TSM Options History — April 2010

In April 2010, TSM traded between $10.50 and $11.25. ATM implied volatility averaged 24.8%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.0% (HV 20d: 23.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2010-04-16: Highest Volume — 3,101 contracts
  • 2010-04-15: Largest IV drop — 68.7% change
  • 2010-04-14: Highest IV Rank — 90.8%
  • 2010-04-30: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.79$10.50$11.25$10.60$10.59
Max Pain$11.43$10.00$12.50$10.00$10.00
ATM IV24.8%16.2%51.8%18.1%29.1%
Expected Move7.0%4.6%8.4%5.2%8.4%
HV 20d23.8%17.8%28.4%20.6%28.2%
HV 60d24.3%22.8%25.9%25.8%23.8%
IV Rank25.2%4.4%90.8%8.6%35.9%
IV Percentile19.1%0.4%95.2%2.4%36.1%
Term Structure6.1%-3.0%17.6%6.8%1.2%
VWIV23.1%15.8%31.6%18.1%17.5%
Skew 25d5.0%-4.3%16.5%-4.1%4.2%
Skew 10d15.0%-8.2%34.2%-8.2%34.2%
Call IV 25d20.7%13.7%29.1%25.5%25.6%
Put IV 25d25.7%16.3%30.9%21.4%29.8%
Bid-Ask Spread %16.557.2025.9612.6425.46
Gamma HHI0.500.460.580.550.57
Net GEX-22.0K-152.8K40.0K40.0K-138.1K
Net DEX-3.6M-7.1M313.1K-3.8M-52.7K
Net VEX-98.1K-103.5K-94.9K-97.4K-103.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.0410.090.083.90
Total Volume896.762493,10155449
Total OI38,008.95233,14540,53240,13839,212

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$10.60$10.0018.1%5.2%20.6%8.6%18.1%-4.1%6.8%40.0K-3.8M-97.4K0.0812.645114320,93019,208
2010-04-05$10.73$12.5021.9%8.0%19.2%17.1%0.0%8.8%3.4%5.0K-5.0M-95.8K0.2919.782025821,03219,180
2010-04-06$10.83$12.5018.3%7.7%19.2%9.0%0.0%8.8%5.3%-34.1K-5.5M-96.0K0.3113.6533410320,99719,168
2010-04-07$10.85$12.5024.9%7.7%19.2%25.0%26.8%2.9%3.9%-1.8K-5.9M-96.7K0.2024.373777721,15719,149
2010-04-08$10.62$12.5020.7%7.7%20.9%15.0%26.9%8.7%4.7%13.5K-4.7M-96.2K0.3120.651133521,15719,149
2010-04-09$10.62$12.5022.0%7.7%20.2%18.4%26.9%7.1%6.1%11.5K-4.5M-96.2K0.8618.5227423721,13319,150
2010-04-12$10.59$12.5029.1%8.0%19.2%35.7%27.9%7.4%5.3%26.1K-4.5M-95.5K1.8320.186531,19421,22319,261
2010-04-13$10.67$12.5032.5%7.5%17.8%44.1%0.0%6.3%4.5%-11.5K-4.7M-94.9K0.0414.771,0494221,11119,120
2010-04-14$11.25$12.5051.8%7.2%25.0%90.8%17.9%16.5%16.0%-7.9K-7.1M-98.5K0.4310.4565528420,98319,103
2010-04-15$11.13$12.5016.2%4.6%25.4%4.4%16.5%0.8%17.6%630-6.8M-97.2K0.228.774189421,00719,286
2010-04-16$10.85$12.5027.2%7.8%27.1%31.1%25.0%5.9%5.4%-20.4K-5.3M-96.5K0.1625.342,68341821,21719,315
2010-04-19$10.84$12.5024.6%7.0%25.3%24.7%18.7%9.0%6.6%-6.1K-2.4M-99.5K0.4925.681226016,82516,341
2010-04-20$10.90$12.5023.9%6.8%25.2%23.1%31.6%-4.3%-3.0%4.3K-2.9M-98.0K0.707.20835816,89716,248
2010-04-21$10.84$10.0021.5%6.2%25.3%17.3%15.8%-4.0%3.0%-2.5K-2.9M-98.0K0.068.688535016,94516,236
2010-04-22$10.97$10.0025.3%7.2%25.5%26.4%31.3%13.2%8.8%14.9K-2.8M-99.7K6.8312.129464217,61716,276
2010-04-23$10.96$10.0017.3%4.9%25.4%7.0%16.9%10.5%1.2%6.2K-3.0M-98.5K1.3610.41567617,62416,817
2010-04-26$10.99$10.0019.3%5.5%25.2%11.9%19.0%1.0%13.8%13.6K-3.6M-97.7K8.707.703162,75017,61516,838
2010-04-27$10.60$10.0028.9%8.3%28.2%35.4%29.1%0.5%1.4%-101.6K-1.1M-100.8K0.8825.9615813917,85519,545
2010-04-28$10.50$10.0026.9%7.7%28.4%30.4%26.5%2.5%3.6%-120.7K138.3K-100.0K10.0924.392182,19917,88619,560
2010-04-29$10.56$10.0021.4%6.1%28.4%17.2%17.5%3.6%13.3%-152.8K313.1K-103.3K1.4110.9143761817,97220,843
2010-04-30$10.59$10.0029.1%8.4%28.2%35.9%0.0%4.2%1.2%-138.1K-52.7K-103.5K3.9025.46103918,33920,873