-24$10.33$10.0024.4%7.0%21.0%18.3%24.4%7.0%3.4%36.8K-94.3K-89.2K0.0114.804,6295815,99518,940
2010-03-25$10.42$10.0019.4%5.6%20.8%6.1%17.8%0.9%11.5%96.0K-2.7M-99.9K1.6811.7734257620,52418,958
2010-03-26$10.36$10.0024.9%7.1%21.1%19.3%25.0%-1.1%0.6%101.6K-1.6M-100.8K0.7623.3932624720,56819,285
2010-03-29$10.54$10.0025.8%7.4%20.7%21.7%25.7%-0.2%2.5%108.3K-2.6M-100.7K0.476.6321410020,84819,337
2010-03-30$10.55$10.0014.4%4.1%20.7%0.0%14.7%-10.2%13.6%37.9K-4.1M-98.0K1.498.5716524620,99919,329
2010-03-31$10.49$10.0016.2%4.6%20.5%4.1%15.8%-24.4%9.9%81.2K-3.4M-97.2K1.0013.24191920,91619,211