TSM Options History — May 2010

In May 2010, TSM traded between $9.46 and $10.66. ATM implied volatility averaged 32.7%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.5% (HV 20d: 34.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 3.46.

Notable Days

  • 2010-05-17: Highest Volume — 2,289 contracts
  • 2010-05-07: Largest IV spike — 25.4% change
  • 2010-05-20: Highest IV Rank — 60.7%
  • 2010-05-20: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.92$9.46$10.66$10.66$9.75
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV32.7%25.8%39.4%25.8%29.0%
Expected Move9.3%7.4%11.3%7.4%8.3%
HV 20d34.2%27.9%37.9%27.9%37.9%
HV 60d26.9%22.4%29.7%22.4%29.7%
IV Rank44.6%27.8%60.7%27.8%35.7%
IV Percentile53.7%21.4%83.3%21.4%36.5%
Term Structure3.5%-10.8%7.9%7.4%7.9%
VWIV32.2%20.9%39.3%20.9%29.1%
Skew 25d11.2%-1.1%30.1%6.7%7.6%
Skew 10d20.5%2.2%50.8%33.6%9.5%
Call IV 25d30.8%23.3%37.7%24.0%30.4%
Put IV 25d42.0%30.7%67.9%30.7%38.0%
Bid-Ask Spread %19.3810.0856.1810.0824.48
Gamma HHI0.650.560.750.560.62
Net GEX-191.7K-337.1K-122.2K-133.3K-147.7K
Net DEX4.7M-639.9K7.0M-639.9K5.8M
Net VEX-98.8K-102.2K-92.6K-102.2K-97.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.460.0532.844.830.68
Total Volume703.55702,28970804
Total OI43,279.439,20646,59639,20646,220

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$10.66$10.0025.8%7.4%27.9%27.8%20.9%6.7%7.4%-133.3K-639.9K-102.2K4.8310.08125818,34920,857
2010-05-04$10.09$10.0027.7%7.9%33.7%32.3%27.7%4.2%1.1%-182.3K2.6M-98.9K1.1018.8939043018,35020,886
2010-05-05$9.96$10.0031.9%9.1%33.8%42.5%31.9%30.0%-3.3%-195.5K4.2M-96.7K0.9116.9150245918,63021,185
2010-05-06$9.77$10.0030.5%8.8%33.6%39.2%30.9%13.3%-10.8%-222.8K5.1M-94.4K3.8056.1825898118,53421,593
2010-05-07$9.89$10.0038.3%10.0%34.1%58.1%34.7%5.2%4.2%-192.6K4.7M-97.5K0.5917.6238122318,74522,239
2010-05-10$10.30$10.0031.8%9.6%37.6%42.3%32.9%10.6%4.4%-200.4K2.5M-101.8K0.2419.532806618,97422,428
2010-05-11$10.17$10.0033.7%8.7%37.6%46.9%30.5%6.1%3.4%-211.6K2.5M-100.0K0.2417.57852019,19122,424
2010-05-12$10.23$10.0030.6%8.9%31.7%39.3%30.9%17.9%7.1%-209.3K2.5M-100.9K0.0716.361361019,27622,444
2010-05-13$10.25$10.0028.8%8.3%31.7%35.1%28.8%7.9%6.6%-215.8K2.1M-100.8K32.8416.42321,05119,30922,425
2010-05-14$9.87$10.0033.8%9.7%33.0%47.1%33.8%19.9%1.3%-231.7K5.6M-99.1K6.8914.862251,55019,33723,438
2010-05-17$9.97$10.0032.0%9.2%33.4%42.7%31.2%21.6%6.0%-337.1K6.3M-100.7K0.0517.142,18810119,44524,805
2010-05-18$9.73$10.0034.0%9.8%34.0%47.7%34.0%3.7%2.9%-210.4K6.6M-100.4K3.1920.56319921,60624,892
2010-05-19$9.82$10.0033.0%9.5%34.4%45.3%33.0%5.2%4.9%-217.9K5.8M-101.2K1.5716.857511821,61624,912
2010-05-20$9.63$10.0039.4%11.3%34.1%60.7%39.3%2.6%3.2%-171.4K6.7M-100.3K1.2215.2711313821,65924,902
2010-05-21$9.79$10.0036.4%10.4%35.1%53.6%36.4%23.2%2.6%-226.2K6.3M-100.6K1.2216.8140749821,67124,925
2010-05-24$9.60$10.0034.0%9.7%35.2%47.5%34.0%-1.1%6.6%-130.2K5.7M-97.4K0.4217.382319621,18523,568
2010-05-25$9.57$10.0039.1%11.2%33.5%60.0%39.0%30.1%2.7%-122.2K7.0M-93.7K0.1818.821903521,38523,660
2010-05-26$9.46$10.0035.0%10.0%33.5%50.0%35.0%2.5%5.2%-122.2K6.9M-92.6K8.0818.946552521,47423,684
2010-05-27$9.89$10.0029.8%8.5%37.8%37.5%29.8%7.5%6.2%-153.2K4.8M-99.4K1.1116.8657363521,48423,881
2010-05-28$9.75$10.0029.0%8.3%37.9%35.7%29.1%7.6%7.9%-147.7K5.8M-97.1K0.6824.4848032422,00124,219