TSM Options History — February 2018

In February 2018, TSM traded between $40.56 and $45.38. ATM implied volatility averaged 26.0%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 5.6% (HV 20d: 31.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.53.

Notable Days

2018-02-07: Highest Volume — 12,703 contracts
2018-02-05: Largest IV spike — 33.5% change
2018-02-06: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.16	$40.56	$45.38	$45.38	$43.42
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	26.0%	21.3%	34.8%	21.3%	25.2%
Expected Move	7.3%	6.4%	8.9%	6.4%	7.2%
HV 20d	31.6%	26.4%	36.0%	26.4%	31.8%
HV 60d	26.2%	23.1%	27.5%	23.1%	25.8%
IV Rank	57.8%	38.9%	100.0%	38.9%	52.4%
IV Percentile	90.2%	71.8%	100.0%	71.8%	90.9%
Term Structure	1.5%	-0.8%	3.0%	1.8%	0.9%
VWIV	25.9%	22.9%	35.5%	22.9%	24.9%
Skew 25d	3.0%	1.2%	6.5%	2.2%	3.1%
Skew 10d	9.0%	2.4%	23.3%	5.1%	3.3%
Call IV 25d	24.5%	21.7%	29.6%	22.1%	23.5%
Put IV 25d	27.5%	24.2%	36.1%	24.2%	26.6%
Bid-Ask Spread %	23.87	14.32	47.34	15.75	19.32
Gamma HHI	0.18	0.15	0.23	0.23	0.16
Net GEX	1.5M	-126.0K	3.3M	966.9K	1.8M
Net DEX	-17.7M	-59.8M	35.9M	-59.8M	-20.8M
Net VEX	-706.6K	-749.7K	-636.3K	-731.2K	-710.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.33	3.88	0.81	3.00
Total Volume	5,643.632	2,745	12,703	3,081	3,469
Total OI	97,743.105	88,432	102,944	88,432	101,733

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
2018-02-01	$45.38	$45.00	21.3%	6.4%	26.4%	38.9%	22.9%	2.2%	1.8%	966.9K	-59.8M	-731.2K	0.81	15.75	1,702	1,379	49,044	39,388
2018-02-02	$44.53	$45.00	22.7%	6.7%	27.5%	46.9%	23.5%	2.1%	1.8%	687.5K	-40.1M	-733.0K	1.43	21.16	1,470	2,095	49,551	39,407
2018-02-05	$42.96	$45.00	30.3%	7.9%	29.9%	91.1%	27.3%	1.5%	0.6%	239.0K	-6.3M	-687.7K	1.33	47.34	2,179	2,898	49,772	39,529
2018-02-06	$43.49	$45.00	34.8%	8.0%	30.1%	100.0%	29.2%	2.3%	0.1%	137.2K	-10.3M	-712.5K	1.28	26.52	1,951	2,499	50,705	41,021
2018-02-07	$42.07	$45.00	25.7%	7.4%	32.5%	54.9%	25.5%	1.2%	1.3%	-126.0K	19.4M	-653.8K	0.33	19.58	9,537	3,166	50,859	41,201
2018-02-08	$40.56	$45.00	31.2%	8.9%	34.1%	82.1%	31.7%	3.5%	-0.8%	396.1K	35.9M	-636.3K	2.33	24.93	2,892	6,741	58,347	41,723
2018-02-09	$41.56	$45.00	30.8%	8.8%	35.2%	80.5%	35.5%	6.5%	-0.1%	1.1M	14.2M	-681.0K	3.15	40.85	2,305	7,253	59,293	40,499
2018-02-12	$42.50	$45.00	27.1%	7.8%	36.0%	61.8%	30.1%	3.8%	1.4%	1.9M	-11.5M	-713.9K	1.52	35.30	1,888	2,871	59,958	40,815
2018-02-13	$42.36	$45.00	26.7%	7.7%	34.9%	60.0%	25.8%	4.1%	1.6%	2.1M	-3.8M	-680.9K	1.52	19.71	2,262	3,438	60,392	40,820
2018-02-14	$43.01	$45.00	24.9%	7.1%	34.6%	50.9%	24.8%	4.2%	2.1%	2.4M	-20.5M	-708.3K	0.68	24.89	3,874	2,643	61,003	41,182
2018-02-15	$43.50	$45.00	23.9%	6.9%	32.3%	46.2%	23.1%	2.8%	1.9%	3.3M	-41.2M	-708.2K	0.54	14.32	3,667	1,975	62,112	40,807
2018-02-16	$43.53	$45.00	23.5%	6.7%	32.3%	44.0%	23.8%	3.8%	3.0%	2.3M	-41.8M	-702.2K	3.88	17.08	2,360	9,149	62,164	40,780
2018-02-20	$43.75	$45.00	25.0%	7.2%	29.1%	51.3%	24.4%	4.3%	1.1%	1.7M	-28.8M	-741.7K	1.27	20.38	1,301	1,650	54,639	41,741
2018-02-21	$43.01	$45.00	24.6%	7.1%	29.5%	49.6%	24.5%	1.8%	2.4%	1.2M	-13.4M	-729.1K	1.30	31.13	1,680	2,182	55,036	41,885
2018-02-22	$42.45	$45.00	24.9%	7.2%	29.0%	51.2%	24.6%	3.1%	1.6%	605.1K	3.9M	-697.2K	1.40	18.62	1,605	2,243	55,839	42,526
2018-02-23	$43.83	$45.00	22.8%	6.5%	31.6%	40.7%	23.0%	2.9%	3.0%	1.9M	-30.8M	-722.3K	0.57	19.11	3,181	1,813	56,565	43,418
2018-02-26	$44.35	$45.00	23.9%	6.9%	31.6%	46.2%	23.6%	2.0%	1.9%	2.8M	-48.8M	-749.7K	1.38	18.30	1,331	1,835	58,006	43,662
2018-02-27	$43.70	$45.00	24.6%	7.1%	31.9%	49.7%	24.1%	2.0%	2.5%	2.2M	-31.0M	-725.8K	1.35	19.17	1,169	1,576	58,080	43,617
2018-02-28	$43.42	$45.00	25.2%	7.2%	31.8%	52.4%	24.9%	3.1%	0.9%	1.8M	-20.8M	-710.3K	3.00	19.32	867	2,602	58,009	43,724