TSM Options History — October 2010

In October 2010, TSM traded between $10.20 and $10.91. ATM implied volatility averaged 21.6%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.1% (HV 20d: 21.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2010-10-12: Highest Volume — 7,178 contracts
  • 2010-10-04: Largest IV spike — 51.7% change
  • 2010-10-13: Highest IV Rank — 22.6%
  • 2010-10-14: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.43$10.20$10.91$10.25$10.91
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV21.6%16.3%28.1%16.3%17.0%
Expected Move6.7%4.7%7.7%4.7%4.9%
HV 20d21.6%15.0%28.7%28.7%15.3%
HV 60d23.2%22.1%24.6%24.2%22.2%
IV Rank12.9%5.0%22.6%5.0%6.1%
IV Percentile26.6%3.6%58.7%3.6%6.0%
Term Structure2.3%-0.8%9.5%9.5%3.6%
VWIV22.7%15.3%26.7%17.9%15.3%
Skew 25d5.1%-30.7%16.5%-30.7%2.9%
Skew 10d22.3%-6.1%48.3%15.2%0.4%
Call IV 25d24.8%19.1%48.6%48.6%19.1%
Put IV 25d29.9%17.9%41.7%17.9%22.0%
Bid-Ask Spread %45.1315.1268.0417.4164.21
Gamma HHI0.750.470.970.970.66
Net GEX390.2K-91.9K1.5M1.5M-91.9K
Net DEX-8.4M-15.3M-1.7M-10.6M-4.7M
Net VEX-79.1K-90.8K-72.1K-90.8K-72.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.008.830.230.80
Total Volume1,019.524547,178543,504
Total OI37,582.61927,75546,78646,69229,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$10.25$10.0016.3%4.7%28.7%5.0%17.9%-30.7%9.5%1.5M-10.6M-90.8K0.2317.41441029,96816,724
2010-10-04$10.21$10.0024.7%7.0%27.0%17.6%24.5%16.5%1.2%924.9K-8.9M-90.8K0.1018.754134030,01016,720
2010-10-05$10.41$10.0017.5%7.0%25.1%6.9%0.0%10.9%1.8%561.0K-13.2M-85.5K0.0418.983561629,85716,715
2010-10-06$10.30$10.0018.3%6.8%25.7%8.1%0.0%2.3%1.9%908.3K-11.7M-86.9K0.0019.43554229,84716,711
2010-10-07$10.28$10.0017.5%6.7%25.7%6.8%23.3%1.9%2.5%967.7K-11.5M-86.5K0.4116.9626110629,90016,711
2010-10-08$10.36$10.0016.5%6.9%25.6%5.3%24.0%11.8%1.0%573.8K-12.9M-82.9K0.5019.11462330,04016,746
2010-10-11$10.34$10.0018.4%7.5%22.1%8.2%26.2%14.2%-0.8%543.0K-13.5M-82.3K0.7715.1213410330,05216,732
2010-10-12$10.27$10.0019.6%6.9%22.2%9.9%24.1%1.8%1.8%917.1K-12.4M-82.7K3.3020.571,6685,51030,00316,632
2010-10-13$10.43$10.0028.1%7.5%22.6%22.6%26.3%11.8%-0.1%337.2K-15.3M-78.1K8.8361.901201,06030,46914,866
2010-10-14$10.37$10.0026.7%7.7%22.7%20.6%26.7%12.8%-0.8%710.9K-14.6M-76.6K0.2218.36491130,37113,806
2010-10-15$10.34$10.0024.3%7.0%22.6%17.0%24.3%14.5%1.6%544.3K-14.9M-75.4K0.0660.902,48115130,36413,816
2010-10-18$10.30$10.0023.1%6.6%22.1%15.2%23.1%16.2%3.3%-16.7K-2.1M-76.0K0.4467.812028814,72213,056
2010-10-19$10.20$10.0025.0%7.2%21.5%18.0%25.0%3.1%0.2%-19.3K-1.7M-75.6K0.5565.45422314,61713,138
2010-10-20$10.33$10.0024.6%7.1%21.3%17.4%0.0%0.4%0.9%-20.4K-2.1M-75.6K0.0165.66179214,63413,161
2010-10-21$10.41$10.0026.4%7.6%20.4%20.1%0.0%9.4%-0.6%-24.6K-2.8M-75.6K2.4264.998320114,65013,163
2010-10-22$10.60$10.0025.9%7.4%18.2%19.5%26.0%3.4%0.2%-24.9K-4.0M-74.5K2.1768.045812614,69813,198
2010-10-25$10.68$10.0022.0%6.3%17.7%13.6%17.9%5.4%8.4%-13.4K-4.6M-74.4K0.3565.28863014,75413,239
2010-10-26$10.62$10.0026.0%7.4%16.9%19.5%25.8%3.2%0.4%-23.3K-4.6M-73.5K0.1565.83871314,79313,234
2010-10-27$10.65$10.0017.0%4.9%15.9%6.1%15.5%-2.9%7.5%-19.5K-4.6M-72.1K1.2066.811,5671,88714,80413,242
2010-10-28$10.76$10.0018.6%5.3%15.0%8.4%20.3%-1.9%3.9%-84.5K-5.2M-73.0K0.8566.07403414,81015,118
2010-10-29$10.91$10.0017.0%4.9%15.3%6.1%15.3%2.9%3.6%-91.9K-4.7M-72.5K0.8064.211,9481,55614,02115,123