TSM Options History — June 2010

In June 2010, TSM traded between $9.43 and $10.36. ATM implied volatility averaged 30.0%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 2.4% (HV 20d: 32.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 4.03.

Notable Days

  • 2010-06-01: Highest Volume — 13,169 contracts
  • 2010-06-15: Largest IV spike — 39.9% change
  • 2010-06-28: Highest IV Rank — 52.7%
  • 2010-06-21: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.94$9.43$10.36$9.85$9.76
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV30.0%23.0%34.4%30.5%29.9%
Expected Move8.8%7.0%9.9%8.7%8.6%
HV 20d32.4%28.4%38.1%38.1%28.4%
HV 60d30.7%29.2%31.8%29.2%31.7%
IV Rank38.8%20.9%52.7%39.1%41.1%
IV Percentile44.9%12.3%73.4%42.1%44.8%
Term Structure-0.9%-7.3%8.1%8.1%1.2%
VWIV31.2%19.5%43.1%30.5%27.0%
Skew 25d7.7%-10.9%65.9%31.5%-2.8%
Skew 10d11.4%-9.6%56.9%45.1%-0.1%
Call IV 25d30.8%21.9%37.0%32.6%31.6%
Put IV 25d38.5%26.0%95.0%64.0%28.7%
Bid-Ask Spread %17.1410.8228.4418.4328.44
Gamma HHI0.730.430.830.620.83
Net GEX368.2K-154.1K675.5K-154.1K458.6K
Net DEX33.4K-9.1M7.3M5.2M6.2M
Net VEX-110.2K-120.3K-97.7K-97.7K-98.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.030.0036.660.000.79
Total Volume1,990.520113,16913,169201
Total OI63,093.09146,75368,47046,75367,059

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$9.85$10.0030.5%8.7%38.1%39.1%30.5%31.5%8.1%-154.1K5.2M-97.7K0.0018.4313,1482122,22524,528
2010-06-02$10.08$10.0031.4%9.0%34.1%41.3%31.4%27.6%4.2%245.8K-1.6M-118.3K0.4022.161797235,18824,547
2010-06-03$9.91$10.0029.6%8.5%34.3%37.0%29.6%32.9%6.4%243.3K-896.8K-114.9K2.2418.585121,14835,35024,599
2010-06-04$9.62$10.0029.1%8.8%35.2%35.8%25.5%-7.5%-3.4%195.3K2.5M-110.0K23.0615.241132,60635,74925,658
2010-06-07$9.43$10.0023.0%9.3%35.5%20.9%37.4%-10.9%-6.2%93.9K7.3M-104.7K0.7312.5456140935,78327,610
2010-06-08$9.51$10.0023.4%8.8%32.0%21.8%43.1%-6.4%-4.8%179.3K5.9M-103.8K6.8117.0811477635,96725,820
2010-06-09$9.56$10.0028.5%8.0%32.0%34.4%26.2%11.7%3.7%248.6K3.8M-106.2K4.2819.217532135,99826,119
2010-06-10$9.79$10.0028.2%8.1%33.3%33.7%34.3%-4.3%-0.9%286.3K2.4M-109.9K0.5016.9041020736,04825,496
2010-06-11$9.80$10.0026.3%7.5%33.3%28.9%30.9%65.9%1.6%332.8K2.6M-108.6K0.2713.593,55497036,20525,613
2010-06-14$9.85$10.0024.5%7.0%30.6%24.6%19.5%9.6%1.9%516.9K-1.4M-113.5K0.8017.2391673339,58626,224
2010-06-15$10.27$10.0034.3%9.8%33.8%48.3%33.9%3.1%-6.7%500.8K-6.3M-120.3K0.4812.911,23158740,22626,849
2010-06-16$10.31$10.0033.7%9.6%32.4%46.8%29.8%4.2%-7.3%545.5K-8.7M-118.9K36.6614.75672,45640,85227,052
2010-06-17$10.29$10.0033.1%9.5%32.4%45.4%32.1%5.8%-2.5%496.0K-9.1M-117.4K3.3913.0225987840,90327,016
2010-06-18$10.20$10.0034.0%9.8%31.6%47.7%34.1%6.9%-3.1%675.5K-8.5M-117.7K0.6413.8541926840,99727,473
2010-06-21$10.36$10.0034.4%9.9%31.6%48.6%34.2%2.2%-1.7%420.8K-5.5M-116.1K0.9315.4753650136,11825,591
2010-06-22$10.09$10.0031.6%9.1%32.3%42.0%31.6%2.5%-0.1%470.1K-1.7M-111.8K2.7310.8219051836,55225,570
2010-06-23$10.15$10.0032.9%9.4%32.3%44.9%33.0%3.0%-1.7%450.6K-1.8M-111.9K0.1316.801,68221136,53225,917
2010-06-24$9.94$10.0027.5%7.9%33.0%34.8%23.4%-4.2%-2.2%457.2K1.5M-109.2K3.2617.668527737,84626,028
2010-06-25$10.02$10.0032.7%9.4%29.2%48.5%33.0%0.1%-1.7%487.1K1.3M-108.8K0.0119.127771137,86126,262
2010-06-28$10.04$10.0034.3%9.8%28.6%52.7%34.4%1.4%-3.1%508.3K1.1M-106.1K0.3816.723,3991,30337,87626,273
2010-06-29$9.81$10.0027.7%7.9%29.7%35.3%32.7%-3.1%-1.9%442.2K6.4M-99.9K0.1326.5196112939,64327,239
2010-06-30$9.76$10.0029.9%8.6%28.4%41.1%27.0%-2.8%1.2%458.6K6.2M-98.9K0.7928.441128939,73327,326