TSM Options History — September 2012

In September 2012, TSM traded between $14.18 and $15.82. ATM implied volatility averaged 21.3%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.3% (HV 20d: 21.6%). 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 18 of 19 days. Put/call ratio averaged 0.45.

Notable Days

2012-09-11: Highest Volume — 2,811 contracts
2012-09-10: Largest IV spike — 39.1% change
2012-09-17: Highest IV Rank — 48.0%
2012-09-17: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.91	$14.18	$15.82	$14.38	$15.82
Max Pain	$14.61	$12.50	$15.00	$12.50	$15.00
ATM IV	21.3%	12.9%	26.3%	19.1%	22.9%
Expected Move	6.5%	3.7%	7.5%	5.5%	6.6%
HV 20d	21.6%	18.9%	26.3%	18.9%	26.2%
HV 60d	27.7%	24.1%	29.1%	29.0%	24.1%
IV Rank	31.4%	3.3%	48.0%	23.9%	36.8%
IV Percentile	35.2%	2.0%	58.7%	19.8%	44.0%
Term Structure	2.7%	-0.2%	10.6%	3.5%	2.9%
VWIV	23.2%	16.7%	26.0%	21.5%	22.3%
Skew 25d	12.1%	0.4%	85.1%	1.1%	6.0%
Skew 10d	26.4%	0.6%	127.2%	0.6%	76.2%
Call IV 25d	20.1%	15.4%	22.7%	22.7%	17.1%
Put IV 25d	32.1%	21.8%	105.7%	23.8%	23.1%
Bid-Ask Spread %	10.43	5.80	25.43	14.94	25.43
Gamma HHI	0.80	0.56	0.89	0.67	0.75
Net GEX	444.8K	125.2K	824.1K	206.0K	340.5K
Net DEX	-4.4M	-10.0M	119.3K	-1.5M	-10.0M
Net VEX	-30.0K	-34.7K	-27.3K	-30.1K	-27.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.01	2.42	0.02	0.27
Total Volume	657	69	2,811	93	1,356
Total OI	19,068	17,830	19,890	17,830	19,890

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
2012-09-04	$14.38	$12.50	19.1%	5.5%	18.9%	23.9%	21.5%	1.1%	3.5%	206.0K	-1.5M	-30.1K	0.02	14.94	91	2	8,101	9,729
2012-09-05	$14.18	$12.50	15.8%	4.5%	19.5%	13.1%	16.7%	7.0%	8.8%	125.2K	119.3K	-30.3K	0.34	6.22	68	23	8,148	9,729
2012-09-06	$14.41	$12.50	12.9%	3.7%	20.2%	3.3%	0.0%	9.4%	10.6%	196.1K	-1.1M	-28.9K	0.12	7.48	83	10	8,204	9,747
2012-09-07	$14.51	$15.00	13.2%	6.6%	19.4%	4.5%	22.9%	0.7%	1.7%	258.6K	-1.6M	-28.9K	2.42	10.60	26	63	8,285	9,757
2012-09-10	$14.70	$15.00	18.4%	6.9%	19.6%	21.7%	24.0%	0.8%	1.1%	358.5K	-2.7M	-29.0K	0.03	10.70	240	8	8,286	9,722
2012-09-11	$14.92	$15.00	18.8%	7.3%	19.5%	23.1%	25.6%	3.2%	0.7%	436.5K	-3.8M	-29.7K	0.04	8.22	2,712	99	8,425	9,714
2012-09-12	$14.97	$15.00	22.6%	7.4%	19.5%	35.6%	25.9%	1.3%	0.9%	462.7K	-4.8M	-31.5K	0.09	8.40	468	44	9,557	9,778
2012-09-13	$15.03	$15.00	24.9%	7.1%	19.5%	43.2%	24.8%	2.4%	0.9%	558.2K	-5.6M	-29.7K	0.08	11.50	239	20	9,798	9,760
2012-09-14	$15.36	$15.00	23.8%	6.8%	20.7%	39.8%	23.8%	5.2%	1.3%	481.3K	-7.9M	-29.0K	0.06	10.93	783	44	9,842	9,760
2012-09-17	$14.99	$15.00	26.3%	7.5%	22.8%	48.0%	26.0%	2.6%	-0.2%	618.7K	-5.5M	-30.0K	0.01	7.78	190	2	9,654	9,719
2012-09-18	$15.09	$15.00	23.8%	6.8%	22.8%	39.7%	23.8%	2.8%	2.0%	723.8K	-5.9M	-29.7K	1.54	5.80	134	206	9,699	9,721
2012-09-19	$15.04	$15.00	24.9%	7.1%	22.6%	43.5%	25.0%	2.7%	1.0%	824.1K	-5.4M	-31.2K	0.21	8.56	158	33	9,733	9,867
2012-09-20	$14.80	$15.00	23.8%	6.8%	22.5%	39.7%	21.7%	2.3%	2.4%	673.5K	-3.1M	-30.9K	1.09	7.21	33	36	9,772	9,877
2012-09-21	$14.80	$15.00	21.2%	6.1%	22.4%	30.9%	21.2%	2.7%	4.5%	664.5K	-3.1M	-28.0K	0.04	11.89	2,400	84	9,716	9,878
2012-09-24	$14.83	$15.00	20.8%	6.0%	22.4%	29.6%	20.8%	85.1%	4.2%	391.3K	-3.9M	-30.1K	1.37	9.81	382	522	9,409	9,845
2012-09-25	$14.80	$15.00	21.9%	6.3%	22.4%	33.3%	21.9%	0.4%	2.7%	388.9K	-4.0M	-32.0K	0.60	10.93	376	226	9,762	9,834
2012-09-26	$14.99	$15.00	24.3%	7.0%	22.7%	41.5%	24.3%	80.2%	1.1%	362.2K	-4.8M	-34.7K	0.06	8.68	490	27	9,843	9,893
2012-09-27	$15.60	$15.00	25.3%	7.2%	26.3%	44.5%	25.4%	13.9%	1.0%	379.8K	-8.6M	-29.1K	0.08	13.17	747	58	9,944	9,894
2012-09-28	$15.82	$15.00	22.9%	6.6%	26.2%	36.8%	22.3%	6.0%	2.9%	340.5K	-10.0M	-27.3K	0.27	25.43	1,068	288	9,977	9,913