TSM Options History — July 2010

In July 2010, TSM traded between $9.79 and $10.57. ATM implied volatility averaged 30.1%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.2% (HV 20d: 22.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2010-07-19: Highest Volume — 18,732 contracts
  • 2010-07-09: Largest IV spike — 114.3% change
  • 2010-07-09: Highest IV Rank — 100.0%
  • 2010-07-14: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.16$9.79$10.57$9.79$10.10
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV30.1%14.9%79.8%27.3%19.9%
Expected Move6.5%4.2%7.9%7.8%5.7%
HV 20d22.9%19.1%27.9%27.9%23.2%
HV 60d30.1%28.4%31.7%31.7%28.4%
IV Rank29.8%0.9%100.0%34.3%8.4%
IV Percentile32.5%0.4%100.0%30.6%7.5%
Term Structure4.8%-2.3%18.1%-2.3%3.6%
VWIV24.4%15.1%38.0%30.5%19.9%
Skew 25d6.2%-10.0%24.4%-3.3%24.4%
Skew 10d21.9%-10.1%50.0%-1.4%50.0%
Call IV 25d24.7%18.1%36.1%36.1%25.4%
Put IV 25d30.9%18.5%49.7%32.9%49.7%
Bid-Ask Spread %18.8010.9331.9011.8122.79
Gamma HHI0.920.840.980.840.96
Net GEX1.7M463.4K3.9M463.4K2.5M
Net DEX-15.8M-30.3M7.6M7.6M-19.7M
Net VEX-109.3K-122.2K-97.2K-97.5K-112.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.0127.470.231.67
Total Volume2,522.4763118,7326464
Total OI70,234.85743,71380,51667,20364,938

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$9.79$10.0027.3%7.8%27.9%34.3%30.5%-3.3%-2.3%463.4K7.6M-97.5K0.2311.81521239,80227,401
2010-07-02$9.89$10.0025.3%7.3%25.9%29.0%30.7%0.5%0.5%561.1K6.7M-97.2K0.0311.4112,89341939,78327,413
2010-07-06$9.84$10.0032.8%7.7%24.8%48.7%27.0%7.8%3.7%1.2M-2.6M-113.0K0.1315.671,11014051,33927,567
2010-07-07$10.00$10.0026.2%4.9%25.2%31.6%21.5%-0.6%10.0%1.8M-14.3M-116.7K0.4513.001707652,19627,343
2010-07-08$10.09$10.0029.7%4.2%25.3%41.1%15.1%1.9%16.4%1.9M-16.7M-114.2K0.4416.071175152,23827,225
2010-07-09$10.15$10.0063.7%6.8%24.0%100.0%38.0%-10.0%1.8%851.1K-6.8M-113.9K2.7114.279826652,31927,190
2010-07-12$10.07$10.0050.9%4.9%24.3%74.1%15.2%-1.6%14.3%1.5M-12.9M-107.0K1.3518.208211152,33527,086
2010-07-13$10.14$10.0079.8%4.5%24.3%100.0%15.6%-8.2%18.1%1.3M-10.8M-102.5K0.1713.932,34039252,28727,074
2010-07-14$10.15$10.0014.9%7.9%19.1%0.9%27.6%18.0%2.8%2.5M-24.5M-104.2K0.2117.422,87661051,93426,945
2010-07-15$10.15$10.0026.9%7.7%19.1%19.2%26.9%6.8%2.5%2.3M-24.4M-104.5K0.6916.7362943452,34427,467
2010-07-16$9.92$10.0023.9%6.9%20.6%14.6%23.9%6.1%5.5%3.9M781.8K-102.0K4.7610.9319592952,66527,851
2010-07-19$10.13$10.0025.5%7.3%21.9%17.1%25.5%22.7%1.8%588.4K-7.4M-97.7K0.0113.9018,49024228,89514,818
2010-07-20$10.30$10.0025.5%7.3%22.1%17.0%25.5%17.2%-0.5%1.6M-21.2M-119.0K0.0418.432,5029047,23515,014
2010-07-21$10.10$10.0023.3%6.7%21.1%13.6%23.3%23.3%3.0%1.8M-19.5M-122.2K0.2623.15651749,68615,058
2010-07-22$10.38$10.0023.6%6.8%23.2%14.2%23.5%8.7%2.9%1.8M-25.6M-118.2K27.4722.442326,37349,73015,075
2010-07-23$10.46$10.0022.8%6.5%21.7%12.9%22.8%0.4%2.6%1.6M-28.5M-113.5K0.1324.74771049,91815,040
2010-07-26$10.57$10.0025.8%7.4%21.8%17.5%26.0%2.2%0.7%1.6M-30.3M-108.8K0.2824.592637449,94115,040
2010-07-27$10.44$10.0025.0%7.2%22.5%16.3%24.7%1.2%-0.6%1.6M-28.8M-110.8K0.1026.342582549,90014,998
2010-07-28$10.46$10.0020.4%5.8%20.4%9.2%24.1%7.1%8.9%1.8M-28.9M-108.7K5.0427.082613149,93214,978
2010-07-29$10.18$10.0018.7%5.4%23.0%6.6%0.0%6.2%5.2%2.3M-24.8M-110.4K1.2131.90141749,93115,001
2010-07-30$10.10$10.0019.9%5.7%23.2%8.4%19.9%24.4%3.6%2.5M-19.7M-112.8K1.6722.79244049,94214,996