TSM Options History — July 2018

In July 2018, TSM traded between $36.39 and $41.49. ATM implied volatility averaged 24.0%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.6% (HV 20d: 25.6%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2018-07-19: Highest Volume — 14,821 contracts
  • 2018-07-11: Largest IV drop — 24.6% change
  • 2018-07-09: Highest IV Rank — 81.5%
  • 2018-07-02: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.83$36.39$41.49$36.41$41.18
Max Pain$37.76$37.00$40.00$40.00$39.00
ATM IV24.0%18.1%33.1%30.4%19.6%
Expected Move6.5%5.2%8.7%8.7%5.6%
HV 20d25.6%19.9%29.5%25.2%20.1%
HV 60d24.3%22.3%25.8%25.6%23.3%
IV Rank40.3%14.0%81.5%69.2%20.8%
IV Percentile58.2%19.8%96.8%94.8%27.8%
Term Structure-0.4%-4.3%2.3%-4.0%0.1%
VWIV22.4%18.5%29.9%29.9%19.1%
Skew 25d2.2%1.4%3.4%1.9%2.0%
Skew 10d4.0%-1.6%6.3%5.4%4.6%
Call IV 25d21.6%17.6%29.3%29.3%19.6%
Put IV 25d23.8%19.1%31.5%31.2%21.6%
Bid-Ask Spread %14.079.7518.5412.9911.38
Gamma HHI0.130.100.220.140.10
Net GEX-1.3M-3.6M1.1M-3.6M863.7K
Net DEX17.2M-52.8M85.1M85.1M-42.4M
Net VEX-645.0K-671.3K-601.8K-661.2K-620.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.332.181.272.18
Total Volume5,756.9053,13414,8215,2484,738
Total OI121,142.61989,601143,075130,53993,448

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$36.41$40.0030.4%8.7%25.2%69.2%29.9%1.9%-4.0%-3.6M85.1M-661.2K1.2712.992,3102,93862,07568,464
2018-07-03$36.39$40.0029.9%8.6%25.2%66.9%29.5%2.6%-4.3%-3.6M84.5M-663.4K1.1214.971,4761,65862,82968,648
2018-07-05$36.53$37.0030.5%7.2%25.2%69.7%25.7%2.8%-0.5%-3.5M79.6M-654.0K0.9012.712,2161,99663,25367,806
2018-07-06$37.27$37.0031.0%7.0%26.6%72.2%24.2%3.4%-1.0%-2.9M58.2M-670.7K0.8916.882,7582,46064,04068,096
2018-07-09$37.74$37.0033.1%6.9%26.8%81.5%24.1%2.8%-0.7%-2.6M48.7M-671.3K1.3214.841,9032,51365,05068,756
2018-07-10$37.90$37.0032.3%6.7%26.9%78.1%24.1%3.1%-0.6%-2.5M44.8M-667.9K1.3618.191,6512,24265,28569,019
2018-07-11$37.03$37.0024.4%7.0%27.7%42.3%24.5%2.7%-0.3%-3.0M65.6M-646.5K0.9712.452,1872,12565,65569,033
2018-07-12$37.22$37.0023.4%6.7%27.9%37.9%23.5%1.4%-0.0%-3.0M61.5M-658.3K1.3215.732,2532,96466,29370,392
2018-07-13$37.75$37.0023.7%6.8%28.2%39.1%23.6%2.3%-0.5%-2.5M48.5M-668.0K0.8718.543,4052,96066,65870,670
2018-07-16$37.81$37.0023.6%6.8%28.2%38.9%24.2%1.9%-0.5%-2.4M47.0M-649.4K0.6717.782,9881,98767,15970,586
2018-07-17$38.01$37.0023.1%6.6%28.0%36.6%23.1%2.2%-0.4%-2.3M40.9M-644.3K1.5211.931,9572,97767,06170,757
2018-07-18$38.46$37.0023.5%6.7%27.8%38.3%23.1%2.3%-0.6%-1.9M29.9M-650.0K1.1017.664,7015,15467,51071,304
2018-07-19$39.76$37.0019.7%5.6%29.5%21.1%19.4%2.5%1.7%1.1M-17.5M-630.2K0.5710.249,4235,39870,08672,989
2018-07-20$40.73$38.0018.1%5.2%29.5%14.0%18.5%1.5%2.3%-219.9K-52.8M-601.8K0.3314.3411,1063,64069,48873,214
2018-07-23$40.73$38.0018.6%5.3%29.2%16.1%18.7%1.6%0.6%528.6K-33.5M-633.6K0.8911.932,2171,97636,42253,179
2018-07-24$40.44$38.0019.7%5.6%22.2%20.9%19.1%1.8%-0.1%466.0K-28.6M-637.6K1.0110.212,0652,08837,21453,446
2018-07-25$40.76$38.0019.1%5.5%22.2%18.4%18.7%1.7%-0.1%562.0K-33.3M-631.9K0.9413.852,1592,02437,45253,660
2018-07-26$40.68$38.0018.8%5.4%19.9%17.2%18.6%1.4%0.4%670.2K-33.5M-636.5K1.7416.421,3552,35838,00353,844
2018-07-27$41.49$38.0020.1%5.8%20.4%22.9%19.2%2.1%-0.4%881.1K-48.0M-626.7K1.0712.772,2332,38737,90254,008
2018-07-30$41.14$39.0020.4%5.9%20.4%24.4%20.6%1.7%-0.5%878.5K-42.7M-621.1K1.499.751,5862,36338,77654,465
2018-07-31$41.18$39.0019.6%5.6%20.1%20.8%19.1%2.0%0.1%863.7K-42.4M-620.6K2.1811.381,4883,25038,77354,675