TSM Options History — February 2011

In February 2011, TSM traded between $12.12 and $13.66. ATM implied volatility averaged 23.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.9% (HV 20d: 21.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.78.

Notable Days

2011-02-10: Highest Volume — 3,948 contracts
2011-02-02: Largest IV spike — 32.7% change
2011-02-22: Highest IV Rank — 22.1%
2011-02-22: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.91	$12.12	$13.66	$13.21	$12.29
Max Pain	$13.68	$12.50	$15.00	$12.50	$12.50
ATM IV	23.6%	17.7%	27.7%	17.7%	22.6%
Expected Move	6.7%	5.1%	8.0%	5.1%	6.5%
HV 20d	21.7%	19.2%	24.9%	24.8%	22.8%
HV 60d	25.5%	24.9%	26.1%	25.3%	24.9%
IV Rank	15.9%	7.1%	22.1%	7.1%	14.4%
IV Percentile	48.7%	11.5%	79.4%	11.5%	38.9%
Term Structure	1.5%	-6.6%	9.9%	4.9%	3.2%
VWIV	24.2%	18.8%	27.9%	20.2%	22.5%
Skew 25d	5.8%	-14.6%	37.7%	-4.2%	37.7%
Skew 10d	13.5%	-8.3%	50.2%	-5.4%	50.2%
Call IV 25d	22.2%	17.1%	30.4%	20.6%	24.5%
Put IV 25d	28.1%	15.8%	62.2%	16.4%	62.2%
Bid-Ask Spread %	48.71	15.35	89.79	68.67	65.47
Gamma HHI	0.76	0.67	0.81	0.72	0.81
Net GEX	791.0K	678.2K	932.5K	756.3K	748.8K
Net DEX	-25.0M	-33.6M	-15.5M	-27.8M	-16.7M
Net VEX	-162.0K	-170.8K	-151.3K	-160.8K	-159.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.03	6.84	0.25	0.12
Total Volume	552.526	84	3,948	1,347	148
Total OI	52,802.579	50,387	54,281	50,387	53,103

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$13.21	$12.50	17.7%	5.1%	24.8%	7.1%	20.2%	-4.2%	4.9%	756.3K	-27.8M	-160.8K	0.25	68.67	1,074	273	38,840	11,547
2011-02-02	$13.34	$12.50	23.4%	6.7%	24.9%	15.7%	0.0%	-5.2%	-6.6%	757.0K	-30.1M	-161.7K	6.84	65.98	38	260	39,799	11,736
2011-02-03	$13.36	$12.50	19.2%	5.5%	23.2%	9.4%	25.8%	-0.9%	4.9%	764.1K	-30.1M	-161.9K	0.18	66.96	126	23	39,824	11,965
2011-02-04	$13.62	$15.00	20.9%	6.2%	19.8%	11.9%	0.0%	9.2%	9.9%	733.2K	-31.8M	-163.7K	0.04	89.79	316	12	39,848	11,978
2011-02-07	$13.66	$15.00	24.3%	6.6%	19.2%	17.0%	27.9%	-14.6%	-4.9%	751.3K	-33.6M	-151.3K	0.56	75.91	354	200	39,966	11,978
2011-02-08	$13.42	$15.00	23.7%	5.6%	20.1%	16.1%	18.8%	-2.8%	2.3%	774.4K	-30.8M	-158.3K	0.05	85.34	204	10	40,116	12,072
2011-02-09	$13.09	$15.00	23.2%	6.7%	21.3%	15.3%	0.0%	4.2%	2.8%	808.5K	-28.1M	-160.3K	0.35	22.30	62	22	40,263	12,082
2011-02-10	$12.84	$15.00	25.4%	7.3%	22.0%	18.7%	0.0%	5.9%	0.7%	868.7K	-24.5M	-162.8K	0.50	18.14	2,633	1,315	40,265	12,094
2011-02-11	$12.94	$15.00	25.1%	7.2%	22.1%	18.3%	25.2%	14.0%	0.5%	859.2K	-25.8M	-170.8K	0.08	19.63	297	25	40,882	13,227
2011-02-14	$12.89	$15.00	23.9%	6.9%	20.1%	16.5%	24.0%	4.6%	1.4%	872.2K	-25.8M	-166.2K	0.10	16.51	162	16	40,811	13,211
2011-02-15	$12.82	$15.00	24.3%	7.0%	20.0%	17.0%	0.0%	4.9%	1.1%	905.8K	-24.4M	-166.5K	0.22	20.06	219	49	40,838	13,225
2011-02-16	$12.89	$15.00	23.4%	6.7%	20.2%	15.7%	23.4%	3.7%	2.9%	855.2K	-25.5M	-166.1K	0.10	15.35	262	25	40,793	13,268
2011-02-17	$13.07	$12.50	23.5%	6.7%	19.8%	15.9%	0.0%	1.9%	2.7%	816.6K	-26.7M	-165.0K	0.03	20.59	343	11	40,967	13,293
2011-02-18	$12.81	$12.50	22.4%	6.4%	21.0%	14.1%	22.4%	5.6%	1.7%	932.5K	-23.7M	-161.8K	0.21	15.88	403	86	40,977	13,304
2011-02-22	$12.41	$12.50	27.7%	8.0%	22.7%	22.1%	27.8%	3.5%	-2.7%	731.5K	-19.2M	-157.7K	3.86	65.63	141	544	39,354	13,202
2011-02-23	$12.28	$12.50	26.3%	7.5%	22.3%	20.0%	26.3%	2.4%	0.8%	682.8K	-17.7M	-163.2K	0.42	66.46	222	93	39,327	13,291
2011-02-24	$12.12	$12.50	25.0%	7.2%	22.4%	18.0%	25.0%	36.7%	2.7%	678.2K	-15.5M	-158.8K	0.50	65.61	255	127	39,471	13,309
2011-02-25	$12.29	$12.50	25.9%	7.4%	23.1%	19.3%	25.9%	4.6%	0.8%	732.6K	-17.2M	-160.7K	0.37	61.13	108	40	39,619	13,404
2011-02-28	$12.29	$12.50	22.6%	6.5%	22.8%	14.4%	22.5%	37.7%	3.2%	748.8K	-16.7M	-159.9K	0.12	65.47	132	16	39,668	13,435