TSM Options History — December 2010

In December 2010, TSM traded between $11.11 and $12.69. ATM implied volatility averaged 21.2%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 8.3% (HV 20d: 29.5%). 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 19 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2010-12-03: Highest Volume — 11,699 contracts
  • 2010-12-14: Largest IV spike — 34.7% change
  • 2010-12-14: Highest IV Rank — 28.0%
  • 2010-12-06: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.11$11.11$12.69$11.11$12.54
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV21.2%14.9%31.7%20.1%21.6%
Expected Move6.3%4.9%7.2%5.8%6.2%
HV 20d29.5%23.4%33.0%27.3%23.4%
HV 60d23.7%22.6%24.8%22.6%23.0%
IV Rank12.4%2.9%28.0%10.7%13.0%
IV Percentile27.4%1.2%83.3%19.4%28.2%
Term Structure1.5%-5.3%13.5%-1.6%4.2%
VWIV23.9%19.4%42.6%19.4%21.7%
Skew 25d23.1%-4.1%64.2%5.4%36.1%
Skew 10d32.2%-9.0%93.5%16.2%58.4%
Call IV 25d23.9%14.4%26.7%20.7%26.2%
Put IV 25d47.0%19.8%89.5%26.1%62.3%
Bid-Ask Spread %49.4710.4166.4710.4120.48
Gamma HHI0.890.490.980.490.92
Net GEX543.7K-18.8K757.5K-18.8K679.4K
Net DEX-21.2M-28.5M-6.3M-6.3M-26.1M
Net VEX-145.5K-165.1K-80.7K-83.8K-161.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.0012.134.250.03
Total Volume1,854.7735411,69963320
Total OI54,17433,98359,97133,98359,714

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$11.11$10.0020.1%5.8%27.3%10.7%19.4%5.4%-1.6%-18.8K-6.3M-83.8K4.2510.41125115,91518,068
2010-12-02$11.54$10.0018.8%5.4%30.2%8.7%20.6%8.9%-5.3%29.5K-8.4M-83.1K0.1210.801,11213315,91918,111
2010-12-03$11.97$10.0017.1%4.9%31.1%6.3%28.9%15.5%13.5%82.5K-10.9M-80.7K0.0815.0610,86883116,50818,155
2010-12-06$11.89$10.0018.0%7.2%31.1%7.6%24.7%-4.1%-0.9%281.3K-14.9M-112.3K0.1863.346,4911,17725,54318,835
2010-12-07$11.83$10.0014.9%6.3%30.4%2.9%22.5%10.6%1.7%411.2K-17.5M-133.2K0.0064.985,0982431,67419,866
2010-12-08$11.91$10.0018.3%6.3%30.2%8.0%25.9%10.9%2.2%505.1K-19.4M-150.2K0.0766.412,53617135,61619,865
2010-12-09$12.03$10.0017.9%6.1%30.2%7.5%21.5%4.7%1.2%615.0K-22.7M-159.1K0.6162.1743726538,08919,915
2010-12-10$12.08$10.0017.8%6.2%29.3%7.3%21.8%49.1%1.7%609.6K-22.7M-158.9K0.0162.01164238,33319,899
2010-12-13$11.90$10.0023.5%6.1%30.0%15.8%22.2%-3.4%1.3%597.6K-21.8M-157.1K0.1366.472543438,38419,900
2010-12-14$11.91$10.0031.7%6.2%30.0%28.0%42.6%13.6%1.1%605.2K-21.2M-157.9K1.0860.50616638,54319,902
2010-12-15$12.12$10.0022.1%6.3%29.2%13.7%22.1%52.3%1.6%648.8K-22.7M-156.6K0.0058.54197038,55819,906
2010-12-16$12.32$10.0022.5%6.4%29.4%14.3%22.5%44.2%1.6%678.1K-24.7M-160.2K0.1062.271,10710638,57319,906
2010-12-17$12.69$10.0022.8%6.5%30.5%14.8%22.8%33.1%1.9%701.7K-28.5M-165.1K1.3865.371,3171,81739,17919,982
2010-12-20$12.33$10.0022.6%6.5%33.0%14.5%22.7%-3.0%0.8%713.0K-26.0M-159.5K0.1357.975707439,23517,575
2010-12-21$12.39$10.0021.4%6.1%33.0%12.7%21.4%-2.9%1.7%729.7K-26.3M-160.6K0.0058.93427039,67617,629
2010-12-22$12.30$10.0021.4%6.1%29.7%12.6%21.4%-2.8%1.8%736.0K-25.3M-159.8K0.0759.639737139,74817,629
2010-12-23$12.23$10.0022.9%6.6%29.3%14.8%22.8%57.7%0.9%757.5K-24.9M-158.9K12.1344.431682,03740,21117,673
2010-12-27$12.31$10.0024.3%7.0%29.3%16.9%24.2%58.4%0.6%632.7K-24.1M-161.1K0.4447.8132814540,16419,617
2010-12-28$12.24$10.0023.4%6.7%28.3%15.7%30.7%-0.3%0.2%646.6K-23.8M-159.6K0.6945.74322240,29319,678
2010-12-29$12.31$10.0023.2%6.7%28.0%15.4%23.2%60.3%0.7%654.2K-23.9M-161.3K0.2442.88982440,27719,678
2010-12-30$12.40$10.0021.1%6.0%26.2%12.2%21.1%64.2%2.6%665.7K-24.7M-161.2K0.0142.141,179640,20919,678
2010-12-31$12.54$10.0021.6%6.2%23.4%13.0%21.7%36.1%4.2%679.4K-26.1M-161.0K0.0320.48312840,03619,678