TSM Options History — September 2018

In September 2018, TSM traded between $43.32 and $44.90. ATM implied volatility averaged 23.3%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.0% (HV 20d: 23.3%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.31.

Notable Days

  • 2018-09-13: Highest Volume — 15,123 contracts
  • 2018-09-12: Largest IV spike — 16.3% change
  • 2018-09-28: Highest IV Rank — 43.0%
  • 2018-09-28: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.21$43.32$44.90$43.96$44.10
Max Pain$40.42$40.00$42.00$41.00$42.00
ATM IV23.3%20.3%25.1%20.4%25.1%
Expected Move6.9%5.9%7.2%5.9%7.2%
HV 20d23.3%19.2%25.5%23.8%19.2%
HV 60d22.8%21.0%24.3%23.9%21.4%
IV Rank35.3%23.0%43.0%23.9%43.0%
IV Percentile62.1%32.9%77.4%33.7%77.4%
Term Structure-0.7%-2.1%3.1%3.0%-2.1%
VWIV24.0%20.1%26.2%20.5%24.5%
Skew 25d1.3%0.5%2.1%1.1%1.6%
Skew 10d3.3%1.5%5.1%1.5%2.5%
Call IV 25d23.6%20.0%25.2%20.4%23.6%
Put IV 25d24.9%21.0%26.9%21.6%25.2%
Bid-Ask Spread %17.259.2030.679.2030.67
Gamma HHI0.140.100.340.130.12
Net GEX2.0M-3.8M4.0M3.4M1.3M
Net DEX-94.0M-114.2M-65.3M-93.1M-82.1M
Net VEX-608.8K-652.4K-569.2K-610.0K-614.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.383.011.581.40
Total Volume6,781.1584,19315,1236,7985,573
Total OI114,097.789106,252122,861106,252116,847

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$43.96$41.0020.4%5.9%23.8%23.9%20.5%1.1%3.0%3.4M-93.1M-610.0K1.589.202,6374,16146,24260,010
2018-09-05$44.16$41.0020.5%5.9%23.8%23.8%20.1%1.0%3.1%3.7M-100.0M-598.4K1.2312.353,1883,90747,00760,107
2018-09-06$43.94$40.0020.3%6.8%22.9%23.0%23.5%2.0%-0.2%3.7M-94.4M-599.7K1.4812.762,7774,11947,13760,066
2018-09-07$44.81$40.0020.5%6.8%23.5%24.0%23.6%0.9%-0.0%4.0M-114.2M-569.2K1.0517.614,8635,09547,00160,307
2018-09-10$44.68$40.0020.9%6.8%21.8%25.8%23.6%1.7%-0.2%3.8M-107.3M-580.2K0.5526.952,7661,52847,93861,537
2018-09-11$44.49$40.0021.1%7.0%21.7%24.1%24.7%1.7%-0.1%3.7M-104.1M-578.2K0.5213.803,3021,72848,11361,770
2018-09-12$43.92$40.0024.6%7.0%22.6%40.3%24.7%1.1%-0.6%3.4M-90.5M-590.8K1.4916.863,6165,38948,50561,947
2018-09-13$43.32$40.0024.1%6.9%22.8%38.0%24.0%1.3%-0.2%1.8M-65.3M-624.2K0.3820.2610,9974,12649,94465,589
2018-09-14$44.45$40.0024.3%7.0%24.1%39.2%24.2%2.1%-0.7%2.4M-105.2M-625.1K0.5614.443,7882,11352,21066,837
2018-09-17$43.80$40.0025.0%7.2%24.6%42.2%24.6%1.4%-1.7%1.2M-84.8M-645.2K1.0614.752,6232,77353,08667,360
2018-09-18$43.61$40.0025.1%7.2%24.8%42.9%26.2%1.7%-1.7%735.1K-76.4M-652.4K3.0119.601,9185,77954,00167,308
2018-09-19$44.10$40.0024.7%7.1%24.3%40.9%25.2%1.1%-1.4%1.7M-96.9M-626.0K1.0714.252,0262,16754,00467,394
2018-09-20$44.21$40.0025.0%7.2%24.3%42.5%25.0%0.5%-1.8%598.0K-102.3M-614.5K1.3828.422,3683,26754,33067,491
2018-09-21$44.09$40.0024.3%7.0%24.3%39.0%24.4%0.9%-1.3%-3.8M-94.8M-621.5K2.1815.212,0914,56854,19768,664
2018-09-24$44.90$41.0024.2%6.9%24.6%38.5%24.0%2.0%-2.0%1.8M-98.9M-603.0K1.2515.832,3552,93545,56864,190
2018-09-25$44.26$41.0024.9%7.1%25.5%42.1%25.3%1.1%-1.8%1.6M-86.0M-612.0K1.4414.042,2963,29745,69564,727
2018-09-26$44.40$41.0024.3%7.0%24.8%39.3%24.4%1.3%-1.7%1.5M-90.1M-613.0K1.1917.282,6663,17746,39768,597
2018-09-27$44.73$41.0024.1%6.9%19.5%38.0%24.0%0.9%-1.6%1.8M-100.0M-589.3K2.0213.412,2714,59247,10768,628
2018-09-28$44.10$42.0025.1%7.2%19.2%43.0%24.5%1.6%-2.1%1.3M-82.1M-614.7K1.4030.672,3213,25247,34769,500