TSM Options History — March 2018

In March 2018, TSM traded between $42.71 and $45.31. ATM implied volatility averaged 27.0%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.7% (HV 20d: 24.3%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2018-03-16: Highest Volume — 15,066 contracts
  • 2018-03-12: Largest IV spike — 8.9% change
  • 2018-03-28: Highest IV Rank — 85.8%
  • 2018-03-28: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.09$42.71$45.31$42.85$43.74
Max Pain$43.19$43.00$45.00$45.00$43.00
ATM IV27.0%23.6%31.9%26.9%29.9%
Expected Move7.9%7.1%9.2%7.7%8.6%
HV 20d24.3%19.8%31.9%31.8%25.3%
HV 60d26.7%25.7%28.5%25.9%28.1%
IV Rank61.6%44.8%85.8%61.1%75.6%
IV Percentile92.4%79.8%99.6%95.2%96.0%
Term Structure-0.8%-3.3%2.7%0.7%-3.3%
VWIV28.1%25.5%34.0%26.4%31.3%
Skew 25d2.9%1.7%5.2%3.0%4.7%
Skew 10d6.6%2.2%20.1%6.8%20.1%
Call IV 25d26.5%24.4%30.5%24.9%28.4%
Put IV 25d29.5%27.1%35.7%27.9%33.1%
Bid-Ask Spread %25.7917.3249.7023.0519.39
Gamma HHI0.200.140.660.150.14
Net GEX2.3M-2.3M23.5M896.9K-1.7M
Net DEX-25.7M-82.5M27.1M-2.3M4.5M
Net VEX-708.6K-748.8K-667.4K-694.4K-723.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.406.616.610.59
Total Volume7,180.6192,65115,0669,1022,651
Total OI103,974.33394,205112,435102,713105,951

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$42.85$45.0026.9%7.7%31.8%61.1%26.4%3.0%0.7%896.9K-2.3M-694.4K6.6123.051,1967,90658,06844,645
2018-03-02$43.00$45.0024.9%7.1%31.9%51.0%25.5%3.8%2.7%1.1M-6.8M-686.2K1.7024.729811,67158,05844,249
2018-03-05$43.48$43.0025.3%7.8%31.6%52.7%26.9%1.7%0.6%1.7M-20.0M-685.6K1.2934.671,5592,01257,99644,336
2018-03-06$43.50$43.0025.9%7.8%28.8%56.0%26.9%1.8%1.0%1.8M-21.0M-687.4K1.0249.431,7551,79458,34544,595
2018-03-07$44.21$43.0025.1%7.9%29.1%51.8%27.9%3.6%-0.5%2.8M-39.9M-700.8K1.4749.701,5492,27458,52544,585
2018-03-08$43.72$43.0023.8%7.7%26.6%45.4%26.8%2.0%0.9%2.2M-25.6M-681.9K1.2822.131,3771,76558,43644,473
2018-03-09$44.56$43.0023.6%7.6%23.0%44.8%27.1%3.2%0.6%3.6M-51.2M-685.5K0.6922.452,2451,55358,51144,528
2018-03-12$45.30$43.0025.8%7.6%22.3%55.2%26.8%1.9%-1.1%5.1M-82.5M-667.4K2.1718.932,9316,35058,91644,468
2018-03-13$45.00$43.0026.0%7.5%21.5%56.5%26.3%2.4%-0.3%4.3M-63.3M-701.7K0.4921.845,1192,52759,00849,542
2018-03-14$45.16$43.0026.8%7.7%21.4%60.2%26.2%2.4%-0.7%5.5M-70.1M-710.2K0.4021.424,8881,95162,02650,125
2018-03-15$45.31$43.0026.5%7.6%20.9%59.1%27.8%3.2%-0.7%6.7M-80.7M-706.8K0.4725.244,5742,15762,11850,197
2018-03-16$45.00$43.0025.6%7.3%20.9%54.4%25.8%2.3%-0.1%23.5M-63.5M-683.7K1.1124.877,1427,92462,13550,300
2018-03-19$44.60$43.0026.8%7.7%21.3%60.3%27.1%2.6%-0.8%-40.9K-24.4M-726.1K0.9825.015,1495,04149,25044,955
2018-03-20$44.76$43.0026.5%7.6%21.2%58.9%26.7%1.8%-1.5%-309.4K-26.8M-739.0K1.5018.744,6136,92849,80948,419
2018-03-21$44.72$43.0026.2%7.5%20.1%57.5%26.5%2.2%-1.4%-639.5K-22.2M-748.8K1.2521.184,3665,46050,09250,347
2018-03-22$43.79$43.0028.5%8.2%21.1%69.0%27.2%2.3%-2.3%-1.5M122.7K-737.6K1.2025.464,6945,62650,29650,565
2018-03-23$42.71$43.0030.8%8.8%19.8%80.2%33.0%3.3%-2.2%-2.0M24.9M-717.4K1.3427.295,4407,31650,41350,815
2018-03-26$44.27$43.0030.3%8.7%23.5%77.6%32.4%4.3%-3.0%-1.2M-8.6M-748.4K0.5718.485,4773,14651,41152,690
2018-03-27$43.35$43.0030.6%8.8%24.1%79.3%34.0%4.1%-2.4%-1.9M12.8M-733.3K0.9330.342,7672,56751,68153,051
2018-03-28$42.76$43.0031.9%9.2%24.5%85.8%31.9%5.2%-2.8%-2.3M27.1M-714.5K0.7617.322,4731,87952,36653,165
2018-03-29$43.74$43.0029.9%8.6%25.3%75.6%31.3%4.7%-3.3%-1.7M4.5M-723.5K0.5919.391,66398852,57553,376