TSM Options History — September 2010

In September 2010, TSM traded between $9.47 and $10.28. ATM implied volatility averaged 22.0%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 4.3% (HV 20d: 26.3%). 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 21 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2010-09-28: Highest Volume — 4,615 contracts
  • 2010-09-08: Largest IV spike — 39.7% change
  • 2010-09-28: Highest IV Rank — 17.6%
  • 2010-09-07: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.82$9.47$10.28$9.58$10.14
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV22.0%14.5%24.7%18.0%21.3%
Expected Move6.6%4.2%7.5%5.2%6.1%
HV 20d26.3%19.7%30.1%19.7%29.1%
HV 60d23.2%22.1%24.2%22.7%24.2%
IV Rank13.6%2.4%17.6%7.6%12.5%
IV Percentile21.3%0.8%35.7%6.3%16.7%
Term Structure2.9%0.6%10.6%10.6%3.2%
VWIV22.9%15.5%25.9%16.8%21.3%
Skew 25d17.6%1.1%67.9%52.6%14.7%
Skew 10d29.8%0.5%109.4%63.8%61.7%
Call IV 25d27.3%20.7%48.7%27.2%28.9%
Put IV 25d44.9%24.3%116.6%79.8%43.6%
Bid-Ask Spread %20.1813.7346.9815.8427.58
Gamma HHI0.960.950.980.950.96
Net GEX690.5K393.6K1.2M448.0K894.9K
Net DEX-2.9M-9.5M1.3M100.6K-8.6M
Net VEX-88.8K-98.2K-79.0K-83.9K-92.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.0016.610.280.88
Total Volume616.905364,615303282
Total OI45,48043,92948,22943,92946,529

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$9.58$10.0018.0%5.2%19.7%7.6%16.8%52.6%10.6%448.0K100.6K-83.9K0.2815.842376628,90815,021
2010-09-02$9.47$10.0014.5%4.2%19.8%2.4%15.5%3.5%9.5%400.6K1.3M-80.9K0.1613.791232029,07915,082
2010-09-03$9.77$10.0017.2%6.7%22.7%6.4%23.5%23.8%3.2%577.3K-2.0M-87.5K0.0018.89209029,18215,102
2010-09-07$9.50$10.0015.8%7.5%24.6%4.2%25.9%2.2%1.6%393.6K655.9K-79.1K0.5020.47804029,32915,102
2010-09-08$9.52$10.0022.0%6.9%24.7%13.6%24.2%3.8%2.5%455.1K842.6K-79.0K0.1613.881242029,36015,107
2010-09-09$9.51$10.0023.9%6.8%23.7%16.4%24.5%3.6%2.9%431.4K769.7K-79.6K0.6917.561147929,46615,117
2010-09-10$9.48$10.0024.6%7.0%23.6%17.4%24.7%67.9%2.2%428.2K820.5K-79.3K0.0814.181331029,53715,133
2010-09-13$9.86$10.0023.7%6.8%27.6%16.1%23.7%3.6%2.9%896.2K-2.8M-84.7K0.1013.751972029,52315,140
2010-09-14$9.93$10.0022.1%6.3%27.6%13.8%22.1%28.2%3.6%904.7K-4.2M-85.2K0.2515.881624029,68815,130
2010-09-15$9.88$10.0024.5%7.0%27.4%17.3%24.5%29.2%1.4%899.8K-3.6M-84.7K1.0313.731,5951,63729,80815,128
2010-09-16$9.96$10.0024.0%6.9%27.2%16.5%24.0%28.3%1.9%918.2K-4.7M-98.2K0.1118.893494031,39116,703
2010-09-17$9.91$10.0024.4%7.0%26.7%17.1%24.4%1.1%1.2%1.2M-4.5M-97.5K0.8019.221139031,52616,703
2010-09-20$10.07$10.0024.4%7.0%27.2%17.1%24.4%24.8%1.5%631.6K-5.3M-96.8K0.2015.662134328,84016,443
2010-09-21$9.90$10.0022.6%6.5%28.1%14.4%22.6%2.7%3.0%669.0K-3.7M-95.5K0.3524.372739628,98916,460
2010-09-22$9.80$10.0021.0%6.0%27.7%12.1%21.0%2.9%2.7%719.9K-2.1M-93.8K2.2621.927717429,16516,543
2010-09-23$9.66$10.0021.3%6.1%28.1%12.6%21.4%1.1%2.3%628.0K-378.1K-90.7K1.2026.46516129,22416,703
2010-09-24$9.98$10.0024.2%6.9%30.1%16.9%24.2%32.6%1.2%681.6K-4.2M-95.6K0.0016.01487029,23916,764
2010-09-27$9.89$10.0024.4%7.0%29.4%17.1%24.4%4.8%1.7%733.9K-4.0M-93.8K0.0620.3034229,50516,764
2010-09-28$10.09$10.0024.7%7.1%28.6%17.6%24.7%32.3%1.4%896.9K-5.5M-93.9K16.6146.982624,35329,53616,766
2010-09-29$10.28$10.0023.4%6.7%29.0%15.7%23.2%6.3%0.6%729.1K-9.5M-92.9K0.3128.4380324629,57716,768
2010-09-30$10.14$10.0021.3%6.1%29.1%12.5%21.3%14.7%3.2%894.9K-8.6M-92.4K0.8827.5815013229,81816,711