TSM Options History — October 2018

In October 2018, TSM traded between $36.04 and $44.67. ATM implied volatility averaged 31.3%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.7% (HV 20d: 26.5%). Max pain ranged from $39.00 to $44.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 2.75.

Notable Days

  • 2018-10-17: Highest Volume — 28,027 contracts
  • 2018-10-29: Largest IV spike — 11.8% change
  • 2018-10-08: Highest IV Rank — 100.0%
  • 2018-10-29: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.64$36.04$44.67$44.67$38.19
Max Pain$41.26$39.00$44.00$42.00$39.00
ATM IV31.3%25.3%37.8%25.3%29.7%
Expected Move8.6%7.2%10.4%7.2%8.5%
HV 20d26.5%19.6%33.8%19.6%33.8%
HV 60d24.0%21.2%27.2%21.2%27.2%
IV Rank70.3%43.7%100.0%43.7%61.9%
IV Percentile90.9%77.4%100.0%78.2%84.9%
Term Structure-2.7%-5.4%-0.3%-1.9%-3.1%
VWIV30.1%25.3%36.2%25.3%30.6%
Skew 25d3.9%1.2%5.9%1.2%5.9%
Skew 10d6.7%-7.2%13.4%2.4%10.0%
Call IV 25d28.6%24.8%36.1%24.8%26.8%
Put IV 25d32.5%26.0%40.3%26.0%32.7%
Bid-Ask Spread %16.7811.7427.6114.6220.82
Gamma HHI0.120.100.320.110.11
Net GEX-2.8M-10.1M1.7M1.7M-3.7M
Net DEX49.7M-97.9M122.6M-97.9M78.4M
Net VEX-728.8K-809.2K-587.5K-587.5K-717.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.751.036.671.396.35
Total Volume11,229.6964,17428,0274,17415,497
Total OI128,691.217105,006164,088116,968115,213

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$44.67$42.0025.3%7.2%19.6%43.7%25.3%1.2%-1.9%1.7M-97.9M-587.5K1.3914.621,7472,42747,56669,402
2018-10-02$43.69$42.0027.3%7.8%20.9%53.2%27.6%2.0%-4.1%1.2M-71.8M-616.7K1.3513.912,1642,91847,63969,549
2018-10-03$43.91$42.0029.2%8.4%21.0%62.4%28.1%1.7%-4.7%1.2M-76.5M-611.4K1.0620.895,5305,88647,92070,178
2018-10-04$42.32$44.0031.2%7.5%24.6%71.6%26.0%3.2%-1.8%5.0K-27.6M-696.0K1.4322.344,7496,78151,00373,108
2018-10-05$41.50$43.0034.2%8.1%24.0%85.9%28.3%3.3%-2.0%-399.9K-6.9M-701.4K1.0315.992,7462,83452,62273,009
2018-10-08$41.04$42.0037.8%8.7%24.2%100.0%29.8%3.6%-3.3%-870.2K6.9M-700.6K3.7411.743,94814,77353,10673,208
2018-10-09$40.96$42.0035.9%8.3%24.2%91.4%28.7%3.5%-1.9%-1.9M20.0M-768.3K5.4917.432,62514,41553,53184,123
2018-10-10$39.39$42.0032.4%9.3%27.1%75.1%31.8%1.6%-3.0%-3.4M65.8M-735.5K1.8718.584,2167,87154,20682,943
2018-10-11$39.13$42.0033.6%9.6%26.9%80.8%34.2%3.3%-2.7%-3.9M79.6M-761.9K4.2022.913,17813,33754,73786,578
2018-10-12$39.58$42.0032.2%9.2%25.1%74.2%34.1%5.7%-3.2%-3.9M77.3M-809.2K1.2216.193,7914,63955,19991,641
2018-10-15$38.79$42.0032.6%9.3%25.5%76.1%32.0%5.0%-3.0%-4.9M101.8M-802.1K5.0015.352,13610,67356,45994,735
2018-10-16$39.94$42.0030.6%8.8%28.4%67.1%30.3%3.7%-3.2%-3.4M53.7M-797.4K2.0315.862,1804,42156,79691,647
2018-10-17$39.54$42.0031.9%9.2%27.8%73.1%31.6%3.8%-4.0%-3.8M65.2M-786.9K2.7513.267,47420,55356,98590,985
2018-10-18$38.65$41.0028.2%8.1%28.3%55.9%28.9%4.9%-1.1%-10.1M122.6M-797.7K1.9714.105,11610,08061,569102,519
2018-10-19$38.48$41.0028.4%8.2%28.3%57.1%27.3%3.8%-0.3%-3.2M116.7M-744.5K1.9114.963,6296,92961,13696,608
2018-10-22$38.78$40.0026.4%7.6%27.3%47.6%26.6%3.3%-0.4%-3.2M56.6M-745.0K1.8712.212,6434,95236,06368,943
2018-10-23$38.14$40.0029.4%8.4%27.4%61.5%29.2%5.1%-2.2%-3.4M69.0M-726.0K2.1815.772,2904,98936,68869,159
2018-10-24$37.03$40.0031.6%9.1%28.1%71.8%31.1%5.0%-2.5%-4.1M105.4M-746.5K3.3211.961,6005,30637,20376,598
2018-10-25$37.44$40.0029.3%8.4%28.5%60.9%28.5%5.0%-1.7%-4.3M100.4M-742.5K1.9712.312,6915,29537,51076,913
2018-10-26$36.92$40.0032.5%9.3%28.4%75.6%33.1%5.7%-2.3%-3.9M106.1M-743.6K6.6722.092,10414,04338,84776,950
2018-10-29$36.04$40.0036.3%10.4%27.7%93.2%36.2%4.2%-5.4%-3.6M111.6M-693.5K2.4427.611,9294,70239,44474,819
2018-10-30$37.57$39.0033.0%9.5%33.0%77.7%32.5%5.6%-3.7%-3.5M87.4M-729.9K2.1215.122,0774,39939,77675,065
2018-10-31$38.19$39.0029.7%8.5%33.8%61.9%30.6%5.9%-3.1%-3.7M78.4M-717.4K6.3520.822,10913,38840,12875,085