TSM Options History — August 2018

In August 2018, TSM traded between $40.10 and $44.21. ATM implied volatility averaged 18.8%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.1% (HV 20d: 19.9%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.78.

Notable Days

  • 2018-08-29: Highest Volume — 12,869 contracts
  • 2018-08-13: Largest IV spike — 16.2% change
  • 2018-08-14: Highest IV Rank — 30.6%
  • 2018-08-29: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.45$40.10$44.21$41.69$43.46
Max Pain$40.70$39.00$41.00$39.00$41.00
ATM IV18.8%17.4%21.8%19.0%19.5%
Expected Move5.3%5.0%5.8%5.5%5.6%
HV 20d19.9%16.9%24.3%20.0%24.3%
HV 60d23.0%22.1%24.0%23.4%24.0%
IV Rank17.1%10.6%30.6%18.1%20.1%
IV Percentile21.8%10.7%54.0%23.0%23.8%
Term Structure2.7%-0.3%4.2%-0.3%3.2%
VWIV18.8%17.3%20.0%18.7%19.4%
Skew 25d1.6%0.4%2.5%1.9%1.2%
Skew 10d3.9%0.6%11.7%11.7%2.6%
Call IV 25d18.1%17.1%19.5%18.9%18.9%
Put IV 25d19.7%18.3%21.1%20.9%20.0%
Bid-Ask Spread %13.657.8617.247.8612.30
Gamma HHI0.110.100.160.100.13
Net GEX1.1M-481.1K3.2M993.2K3.2M
Net DEX-41.5M-96.2M-3.8M-52.0M-84.4M
Net VEX-611.1K-647.3K-556.2K-621.5K-596.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.225.471.212.00
Total Volume6,064.4782,95112,8693,2156,588
Total OI96,632.43587,880103,70195,048103,701

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$41.69$39.0019.0%5.5%20.0%18.1%18.7%1.9%-0.3%993.2K-52.0M-621.5K1.217.861,4561,75938,78756,261
2018-08-02$41.45$39.0018.9%5.4%20.5%17.6%18.3%1.5%-0.0%980.2K-48.5M-614.1K1.0610.511,5101,60338,89156,329
2018-08-03$41.61$39.0018.2%5.2%19.8%14.3%18.2%0.4%0.6%1.1M-51.4M-618.8K1.7813.851,3012,32039,25656,402
2018-08-06$41.07$41.0019.1%5.3%20.7%18.7%18.7%2.3%2.3%862.7K-40.9M-615.6K1.3215.331,4221,88139,44457,134
2018-08-07$41.11$41.0018.3%5.1%20.7%14.6%18.7%2.1%3.8%742.4K-39.2M-617.1K1.8517.141,0361,91539,56157,391
2018-08-08$42.05$41.0017.9%5.1%19.0%12.8%18.6%1.6%3.0%1.3M-61.3M-599.9K0.8114.822,6702,16039,72457,598
2018-08-09$41.85$41.0017.5%5.1%19.4%11.2%18.6%1.9%3.0%1.1M-56.6M-595.8K0.8112.802,4261,97339,42857,443
2018-08-10$40.97$41.0018.2%5.3%21.4%14.2%19.0%2.1%3.2%633.7K-34.0M-605.3K1.7912.281,8783,35438,80557,452
2018-08-13$40.74$41.0021.1%5.5%21.7%27.4%19.3%1.3%2.1%587.6K-28.2M-624.4K1.5012.972,0723,10639,62659,095
2018-08-14$40.95$41.0021.8%5.3%21.7%30.6%18.3%1.8%2.6%786.3K-35.8M-603.0K1.9914.011,5193,02339,97259,227
2018-08-15$40.51$41.0019.0%5.4%22.0%18.0%19.5%2.5%2.6%636.8K-23.2M-615.7K0.5814.137,3304,23939,95659,355
2018-08-16$40.44$41.0019.1%5.5%18.9%18.5%19.1%2.1%2.4%782.5K-22.6M-610.9K2.6915.641,5844,25940,19259,298
2018-08-17$40.10$41.0018.0%5.2%17.0%13.7%18.7%2.1%3.3%1.7M-12.6M-608.0K2.0417.242,2224,54340,16659,629
2018-08-20$40.10$41.0018.9%5.4%17.0%17.5%18.6%1.7%2.5%-481.1K-3.8M-601.6K1.8110.773,6586,62034,81353,067
2018-08-21$40.87$41.0018.3%5.2%18.2%14.9%18.6%1.5%2.8%277.9K-20.0M-636.9K2.4914.462,4035,98337,17655,454
2018-08-22$40.87$41.0018.1%5.2%18.0%13.8%18.8%1.5%3.8%410.4K-20.2M-647.3K5.4713.831,1246,14337,86055,547
2018-08-23$40.76$41.0017.8%5.1%18.0%12.7%19.4%1.3%4.2%360.7K-19.3M-633.2K4.7815.101,0424,98337,94855,677
2018-08-24$41.25$41.0017.4%5.0%17.0%10.6%17.3%1.2%4.2%693.3K-27.7M-640.6K3.0115.941,0433,13838,29756,554
2018-08-27$41.52$41.0017.9%5.1%16.9%12.9%18.3%1.7%3.1%1.0M-36.3M-616.2K1.219.971,3851,67338,30856,602
2018-08-28$42.30$41.0018.5%5.3%18.1%15.6%18.8%1.7%3.3%1.7M-54.8M-591.0K0.2513.305,9241,46138,58456,573
2018-08-29$44.21$40.0020.2%5.8%23.4%23.3%20.0%1.3%2.5%2.3M-96.2M-556.2K0.2215.0810,5502,31940,68556,709
2018-08-30$43.47$41.0019.8%5.7%24.3%21.4%19.6%0.8%3.2%3.2M-86.7M-584.8K0.3014.596,8422,04345,14457,425
2018-08-31$43.46$41.0019.5%5.6%24.3%20.1%19.4%1.2%3.2%3.2M-84.4M-596.6K2.0012.302,1974,39145,86957,832