TSM Options History — April 2018

In April 2018, TSM traded between $38.13 and $43.94. ATM implied volatility averaged 29.6%, placing in the 66.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.7% (HV 20d: 30.3%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2018-04-27: Highest Volume — 20,626 contracts
  • 2018-04-11: Largest IV drop — 21.2% change
  • 2018-04-02: Highest IV Rank — 100.0%
  • 2018-04-02: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.36$38.13$43.94$42.52$38.50
Max Pain$44.48$43.00$45.00$43.00$44.00
ATM IV29.6%23.2%37.2%36.6%23.4%
Expected Move8.1%6.6%10.5%10.5%6.7%
HV 20d30.3%27.4%36.5%27.4%29.4%
HV 60d28.7%26.7%29.5%28.5%29.2%
IV Rank66.8%37.8%100.0%100.0%38.9%
IV Percentile88.7%65.5%100.0%100.0%67.9%
Term Structure-1.4%-7.0%1.8%-7.0%-0.8%
VWIV27.8%18.3%37.0%37.0%23.6%
Skew 25d3.4%2.3%4.9%3.5%3.4%
Skew 10d6.8%3.9%10.0%10.0%5.7%
Call IV 25d27.1%22.0%34.7%34.7%22.0%
Put IV 25d30.6%24.7%38.2%38.2%25.4%
Bid-Ask Spread %19.4912.6144.2430.4516.39
Gamma HHI0.150.120.250.140.12
Net GEX-3.1M-5.4M-1.6M-2.4M-3.5M
Net DEX64.2M-1.6M148.0M32.5M126.3M
Net VEX-615.2K-736.5K-454.6K-687.9K-537.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.565.220.842.71
Total Volume10,884.3813,38620,6263,46618,071
Total OI116,679.19106,318134,443106,318122,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$42.52$43.0036.6%10.5%27.4%100.0%37.0%3.5%-7.0%-2.4M32.5M-687.9K0.8430.451,8801,58652,86753,451
2018-04-03$43.40$43.0035.3%10.1%28.1%93.7%36.7%4.9%-5.4%-2.0M10.5M-720.2K0.9444.241,7491,63753,56053,980
2018-04-04$43.94$43.0034.4%9.8%28.4%89.7%36.7%3.7%-5.0%-1.6M-1.6M-714.2K2.1916.571,6023,51153,95653,980
2018-04-05$43.38$45.0034.0%8.5%28.2%88.2%29.3%3.7%-1.0%-2.2M11.6M-710.8K5.2218.761,1245,87154,17054,002
2018-04-06$42.46$45.0036.6%9.0%28.9%100.0%30.2%4.4%-1.5%-3.0M39.4M-712.9K1.4517.741,9222,78254,38556,925
2018-04-09$43.26$45.0037.1%8.6%28.8%100.0%30.2%2.9%-1.1%-2.7M17.6M-715.1K1.0121.624,5624,58855,23557,153
2018-04-10$43.60$45.0037.2%8.3%28.3%100.0%27.7%3.0%-0.8%-2.4M6.9M-736.5K0.6120.794,6962,88558,49058,472
2018-04-11$43.45$45.0029.3%8.4%28.2%65.1%28.4%3.6%-0.9%-3.0M16.4M-700.4K0.5722.434,8162,72858,51058,397
2018-04-12$43.78$45.0028.1%8.1%28.4%59.8%26.9%3.2%-0.7%-2.3M3.8M-706.0K0.5621.524,6782,63858,68558,356
2018-04-13$42.68$45.0028.7%8.2%29.5%62.4%26.4%3.3%-0.6%-3.8M39.0M-664.4K1.5619.874,7277,39458,75458,497
2018-04-16$42.92$45.0028.3%8.1%29.7%60.6%25.3%4.4%-0.8%-4.5M40.0M-653.2K1.0019.506,1426,14158,97660,673
2018-04-17$42.32$45.0027.9%8.0%29.9%58.6%26.2%3.4%-0.8%-5.4M62.6M-627.9K1.0716.736,8667,34760,18962,404
2018-04-18$42.10$45.0027.2%7.8%29.8%55.6%28.1%2.7%-0.6%-4.6M63.0M-609.5K0.7817.039,3347,25264,69961,786
2018-04-19$39.55$45.0026.8%7.7%36.5%54.0%27.4%4.5%-0.1%-4.3M148.0M-474.5K0.8118.869,0007,33567,16365,998
2018-04-20$38.96$45.0026.1%7.5%36.2%50.9%25.9%3.4%1.8%-4.7M146.0M-454.6K1.4413.776,7579,69669,73364,710
2018-04-23$38.73$45.0024.5%7.0%35.5%43.8%24.6%3.3%0.1%-2.7M113.2M-478.8K0.8412.696,7425,68854,35753,775
2018-04-24$38.64$44.0026.5%7.6%32.1%52.7%26.6%3.3%-1.5%-2.8M110.9M-516.3K1.0216.334,7214,82656,02756,747
2018-04-25$38.13$44.0025.7%7.4%31.8%49.2%24.3%2.3%-1.2%-2.5M118.6M-496.6K1.0712.614,9995,33656,50957,051
2018-04-26$38.15$44.0024.0%6.9%31.7%41.5%24.1%2.7%-0.6%-2.6M119.1M-482.0K1.8417.775,0449,27357,18357,643
2018-04-27$38.18$44.0023.2%6.6%30.0%37.8%18.3%2.4%-0.3%-2.9M124.2M-519.3K3.0713.535,07315,55357,89361,944
2018-04-30$38.50$44.0023.4%6.7%29.4%38.9%23.6%3.4%-0.8%-3.5M126.3M-537.4K2.7116.394,86613,20558,27664,702