TSM Options History — February 2013

In February 2013, TSM traded between $17.81 and $19.15. ATM implied volatility averaged 21.6%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.0% (HV 20d: 21.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.33.

Notable Days

2013-02-20: Highest Volume — 61,758 contracts
2013-02-07: Largest IV spike — 45.1% change
2013-02-27: Highest IV Rank — 44.6%
2013-02-27: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.40	$17.81	$19.15	$18.07	$18.25
Max Pain	$17.76	$17.50	$20.00	$20.00	$17.50
ATM IV	21.6%	12.7%	25.3%	20.3%	23.5%
Expected Move	6.5%	4.3%	7.2%	6.4%	6.7%
HV 20d	21.5%	17.1%	25.4%	22.7%	25.4%
HV 60d	21.9%	21.2%	23.3%	21.8%	23.3%
IV Rank	32.3%	2.8%	44.6%	27.9%	38.7%
IV Percentile	49.4%	1.2%	74.2%	35.3%	61.5%
Term Structure	0.2%	-2.5%	9.7%	1.3%	0.1%
VWIV	22.1%	14.8%	26.7%	22.5%	25.2%
Skew 25d	5.7%	-7.2%	14.1%	6.3%	5.5%
Skew 10d	15.0%	-7.5%	91.8%	6.3%	9.9%
Call IV 25d	16.4%	12.4%	22.7%	15.1%	18.1%
Put IV 25d	22.1%	13.0%	29.0%	21.4%	23.6%
Bid-Ask Spread %	5.90	3.63	10.78	5.74	10.20
Gamma HHI	0.74	0.58	0.90	0.72	0.88
Net GEX	1.9M	1.4M	3.5M	1.6M	2.4M
Net DEX	-34.1M	-46.4M	-16.5M	-33.1M	-22.3M
Net VEX	-104.7K	-147.1K	-76.5K	-109.3K	-114.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.01	2.69	0.14	0.05
Total Volume	3,877.579	166	61,758	408	255
Total OI	46,062.789	37,703	61,194	38,951	61,194

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
2013-02-01	$18.07	$20.00	20.3%	6.4%	22.7%	27.9%	22.5%	6.3%	1.3%	1.6M	-33.1M	-109.3K	0.14	5.74	359	49	34,109	4,842
2013-02-04	$17.90	$20.00	21.0%	6.4%	22.8%	30.5%	24.3%	4.0%	0.7%	1.7M	-31.0M	-106.9K	0.22	5.68	272	61	34,185	4,891
2013-02-05	$18.18	$17.50	12.7%	6.7%	22.7%	2.8%	23.0%	7.4%	-0.4%	1.6M	-35.4M	-103.0K	0.09	3.90	420	36	34,216	4,893
2013-02-06	$18.04	$17.50	15.8%	6.2%	22.7%	13.1%	21.6%	4.7%	1.7%	1.6M	-33.3M	-105.0K	2.69	4.11	198	532	34,326	4,898
2013-02-07	$18.30	$17.50	22.9%	6.6%	23.1%	36.9%	22.9%	14.1%	0.3%	1.4M	-36.3M	-101.6K	0.14	5.01	145	21	34,344	5,423
2013-02-08	$18.45	$17.50	22.5%	6.5%	19.6%	35.4%	15.7%	8.5%	0.3%	1.6M	-38.3M	-98.1K	0.12	4.73	483	59	34,275	5,412
2013-02-11	$18.48	$17.50	24.2%	6.9%	19.6%	41.2%	24.3%	9.9%	-0.8%	1.5M	-39.6M	-94.6K	0.76	5.42	237	180	34,364	5,430
2013-02-12	$18.50	$17.50	23.3%	6.7%	19.3%	38.0%	22.9%	9.0%	0.0%	1.5M	-39.6M	-95.4K	0.34	8.12	209	71	34,416	5,543
2013-02-13	$18.41	$17.50	24.3%	7.0%	19.2%	41.5%	24.3%	9.3%	-1.1%	1.5M	-38.8M	-94.1K	0.05	5.47	257	13	34,371	5,563
2013-02-14	$18.57	$17.50	23.3%	6.7%	19.2%	38.1%	0.0%	9.2%	-0.3%	1.5M	-40.6M	-91.4K	0.20	5.65	213	42	34,366	5,553
2013-02-15	$18.53	$17.50	23.1%	6.6%	17.1%	37.2%	23.1%	7.5%	-0.4%	1.5M	-40.1M	-89.5K	0.01	6.00	3,602	27	34,207	5,575
2013-02-19	$19.15	$17.50	20.5%	5.9%	20.3%	28.7%	19.6%	5.8%	-1.2%	1.5M	-46.4M	-76.5K	0.27	5.35	783	215	33,309	4,457
2013-02-20	$18.89	$17.50	22.3%	6.4%	21.1%	34.8%	15.7%	-6.8%	-0.4%	1.5M	-42.8M	-85.8K	0.01	10.78	61,025	733	33,187	4,516
2013-02-21	$18.69	$17.50	25.2%	7.2%	21.5%	44.5%	26.7%	7.2%	-2.0%	3.0M	-32.3M	-142.6K	0.11	3.63	666	71	55,649	4,691
2013-02-22	$18.90	$17.50	14.9%	4.3%	19.4%	10.1%	14.8%	3.2%	9.7%	3.5M	-35.9M	-147.1K	0.08	3.64	259	21	55,941	4,709
2013-02-25	$18.25	$17.50	20.3%	5.8%	23.5%	28.1%	25.2%	-7.2%	-2.5%	2.5M	-24.6M	-125.8K	0.24	3.95	782	191	56,037	4,729
2013-02-26	$17.81	$17.50	24.3%	7.0%	24.8%	41.5%	24.1%	3.9%	-0.1%	1.8M	-16.5M	-99.9K	0.34	6.71	667	227	55,665	4,881
2013-02-27	$18.18	$17.50	25.3%	7.2%	25.4%	44.6%	25.2%	6.3%	-1.6%	2.4M	-21.8M	-108.7K	0.44	7.96	204	89	56,023	5,003
2013-02-28	$18.25	$17.50	23.5%	6.7%	25.4%	38.7%	0.0%	5.5%	0.1%	2.4M	-22.3M	-114.9K	0.05	10.20	243	12	56,130	5,064