TSM Options History — May 2018

In May 2018, TSM traded between $37.77 and $39.91. ATM implied volatility averaged 21.7%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 3.6% (HV 20d: 25.3%). Max pain ranged from $38.00 to $44.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.01.

Notable Days

  • 2018-05-11: Highest Volume — 27,689 contracts
  • 2018-05-29: Largest IV spike — 16.5% change
  • 2018-05-29: Highest IV Rank — 42.6%
  • 2018-05-29: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.03$37.77$39.91$38.80$38.74
Max Pain$39.73$38.00$44.00$44.00$40.00
ATM IV21.7%19.6%24.2%22.3%21.2%
Expected Move6.2%5.6%6.9%6.4%6.1%
HV 20d25.3%19.5%29.2%28.2%21.4%
HV 60d26.9%26.1%29.1%29.1%26.6%
IV Rank31.1%22.1%42.6%33.9%28.0%
IV Percentile52.9%35.3%74.2%60.7%47.2%
Term Structure2.9%-0.9%4.4%-0.3%2.5%
VWIV21.9%19.8%26.7%21.2%23.0%
Skew 25d2.3%1.5%3.8%3.8%2.3%
Skew 10d5.7%-1.4%14.9%7.1%5.2%
Call IV 25d20.8%19.2%23.0%21.7%20.7%
Put IV 25d23.1%21.8%25.7%25.5%23.0%
Bid-Ask Spread %16.6510.1625.4712.2310.16
Gamma HHI0.150.100.320.130.15
Net GEX-3.7M-5.1M-3.0M-3.9M-4.8M
Net DEX81.7M43.8M132.0M113.7M72.7M
Net VEX-617.4K-675.0K-558.7K-565.9K-663.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.495.272.682.62
Total Volume12,497.1366,72727,68919,9979,292
Total OI123,773.727110,421140,053122,790123,424

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$38.80$44.0022.3%6.4%28.2%33.9%21.2%3.8%-0.3%-3.9M113.7M-565.9K2.6812.235,44114,55658,48764,303
2018-05-02$37.77$44.0023.5%6.7%28.4%39.4%24.3%1.5%-0.9%-3.4M132.0M-558.7K1.8414.085,49910,10759,19066,732
2018-05-03$38.08$38.0023.4%6.4%28.8%38.9%22.9%1.9%3.7%-3.5M115.8M-577.5K2.0619.656,13212,65959,86464,348
2018-05-04$38.62$38.0021.3%6.1%29.1%29.5%19.9%2.6%3.3%-3.4M102.7M-585.5K1.6525.475,8019,58861,04063,393
2018-05-07$38.50$38.0023.6%6.5%27.8%39.8%22.4%2.5%4.0%-3.5M99.8M-579.4K2.0624.654,5069,27261,76462,389
2018-05-08$39.24$38.0022.9%6.4%28.8%36.5%21.9%1.8%3.0%-3.5M81.3M-598.8K1.4318.285,3687,67762,22762,300
2018-05-09$39.31$38.0021.6%6.2%28.9%30.7%21.6%2.3%3.7%-3.5M78.8M-600.9K1.4818.365,2217,74662,97762,337
2018-05-10$39.76$38.0020.4%5.9%29.2%25.7%21.1%2.3%4.0%-3.4M68.3M-604.9K1.4719.355,4057,92463,50962,584
2018-05-11$39.91$38.0020.7%5.9%28.3%26.9%20.7%2.6%4.0%-3.4M62.7M-604.4K0.9120.5714,47513,21463,83562,503
2018-05-14$39.91$40.0020.6%5.9%28.1%26.4%20.0%1.8%3.7%-4.5M67.5M-618.1K0.7815.446,7755,29564,85767,793
2018-05-15$39.26$40.0022.3%6.4%28.2%34.0%21.7%2.4%3.4%-4.6M88.6M-610.3K0.4918.836,2923,10666,14367,808
2018-05-16$39.76$40.0021.0%6.0%28.8%28.3%21.2%2.5%3.6%-5.1M72.4M-606.8K0.4917.636,3923,12466,32367,802
2018-05-17$38.88$40.0021.1%6.0%19.9%28.5%21.2%1.9%4.4%-4.0M101.0M-589.5K1.0016.216,1416,12966,99167,873
2018-05-18$38.49$40.0021.6%6.2%19.5%30.9%22.0%2.1%3.2%-3.2M119.2M-600.0K1.5513.166,2889,73268,19971,854
2018-05-21$39.51$40.0020.6%5.9%21.6%26.4%20.6%1.8%3.0%-3.2M49.9M-669.8K2.2213.882,4115,36252,39358,028
2018-05-22$39.64$40.0020.3%5.8%21.6%25.1%20.9%1.8%3.0%-3.0M43.8M-667.0K3.7512.951,7726,64253,33458,253
2018-05-23$39.53$40.0019.6%5.6%20.9%22.1%19.8%2.8%3.7%-3.3M49.0M-675.0K5.2715.401,1746,18853,58159,870
2018-05-24$39.23$40.0020.9%6.0%21.2%28.0%22.4%2.2%3.7%-3.3M54.6M-672.0K3.1210.611,7775,54654,09059,913
2018-05-25$39.25$40.0020.8%6.0%21.2%27.4%22.1%3.1%2.8%-3.7M58.1M-667.9K2.8215.331,9885,60354,24861,267
2018-05-29$38.17$40.0024.2%6.9%23.4%42.6%26.7%2.7%1.1%-3.9M84.0M-628.2K1.8913.542,3294,39854,22361,994
2018-05-30$38.36$40.0023.0%6.6%23.3%36.1%23.8%1.9%2.1%-4.2M81.3M-638.6K2.5520.622,9807,61054,95964,020
2018-05-31$38.74$40.0021.2%6.1%21.4%28.0%23.0%2.3%2.5%-4.8M72.7M-663.8K2.6210.162,5656,72755,92067,504