TSM Options History — April 2012

In April 2012, TSM traded between $14.62 and $16.15. ATM implied volatility averaged 23.1%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.6% (HV 20d: 23.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2012-04-20: Highest Volume — 9,602 contracts
2012-04-27: Largest IV drop — 37.6% change
2012-04-17: Highest IV Rank — 39.4%
2012-04-10: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.17	$14.62	$16.15	$15.40	$15.58
Max Pain	$14.50	$12.50	$15.00	$12.50	$15.00
ATM IV	23.1%	15.3%	27.6%	22.3%	17.3%
Expected Move	6.7%	4.4%	8.0%	6.4%	5.0%
HV 20d	23.6%	18.6%	31.6%	23.5%	31.6%
HV 60d	23.3%	21.9%	26.0%	23.7%	26.0%
IV Rank	27.9%	8.5%	39.4%	26.0%	13.6%
IV Percentile	29.7%	4.8%	46.4%	28.6%	11.1%
Term Structure	2.8%	-2.8%	12.8%	3.3%	1.4%
VWIV	23.5%	15.3%	29.0%	22.3%	23.6%
Skew 25d	13.9%	-8.6%	84.0%	3.6%	-8.6%
Skew 10d	24.3%	-1.8%	126.2%	10.8%	3.6%
Call IV 25d	21.2%	12.8%	25.2%	20.5%	19.9%
Put IV 25d	35.1%	11.2%	106.4%	24.2%	11.2%
Bid-Ask Spread %	16.46	5.64	28.19	13.09	6.45
Gamma HHI	0.85	0.57	0.97	0.86	0.73
Net GEX	1.2M	227.1K	4.4M	810.0K	399.7K
Net DEX	-13.0M	-21.3M	-2.8M	-17.6M	-9.3M
Net VEX	-66.9K	-75.3K	-57.6K	-74.2K	-57.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	1.29	0.84	0.52
Total Volume	803.45	82	9,602	142	341
Total OI	32,645.45	25,699	35,919	34,828	26,268

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
2012-04-02	$15.40	$12.50	22.3%	6.4%	23.5%	26.0%	22.3%	3.6%	3.3%	810.0K	-17.6M	-74.2K	0.84	13.09	77	65	20,814	14,014
2012-04-03	$15.22	$12.50	19.6%	5.6%	23.5%	19.2%	19.6%	-1.3%	6.1%	1.1M	-15.7M	-75.3K	0.39	7.82	418	165	20,819	14,016
2012-04-04	$15.00	$12.50	20.3%	5.8%	23.8%	20.9%	20.3%	6.7%	3.5%	1.1M	-12.8M	-73.6K	1.12	9.29	49	55	20,506	13,926
2012-04-05	$15.24	$12.50	20.2%	5.8%	23.9%	20.7%	20.2%	2.9%	4.4%	1.0M	-15.8M	-73.9K	0.00	13.45	1,028	0	20,482	13,939
2012-04-09	$14.86	$15.00	23.8%	7.2%	25.8%	29.8%	21.0%	3.4%	1.4%	1.2M	-12.0M	-69.9K	0.05	19.27	367	18	21,494	13,939
2012-04-10	$14.62	$15.00	23.4%	8.0%	26.0%	28.9%	29.0%	2.4%	0.9%	1.0M	-9.1M	-68.9K	1.29	22.45	133	172	21,795	13,955
2012-04-11	$14.79	$15.00	22.2%	7.4%	23.7%	25.7%	25.7%	4.3%	3.1%	1.3M	-10.4M	-71.6K	1.28	23.09	36	46	21,847	14,072
2012-04-12	$14.92	$15.00	25.6%	7.3%	23.8%	34.2%	25.0%	5.4%	1.8%	1.7M	-12.4M	-71.6K	0.22	21.34	252	56	21,859	14,057
2012-04-13	$15.10	$15.00	26.4%	7.6%	24.0%	36.3%	26.4%	6.8%	1.8%	1.8M	-15.5M	-70.0K	0.74	22.57	57	42	21,854	14,052
2012-04-16	$15.10	$15.00	25.5%	7.3%	23.7%	34.1%	25.5%	61.1%	3.1%	2.1M	-15.9M	-65.4K	0.03	20.82	262	7	21,847	14,052
2012-04-17	$15.21	$15.00	27.6%	7.9%	22.1%	39.4%	27.6%	7.8%	0.3%	2.0M	-20.9M	-62.0K	0.00	25.29	350	0	21,859	14,052
2012-04-18	$15.28	$15.00	25.1%	7.2%	21.5%	33.1%	22.1%	7.5%	2.9%	1.5M	-21.3M	-61.6K	0.38	22.70	445	170	21,845	14,052
2012-04-19	$15.25	$15.00	23.8%	6.8%	20.5%	29.9%	23.9%	7.9%	5.2%	1.6M	-21.0M	-61.3K	0.32	28.19	199	64	21,799	14,054
2012-04-20	$15.11	$15.00	23.5%	6.7%	20.3%	29.0%	23.5%	64.9%	4.1%	4.4M	-18.9M	-62.1K	0.01	24.90	9,540	62	21,845	14,074
2012-04-23	$14.89	$15.00	25.0%	7.2%	21.0%	32.8%	25.0%	3.2%	-0.6%	352.0K	-3.2M	-67.1K	0.53	10.32	240	126	12,876	12,823
2012-04-24	$14.86	$15.00	23.7%	6.8%	18.6%	29.6%	23.7%	84.0%	1.0%	383.2K	-2.8M	-65.4K	0.23	9.07	238	55	12,902	12,897
2012-04-25	$14.91	$15.00	26.0%	7.5%	18.7%	35.3%	26.0%	5.2%	-2.8%	367.4K	-3.5M	-65.9K	0.06	10.38	124	8	13,090	12,898
2012-04-26	$15.82	$15.00	24.5%	7.0%	28.1%	31.5%	24.5%	6.8%	1.6%	286.8K	-10.3M	-61.8K	0.19	13.00	509	98	13,150	12,899
2012-04-27	$16.15	$15.00	15.3%	4.4%	28.6%	8.5%	15.3%	4.4%	12.8%	227.1K	-11.1M	-59.6K	0.38	5.64	141	54	13,293	12,894
2012-04-30	$15.58	$15.00	17.3%	5.0%	31.6%	13.6%	23.6%	-8.6%	1.4%	399.7K	-9.3M	-57.6K	0.52	6.45	225	116	13,374	12,894