TSM Options History — December 2012

In December 2012, TSM traded between $16.75 and $17.19. ATM implied volatility averaged 20.3%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.3% (HV 20d: 19.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.28.

Notable Days

2012-12-17: Highest Volume — 10,531 contracts
2012-12-11: Largest IV spike — 49.9% change
2012-12-27: Highest IV Rank — 39.4%
2012-12-27: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.01	$16.75	$17.19	$17.08	$17.16
Max Pain	$15.13	$15.00	$17.50	$15.00	$15.00
ATM IV	20.3%	12.3%	23.7%	22.0%	23.7%
Expected Move	6.1%	3.9%	6.8%	6.3%	6.8%
HV 20d	19.0%	14.0%	21.9%	20.3%	14.0%
HV 60d	21.2%	19.5%	22.3%	21.8%	19.5%
IV Rank	28.1%	1.3%	39.4%	33.7%	39.3%
IV Percentile	40.5%	0.8%	60.7%	49.6%	60.7%
Term Structure	2.1%	-0.6%	12.1%	0.7%	-0.6%
VWIV	22.3%	17.4%	31.5%	20.8%	23.5%
Skew 25d	-1.4%	-3.6%	11.0%	-1.5%	-1.5%
Skew 10d	-1.7%	-4.8%	2.5%	-2.1%	-1.5%
Call IV 25d	20.2%	9.5%	23.1%	22.1%	23.1%
Put IV 25d	18.8%	17.0%	21.7%	20.6%	21.7%
Bid-Ask Spread %	5.81	2.41	13.11	5.97	4.39
Gamma HHI	0.70	0.58	0.89	0.68	0.66
Net GEX	680.0K	298.4K	2.0M	301.8K	505.5K
Net DEX	-12.3M	-19.2M	-7.3M	-8.2M	-14.1M
Net VEX	-27.6K	-34.6K	-24.0K	-24.3K	-27.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.00	1.88	0.21	0.14
Total Volume	1,295.6	158	10,531	399	268
Total OI	22,271.1	16,671	31,819	16,671	21,635

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
2012-12-03	$17.08	$15.00	22.0%	6.3%	20.3%	33.7%	0.0%	-1.5%	0.7%	301.8K	-8.2M	-24.3K	0.21	5.97	329	70	8,125	8,546
2012-12-04	$16.75	$15.00	21.1%	6.0%	21.9%	30.6%	20.8%	-2.7%	0.3%	298.4K	-7.3M	-24.1K	0.03	3.04	712	21	8,248	8,595
2012-12-05	$16.96	$15.00	17.6%	5.1%	21.3%	19.2%	17.6%	0.0%	4.3%	342.2K	-8.2M	-25.2K	1.65	2.41	176	290	8,717	8,586
2012-12-06	$17.05	$17.50	13.7%	3.9%	21.2%	6.2%	0.0%	11.0%	12.1%	333.4K	-8.2M	-24.9K	0.19	3.32	133	25	8,802	8,831
2012-12-07	$17.03	$15.00	16.6%	6.0%	21.2%	15.6%	20.9%	-1.4%	2.6%	331.4K	-8.3M	-25.2K	1.88	6.22	166	312	8,838	8,851
2012-12-10	$16.88	$15.00	12.3%	6.1%	21.1%	1.3%	26.7%	-3.2%	2.4%	319.5K	-7.5M	-24.0K	0.03	4.72	1,616	45	8,892	9,041
2012-12-11	$17.19	$15.00	18.4%	6.1%	21.9%	21.6%	23.3%	-0.2%	2.2%	350.6K	-10.3M	-24.9K	0.06	5.27	1,150	66	9,912	9,081
2012-12-12	$17.06	$15.00	19.3%	6.3%	21.1%	24.8%	21.8%	-1.4%	1.2%	342.1K	-11.6M	-25.6K	0.11	6.12	502	53	10,992	9,043
2012-12-13	$17.11	$15.00	21.5%	6.2%	19.9%	32.1%	17.4%	-0.7%	2.6%	364.5K	-12.1M	-25.8K	0.01	6.70	682	5	11,426	9,078
2012-12-14	$16.95	$15.00	21.5%	6.2%	20.3%	32.2%	20.9%	-1.8%	1.9%	381.3K	-12.3M	-25.9K	0.01	5.79	5,797	65	11,940	9,083
2012-12-17	$16.94	$15.00	22.0%	6.3%	20.2%	33.8%	22.3%	-2.3%	1.9%	1.2M	-14.3M	-28.9K	0.02	5.65	10,359	172	17,668	9,141
2012-12-18	$16.98	$15.00	22.4%	6.4%	20.1%	35.0%	22.8%	-1.6%	1.7%	1.6M	-17.8M	-34.3K	0.20	7.43	805	157	22,180	9,158
2012-12-19	$17.09	$15.00	22.2%	6.4%	19.9%	34.3%	22.4%	-2.5%	1.2%	2.0M	-19.2M	-34.6K	0.24	4.55	354	86	22,556	9,082
2012-12-20	$17.10	$15.00	21.2%	6.1%	19.9%	31.0%	21.2%	-2.2%	2.6%	2.0M	-17.6M	-32.1K	0.00	7.04	166	0	22,622	9,082
2012-12-21	$16.95	$15.00	20.1%	5.8%	16.2%	27.4%	20.2%	-2.9%	3.5%	1.0M	-15.2M	-29.7K	0.18	4.90	227	40	22,737	9,082
2012-12-24	$16.93	$15.00	21.7%	6.2%	15.4%	32.6%	31.5%	-3.5%	1.0%	458.0K	-13.0M	-28.7K	0.26	13.11	176	45	12,518	8,810
2012-12-26	$16.92	$15.00	22.6%	6.5%	14.8%	35.5%	22.1%	-3.6%	0.3%	457.1K	-13.2M	-28.6K	0.02	6.56	232	5	12,644	8,834
2012-12-27	$16.98	$15.00	23.7%	6.8%	14.7%	39.4%	23.2%	-3.5%	-0.3%	462.2K	-13.4M	-28.4K	0.24	7.52	217	52	12,660	8,835
2012-12-28	$17.13	$15.00	22.6%	6.5%	14.3%	35.7%	22.6%	-1.8%	-0.0%	488.6K	-14.0M	-28.2K	0.20	5.58	281	55	12,696	8,855
2012-12-31	$17.16	$15.00	23.7%	6.8%	14.0%	39.3%	23.5%	-1.5%	-0.6%	505.5K	-14.1M	-27.5K	0.14	4.39	235	33	12,761	8,874