TSM Options History — January 2018

In January 2018, TSM traded between $41.00 and $46.38. ATM implied volatility averaged 22.2%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.6% (HV 20d: 22.7%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2018-01-24: Highest Volume — 31,666 contracts
  • 2018-01-10: Largest IV drop — 16.4% change
  • 2018-01-08: Highest IV Rank — 62.8%
  • 2018-01-30: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.53$41.00$46.38$41.00$45.27
Max Pain$41.95$40.00$44.00$40.00$44.00
ATM IV22.2%19.0%26.3%23.4%21.9%
Expected Move6.1%5.4%6.7%6.7%6.3%
HV 20d22.7%16.5%28.6%16.5%26.9%
HV 60d21.0%18.8%23.1%19.4%23.1%
IV Rank42.5%25.5%62.8%46.9%42.3%
IV Percentile76.6%49.2%94.8%84.5%77.8%
Term Structure-0.0%-2.6%1.6%-2.5%0.8%
VWIV21.6%19.5%24.5%24.5%21.9%
Skew 25d1.9%0.6%2.8%2.4%1.7%
Skew 10d5.3%-1.3%11.7%11.4%4.2%
Call IV 25d20.8%18.6%23.1%22.5%21.5%
Put IV 25d22.7%20.2%25.0%24.9%23.2%
Bid-Ask Spread %16.3710.3827.4510.3815.88
Gamma HHI0.200.110.270.260.22
Net GEX-659.9K-3.9M1.5M-3.6M793.1K
Net DEX-44.2M-87.9M-12.2M-12.2M-56.2M
Net VEX-412.0K-727.7K-269.6K-303.7K-727.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.382.862.860.84
Total Volume7,850.3333,78431,6666,7974,410
Total OI74,075.57146,19591,11169,63386,972

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$41.00$40.0023.4%6.7%16.5%46.9%24.5%2.4%-2.5%-3.6M-12.2M-303.7K2.8610.381,7605,03719,69649,937
2018-01-03$41.76$40.0023.4%6.7%17.2%47.3%24.2%1.1%-2.6%-2.4M-25.9M-293.5K1.6212.272,4523,97420,02650,305
2018-01-04$41.52$40.0023.4%5.9%17.3%47.3%20.7%1.7%0.1%-2.7M-23.5M-296.7K1.0419.182,8993,02320,54150,621
2018-01-05$42.45$40.0023.0%5.8%17.3%45.1%20.1%2.5%0.2%-1.4M-37.9M-287.6K1.7021.382,5484,32421,55550,982
2018-01-08$42.42$41.0026.3%5.8%17.3%62.8%20.2%2.3%0.6%-1.2M-39.5M-292.3K1.8319.601,4242,60322,04252,616
2018-01-09$42.27$41.0025.8%6.0%17.4%59.8%20.9%1.9%-0.1%-1.5M-35.6M-298.0K2.6021.221,3093,41022,09452,839
2018-01-10$41.31$42.0021.5%6.2%19.8%37.1%21.7%2.8%-0.4%-3.4M-17.6M-315.4K2.5323.151,7734,48722,16954,005
2018-01-11$41.04$41.0021.6%6.2%20.0%40.6%21.0%1.6%0.1%-3.9M-15.3M-311.4K1.7827.452,5144,47122,52954,013
2018-01-12$41.20$41.0021.2%6.1%20.0%38.4%20.7%2.8%0.6%-3.3M-19.0M-325.4K2.4022.921,9814,74723,63554,631
2018-01-16$42.25$41.0022.5%6.5%21.6%45.9%22.3%1.9%-1.3%-652.8K-42.6M-291.8K1.0219.072,5162,55924,33655,025
2018-01-17$43.12$41.0021.7%6.2%22.3%41.2%21.9%0.7%-0.3%610.8K-57.5M-280.0K0.6910.666,6654,61824,82055,210
2018-01-18$44.66$42.0020.2%5.8%24.7%32.2%20.3%2.2%-0.5%1.5M-82.1M-269.6K0.4713.6711,4795,41126,66357,025
2018-01-19$44.68$42.0019.0%5.4%24.6%25.5%19.5%1.6%1.6%1.1M-87.9M-380.9K1.3014.443,4774,51832,02159,090
2018-01-22$46.38$43.0020.0%5.7%26.9%31.3%20.5%1.8%0.2%1.1M-58.4M-387.5K0.9912.082,8112,77722,86223,333
2018-01-23$46.29$43.0019.6%5.6%26.7%28.9%20.3%2.5%0.6%940.5K-56.7M-402.7K0.7310.942,1931,59123,70824,649
2018-01-24$45.34$43.0022.3%6.4%28.6%44.8%22.1%0.9%0.3%752.5K-46.7M-423.5K0.5011.1621,04710,61924,24725,434
2018-01-25$45.11$44.0021.7%6.2%27.8%41.2%21.8%1.6%0.6%699.2K-49.1M-655.5K1.7813.562,7774,95342,35634,277
2018-01-26$45.66$44.0020.9%6.0%27.8%36.4%21.5%0.6%1.2%872.0K-59.1M-690.6K0.3816.235,2761,98643,91336,310
2018-01-29$45.42$44.0022.6%6.5%28.0%46.4%23.3%2.5%0.2%1.1M-59.1M-709.6K1.3616.751,6582,26147,32036,732
2018-01-30$44.93$44.0023.5%6.7%28.6%51.7%23.5%2.2%0.2%879.1K-46.7M-708.7K1.9711.761,5202,99947,58437,464
2018-01-31$45.27$44.0021.9%6.3%26.9%42.3%21.9%1.7%0.8%793.1K-56.2M-727.7K0.8415.882,3932,01747,99238,980