TSM Options History — June 2018

In June 2018, TSM traded between $35.69 and $39.90. ATM implied volatility averaged 24.1%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.1% (HV 20d: 21.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2018-06-06: Highest Volume — 14,690 contracts
  • 2018-06-25: Largest IV spike — 17.6% change
  • 2018-06-25: Highest IV Rank — 67.2%
  • 2018-06-25: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.23$35.69$39.90$39.06$36.63
Max Pain$40.38$40.00$41.00$40.00$40.00
ATM IV24.1%19.7%29.9%20.5%28.1%
Expected Move7.2%5.9%8.6%5.9%8.1%
HV 20d21.9%17.5%26.8%21.4%26.8%
HV 60d26.0%24.9%26.8%26.4%25.9%
IV Rank40.8%21.2%67.2%24.6%58.9%
IV Percentile65.4%32.5%93.7%39.3%88.5%
Term Structure-0.5%-3.5%3.5%3.5%-2.9%
VWIV27.1%20.3%31.7%20.3%28.4%
Skew 25d3.7%1.8%5.5%1.8%2.8%
Skew 10d5.5%3.2%7.8%4.4%5.3%
Call IV 25d23.1%18.8%28.9%18.8%27.3%
Put IV 25d26.8%20.7%32.4%20.7%30.1%
Bid-Ask Spread %14.899.5622.8118.0212.89
Gamma HHI0.150.130.160.140.14
Net GEX-3.7M-4.9M-2.5M-4.7M-3.5M
Net DEX72.9M40.8M98.5M65.9M79.4M
Net VEX-674.3K-717.9K-641.8K-669.8K-677.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.634.541.661.39
Total Volume7,485.6194,14714,6906,5544,246
Total OI128,142.619117,796136,895124,662129,883

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$39.06$40.0020.5%5.9%21.4%24.6%20.3%1.8%3.5%-4.7M65.9M-669.8K1.6618.022,4634,09156,36668,296
2018-06-04$39.90$41.0020.7%7.0%22.1%25.6%26.7%4.2%-0.4%-4.0M40.8M-675.9K0.7912.295,3544,23656,39368,985
2018-06-05$39.52$41.0020.1%7.1%22.4%23.0%28.4%4.8%0.3%-4.2M49.0M-685.7K3.3020.893,22910,67158,97969,267
2018-06-06$39.60$41.0020.7%7.0%21.4%25.5%26.8%3.6%-0.2%-4.3M47.1M-703.4K3.7912.763,06611,62459,10870,077
2018-06-07$39.57$41.0021.1%7.0%21.4%27.5%27.5%3.5%0.2%-4.3M50.1M-717.9K4.5419.792,31410,50859,70270,842
2018-06-08$39.01$41.0019.7%7.0%21.6%21.2%30.0%3.5%0.0%-4.6M68.7M-693.8K3.8522.812,1798,38259,98870,885
2018-06-11$38.93$41.0022.9%6.8%21.5%35.6%26.6%3.3%0.4%-4.9M72.8M-692.3K2.2113.911,7273,81360,57972,027
2018-06-12$39.26$41.0020.5%7.0%21.8%24.9%27.7%5.2%-0.5%-4.9M65.2M-685.9K2.5814.211,6624,28660,86172,274
2018-06-13$39.26$41.0023.5%6.7%21.0%38.2%25.1%4.0%0.2%-4.9M64.7M-687.3K1.5413.742,8144,32761,27773,371
2018-06-14$38.75$40.0023.5%6.8%20.9%38.5%25.1%3.2%0.7%-3.8M82.7M-672.9K2.3214.412,3115,35762,31173,513
2018-06-15$38.72$40.0023.2%6.7%19.4%37.0%24.8%3.5%1.1%-2.5M83.4M-670.3K2.1111.882,0234,26962,71674,179
2018-06-18$38.28$40.0023.7%6.8%19.5%39.2%25.0%5.5%-0.5%-2.7M73.7M-650.8K2.0011.352,1004,20657,63460,162
2018-06-19$37.70$40.0024.0%6.9%17.5%40.4%25.1%4.3%0.5%-3.0M84.6M-641.8K1.3913.531,8812,61158,52061,314
2018-06-20$38.34$40.0024.3%7.0%18.7%41.8%24.7%3.4%-1.1%-2.8M71.0M-668.6K2.3316.591,5823,69459,30562,274
2018-06-21$37.63$40.0025.9%7.4%19.6%48.9%26.2%2.8%-0.8%-3.0M89.4M-652.4K1.4518.042,0312,95059,63263,814
2018-06-22$38.22$40.0025.4%7.3%20.5%47.0%31.7%5.2%-0.0%-2.9M77.8M-680.7K0.6314.515,9283,75960,56464,675
2018-06-25$36.39$40.0029.9%8.6%26.6%67.2%29.5%4.3%-3.1%-3.0M91.4M-667.8K1.5018.053,0984,65460,21866,227
2018-06-26$36.49$40.0028.9%8.3%25.1%62.4%29.1%3.2%-2.3%-3.2M82.0M-664.1K2.5412.581,5233,86360,66166,293
2018-06-27$35.69$40.0029.8%8.5%25.9%66.5%31.3%2.1%-3.5%-3.5M98.5M-645.1K1.9910.941,4092,81061,04667,290
2018-06-28$35.85$40.0029.0%8.3%25.6%63.2%29.9%3.6%-2.8%-3.6M93.6M-655.7K2.229.561,2872,86061,33668,151
2018-06-29$36.63$40.0028.1%8.1%26.8%58.9%28.4%2.8%-2.9%-3.5M79.4M-677.6K1.3912.891,7782,46861,54368,340