TSM Options History — February 2012

In February 2012, TSM traded between $13.84 and $14.69. ATM implied volatility averaged 18.2%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 5.1% (HV 20d: 23.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.44.

Notable Days

2012-02-15: Highest Volume — 3,316 contracts
2012-02-28: Largest IV spike — 36.5% change
2012-02-07: Highest IV Rank — 31.7%
2012-02-17: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.26	$13.84	$14.69	$14.19	$14.52
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	18.2%	12.8%	24.8%	17.2%	21.0%
Expected Move	4.9%	3.7%	6.1%	4.9%	6.0%
HV 20d	23.3%	19.6%	26.1%	24.5%	23.4%
HV 60d	27.1%	24.9%	28.2%	27.8%	24.9%
IV Rank	15.2%	1.4%	31.7%	12.7%	22.1%
IV Percentile	8.4%	1.2%	25.0%	4.8%	15.9%
Term Structure	7.7%	0.8%	11.9%	6.9%	0.8%
VWIV	21.6%	11.8%	32.8%	22.1%	27.2%
Skew 25d	18.8%	3.8%	103.1%	4.8%	10.3%
Skew 10d	20.4%	4.4%	130.5%	6.4%	9.6%
Call IV 25d	15.4%	11.3%	21.3%	16.3%	21.3%
Put IV 25d	34.2%	19.6%	124.1%	21.1%	31.6%
Bid-Ask Spread %	26.83	8.97	42.65	8.97	33.88
Gamma HHI	0.46	0.36	0.61	0.39	0.61
Net GEX	273.2K	190.1K	382.7K	222.5K	382.7K
Net DEX	-6.8M	-10.9M	-4.8M	-6.2M	-8.2M
Net VEX	-68.7K	-77.1K	-62.3K	-63.4K	-74.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	3.68	0.03	0.24
Total Volume	540.2	42	3,316	402	506
Total OI	27,231.2	25,229	30,014	25,364	29,138

Daily Data (20 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
2012-02-01	$14.19	$12.50	17.2%	4.9%	24.5%	12.7%	0.0%	4.8%	6.9%	222.5K	-6.2M	-63.4K	0.03	8.97	392	10	13,725	11,639
2012-02-02	$13.91	$12.50	17.1%	4.9%	25.5%	12.4%	0.0%	3.8%	3.8%	190.1K	-5.0M	-62.9K	0.26	8.98	531	138	13,580	11,649
2012-02-03	$14.05	$12.50	20.0%	4.9%	25.6%	19.6%	22.1%	9.5%	9.8%	203.5K	-5.6M	-64.5K	0.83	25.67	52	43	13,891	11,736
2012-02-06	$13.99	$12.50	21.4%	4.6%	25.4%	23.1%	0.0%	9.4%	10.3%	196.9K	-5.1M	-62.9K	0.31	24.43	32	10	13,880	11,779
2012-02-07	$14.05	$12.50	24.8%	4.9%	24.8%	31.7%	21.5%	9.4%	8.2%	200.7K	-5.3M	-63.2K	0.13	24.90	226	30	13,893	11,779
2012-02-08	$14.19	$12.50	21.9%	4.6%	23.0%	24.6%	0.0%	11.1%	9.0%	218.4K	-6.2M	-62.9K	0.03	25.69	158	4	13,972	11,809
2012-02-09	$14.28	$12.50	16.0%	4.6%	22.8%	9.5%	20.6%	12.8%	9.5%	230.1K	-6.5M	-62.3K	0.42	26.10	120	51	14,067	11,809
2012-02-10	$13.84	$12.50	14.9%	4.3%	25.3%	6.8%	27.2%	4.1%	8.4%	193.6K	-4.8M	-62.4K	3.68	25.62	34	125	14,084	11,840
2012-02-13	$14.11	$12.50	16.6%	4.8%	26.1%	11.1%	0.0%	9.9%	8.5%	208.2K	-5.9M	-63.3K	0.18	26.80	114	21	14,094	11,960
2012-02-14	$14.18	$12.50	16.2%	4.6%	24.7%	10.1%	32.8%	13.4%	11.9%	202.0K	-5.9M	-64.3K	0.77	26.10	226	175	14,083	11,968
2012-02-15	$14.32	$12.50	18.2%	5.2%	23.2%	15.2%	0.0%	10.6%	9.7%	202.1K	-7.1M	-64.2K	0.23	40.44	2,702	614	14,244	11,976
2012-02-16	$14.53	$12.50	20.2%	5.8%	21.1%	20.2%	20.2%	89.3%	3.2%	296.1K	-9.1M	-73.9K	0.02	29.45	2,564	63	16,407	12,171
2012-02-17	$14.62	$12.50	21.3%	6.1%	19.6%	23.0%	21.4%	6.6%	3.2%	379.0K	-10.9M	-77.1K	1.14	28.29	485	552	17,799	12,215
2012-02-21	$14.38	$12.50	21.0%	6.0%	20.7%	22.2%	21.0%	103.1%	2.1%	337.4K	-7.3M	-75.9K	0.21	31.59	122	26	16,477	12,354
2012-02-22	$14.48	$12.50	16.6%	4.7%	20.6%	11.0%	21.5%	15.1%	10.8%	361.0K	-7.6M	-75.8K	0.05	24.81	116	6	16,465	12,358
2012-02-23	$14.14	$12.50	13.0%	3.7%	21.8%	2.1%	13.0%	9.0%	9.0%	334.3K	-5.6M	-74.5K	0.10	26.18	80	8	16,510	12,364
2012-02-24	$14.37	$12.50	17.1%	4.9%	22.5%	12.5%	20.9%	14.0%	8.2%	361.3K	-7.1M	-75.3K	0.13	29.63	191	25	16,526	12,367
2012-02-27	$14.39	$12.50	12.8%	3.7%	22.2%	1.4%	11.8%	13.7%	10.0%	370.0K	-7.4M	-74.7K	0.04	26.34	74	3	16,614	12,387
2012-02-28	$14.69	$12.50	17.4%	5.0%	22.9%	13.2%	0.0%	15.5%	10.5%	373.7K	-9.0M	-75.7K	0.00	42.65	175	0	16,631	12,384
2012-02-29	$14.52	$12.50	21.0%	6.0%	23.4%	22.1%	27.2%	10.3%	0.8%	382.7K	-8.2M	-74.5K	0.24	33.88	408	98	16,754	12,384