TSM Options History — March 2013

In March 2013, TSM traded between $16.89 and $18.33. ATM implied volatility averaged 21.4%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.9% (HV 20d: 23.3%). 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 13 of 20 days. Put/call ratio averaged 0.66.

Notable Days

2013-03-19: Highest Volume — 6,646 contracts
2013-03-11: Largest IV spike — 84.1% change
2013-03-25: Highest IV Rank — 49.9%
2013-03-25: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.59	$16.89	$18.33	$18.25	$17.19
Max Pain	$16.75	$15.00	$17.50	$17.50	$17.50
ATM IV	21.4%	11.8%	26.9%	19.4%	26.4%
Expected Move	7.1%	5.6%	7.7%	5.6%	7.6%
HV 20d	23.3%	18.0%	26.4%	25.3%	18.0%
HV 60d	23.4%	22.6%	24.4%	23.1%	24.4%
IV Rank	31.8%	0.0%	49.9%	25.2%	48.5%
IV Percentile	48.0%	0.0%	83.7%	24.2%	82.1%
Term Structure	0.2%	-2.1%	3.1%	0.7%	-1.2%
VWIV	24.3%	21.6%	26.8%	24.2%	26.1%
Skew 25d	1.8%	-4.9%	9.0%	-3.8%	-1.9%
Skew 10d	2.6%	-4.4%	14.8%	5.1%	-1.4%
Call IV 25d	19.8%	14.5%	24.8%	18.6%	23.7%
Put IV 25d	21.7%	14.8%	31.0%	14.8%	21.8%
Bid-Ask Spread %	5.33	2.59	13.84	2.59	4.54
Gamma HHI	0.71	0.47	0.95	0.89	0.48
Net GEX	1.4M	465.2K	2.7M	2.5M	942.4K
Net DEX	-11.8M	-24.1M	-3.7M	-23.3M	-6.1M
Net VEX	-79.4K	-114.3K	-57.4K	-114.3K	-63.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.02	5.23	0.41	0.13
Total Volume	1,555.05	82	6,646	559	6,500
Total OI	65,751.05	61,303	70,678	61,303	70,678

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
2013-03-01	$18.25	$17.50	19.4%	5.6%	25.3%	25.2%	0.0%	-3.8%	0.7%	2.5M	-23.3M	-114.3K	0.41	2.59	396	163	56,227	5,076
2013-03-04	$18.14	$15.00	21.4%	7.3%	24.6%	31.8%	24.2%	8.7%	0.4%	2.3M	-21.6M	-104.7K	0.49	3.52	304	150	56,345	5,174
2013-03-05	$18.33	$15.00	14.3%	7.1%	24.6%	8.2%	21.9%	1.6%	1.0%	2.7M	-24.1M	-109.1K	0.20	13.84	165	33	56,529	5,295
2013-03-06	$18.12	$15.00	14.4%	6.9%	24.4%	8.3%	23.9%	-0.5%	1.6%	2.2M	-19.9M	-93.2K	0.05	6.26	78	4	56,559	5,303
2013-03-07	$18.05	$15.00	13.3%	6.8%	24.3%	4.9%	21.6%	6.3%	2.1%	2.1M	-18.7M	-93.5K	0.16	5.69	123	20	56,524	5,307
2013-03-08	$17.91	$15.00	11.8%	6.6%	23.8%	0.0%	22.6%	4.7%	3.1%	1.7M	-16.2M	-80.5K	0.04	4.74	519	22	56,538	5,327
2013-03-11	$17.72	$15.00	21.8%	7.3%	23.8%	33.1%	25.4%	5.7%	0.0%	1.4M	-13.9M	-78.6K	5.23	5.41	693	3,624	56,695	5,347
2013-03-12	$17.73	$17.50	17.0%	7.1%	23.7%	17.3%	24.1%	4.2%	0.9%	1.1M	-11.5M	-80.5K	0.46	4.84	154	71	56,920	8,341
2013-03-13	$18.00	$17.50	16.5%	7.4%	24.5%	15.6%	25.9%	8.1%	0.6%	1.9M	-17.0M	-95.2K	1.04	4.28	1,001	1,046	56,861	8,238
2013-03-14	$18.05	$17.50	25.4%	7.3%	24.5%	45.1%	25.2%	8.2%	0.6%	1.8M	-16.1M	-96.2K	0.11	5.74	885	101	57,058	9,170
2013-03-15	$17.64	$17.50	26.0%	7.4%	25.4%	47.0%	26.0%	3.6%	-0.7%	465.2K	-10.5M	-81.7K	0.14	5.39	1,045	147	57,730	9,167
2013-03-18	$17.24	$17.50	25.4%	7.3%	26.4%	45.0%	22.9%	0.8%	-0.6%	844.3K	-5.8M	-63.9K	0.32	3.83	1,393	445	57,689	7,176
2013-03-19	$17.08	$17.50	25.2%	7.2%	22.7%	44.3%	24.8%	9.0%	-0.4%	679.1K	-4.0M	-59.7K	1.17	5.35	3,068	3,578	58,513	7,356
2013-03-20	$17.25	$17.50	24.2%	7.0%	23.1%	41.2%	24.2%	-1.3%	0.2%	815.9K	-5.2M	-65.1K	1.75	3.51	587	1,028	60,598	7,014
2013-03-21	$16.89	$17.50	26.8%	7.7%	23.8%	49.7%	26.8%	-3.2%	-1.2%	729.6K	-3.7M	-62.1K	0.02	7.08	2,922	56	61,124	7,028
2013-03-22	$17.07	$17.50	25.3%	7.3%	23.7%	44.8%	24.7%	-3.7%	-0.9%	900.4K	-5.4M	-65.8K	0.58	5.83	92	53	63,460	7,019
2013-03-25	$16.95	$17.50	26.9%	7.7%	21.0%	49.9%	24.9%	-4.9%	-2.1%	842.5K	-4.5M	-62.8K	0.66	4.16	92	61	63,477	7,060
2013-03-26	$17.07	$17.50	23.3%	6.7%	19.8%	37.9%	23.2%	-3.0%	0.5%	723.4K	-4.0M	-57.4K	0.02	4.91	181	4	63,476	7,078
2013-03-27	$17.17	$17.50	23.5%	6.7%	18.2%	38.8%	23.5%	-1.7%	0.4%	811.0K	-5.3M	-59.8K	0.10	5.12	269	28	63,468	7,076
2013-03-28	$17.19	$17.50	26.4%	7.6%	18.0%	48.5%	26.1%	-1.9%	-1.2%	942.4K	-6.1M	-63.9K	0.13	4.54	5,755	745	63,592	7,086