TSM Options History — November 2010

In November 2010, TSM traded between $10.74 and $11.26. ATM implied volatility averaged 23.3%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.1% (HV 20d: 19.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 12.77.

Notable Days

  • 2010-11-24: Highest Volume — 3,158 contracts
  • 2010-11-04: Largest IV spike — 57.4% change
  • 2010-11-04: Highest IV Rank — 30.6%
  • 2010-11-04: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.00$10.74$11.26$10.89$10.75
Max Pain$10.71$10.00$12.50$10.00$10.00
ATM IV23.3%16.9%33.4%21.2%23.6%
Expected Move6.2%4.9%9.6%6.1%6.8%
HV 20d19.2%13.4%24.6%15.1%24.6%
HV 60d22.6%21.9%23.4%21.9%22.6%
IV Rank15.5%6.0%30.6%12.3%15.9%
IV Percentile36.3%5.6%89.3%20.6%36.1%
Term Structure4.0%-7.9%14.3%1.2%-1.1%
VWIV19.0%11.8%24.5%21.4%20.3%
Skew 25d3.5%-4.8%14.7%4.8%4.1%
Skew 10d5.1%-3.4%25.8%4.9%5.0%
Call IV 25d19.0%12.6%25.1%21.8%23.5%
Put IV 25d22.5%17.0%28.5%26.6%27.7%
Bid-Ask Spread %42.9610.1967.2365.9315.72
Gamma HHI0.530.460.690.600.69
Net GEX-37.8K-112.4K9.8K-62.4K-112.4K
Net DEX-6.8M-8.4M-4.5M-5.7M-4.5M
Net VEX-74.3K-87.0K-67.6K-74.4K-86.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.770.00156.900.160.07
Total Volume383.90563,15814631
Total OI30,984.1929,52433,96629,71833,966

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$10.89$10.0021.2%6.1%15.1%12.3%0.0%4.8%1.2%-62.4K-5.7M-74.4K0.1665.931262014,98114,737
2010-11-02$10.84$10.0021.1%6.0%14.1%12.2%21.4%0.2%3.0%-76.6K-5.3M-74.2K1.8564.7718434014,93614,742
2010-11-03$10.93$10.0021.2%6.1%13.4%12.4%0.0%3.1%-2.1%-87.6K-5.8M-73.1K0.5065.364214,93014,601
2010-11-04$11.26$10.0033.4%9.6%16.3%30.6%0.0%14.7%-7.9%-24.6K-7.4M-71.5K0.2663.6981721214,93014,594
2010-11-05$11.18$10.0026.1%5.6%16.8%19.8%0.0%4.2%10.4%-3.3K-7.8M-74.1K0.1766.615218615,66114,658
2010-11-08$11.00$10.0027.6%6.1%18.1%21.9%18.6%0.8%4.4%-22.6K-7.4M-72.7K0.1367.231662115,91014,634
2010-11-09$11.14$12.5029.1%6.0%18.0%24.2%19.6%3.7%6.7%-2.8K-7.9M-72.7K0.2466.851012416,02314,655
2010-11-10$11.25$12.5028.4%5.2%17.7%23.1%0.0%4.0%8.4%9.8K-8.4M-70.8K1.5066.06101516,10214,658
2010-11-11$11.06$12.5018.9%5.4%18.9%8.9%16.5%0.6%4.0%-6.2K-7.9M-71.4K13.7543.29811016,09214,668
2010-11-12$11.05$12.5019.4%5.6%18.8%9.7%19.4%3.7%11.2%-17.7K-7.3M-73.4K29.8544.381338816,10014,765
2010-11-15$11.06$12.5024.1%6.9%18.7%16.7%0.0%4.0%5.7%-12.4K-7.8M-71.7K0.0065.71252016,11114,731
2010-11-16$10.86$12.5022.1%6.3%19.7%13.8%0.0%2.3%6.2%-46.5K-6.7M-73.6K1.6766.81427016,33914,731
2010-11-17$10.89$10.0020.8%6.0%19.3%11.7%0.0%0.7%7.4%-35.0K-6.6M-74.0K0.0045.2420016,34814,739
2010-11-18$11.04$10.0022.9%6.6%19.7%14.9%24.5%3.0%5.1%-21.8K-7.4M-72.9K0.0513.712941516,36814,739
2010-11-19$11.08$10.0016.9%4.9%18.8%6.0%11.8%7.4%14.3%992-8.0M-70.6K0.0611.851801016,46414,744
2010-11-22$11.13$10.0019.8%5.7%18.8%10.3%18.6%12.6%0.4%-29.4K-7.2M-67.6K1.6010.198413415,83914,467
2010-11-23$10.74$10.0027.1%7.8%23.0%21.3%0.0%-4.8%-6.7%-72.6K-5.5M-72.2K10.1014.652020215,89214,599
2010-11-24$11.00$10.0020.2%5.8%24.4%10.9%0.0%3.0%4.2%-23.9K-7.0M-69.0K156.9013.79203,13815,88514,745
2010-11-26$11.00$10.0021.2%6.1%24.2%12.3%0.0%3.2%8.2%-41.8K-5.5M-87.0K0.0014.24019415,89517,800
2010-11-29$10.81$10.0023.5%6.7%24.6%15.8%20.3%-1.6%-0.1%-105.6K-4.7M-87.0K36.6016.00518315,89517,994
2010-11-30$10.75$10.0023.6%6.8%24.6%15.9%0.0%4.1%-1.1%-112.4K-4.5M-86.4K0.0715.7229215,90018,066