TSM Options History — November 2018

In November 2018, TSM traded between $35.61 and $39.05. ATM implied volatility averaged 29.4%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.6% (HV 20d: 31.0%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2018-11-06: Highest Volume — 12,430 contracts
  • 2018-11-12: Largest IV spike — 48.0% change
  • 2018-11-12: Highest IV Rank — 100.0%
  • 2018-11-20: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.58$35.61$39.05$39.05$37.40
Max Pain$41.38$39.00$43.00$39.00$41.00
ATM IV29.4%26.1%38.6%28.4%28.3%
Expected Move8.0%6.8%8.9%8.1%8.1%
HV 20d31.0%28.1%33.4%33.4%28.1%
HV 60d27.8%26.9%29.0%27.2%28.5%
IV Rank58.7%44.5%100.0%55.9%51.6%
IV Percentile81.0%70.6%100.0%81.0%75.8%
Term Structure0.2%-2.7%2.1%-2.3%0.1%
VWIV27.8%24.3%30.8%29.0%27.4%
Skew 25d4.0%2.1%5.7%4.7%3.3%
Skew 10d8.4%5.6%14.6%11.7%7.7%
Call IV 25d26.4%22.5%30.0%26.2%26.9%
Put IV 25d30.4%26.3%35.5%30.9%30.2%
Bid-Ask Spread %21.8314.4135.5716.1130.91
Gamma HHI0.110.090.160.090.12
Net GEX-3.6M-4.8M-3.1M-3.2M-3.6M
Net DEX83.4M55.7M117.0M55.7M83.4M
Net VEX-659.6K-724.1K-595.4K-709.6K-619.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.201.193.692.911.87
Total Volume6,399.5243,07712,4306,7154,193
Total OI117,936.19113,328126,740113,503115,666

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$39.05$39.0028.4%8.1%33.4%55.9%29.0%4.7%-2.3%-3.2M55.7M-709.6K2.9116.111,7194,99640,51072,993
2018-11-02$38.80$39.0029.5%8.5%32.9%60.9%29.1%5.7%-2.7%-3.4M61.7M-714.9K2.4018.192,0324,86740,62273,526
2018-11-05$38.41$43.0031.9%7.9%32.8%72.1%29.3%3.6%0.8%-3.4M69.0M-694.1K2.5225.531,8244,59741,16073,734
2018-11-06$38.56$43.0029.5%7.5%32.9%61.0%25.9%4.2%0.4%-3.5M65.6M-690.0K1.1919.935,6796,75141,18973,759
2018-11-07$39.00$43.0026.1%7.0%30.4%44.6%24.6%4.5%0.8%-3.4M55.8M-712.7K2.8519.502,4957,11144,70075,686
2018-11-08$38.73$43.0026.8%6.8%30.4%48.1%24.3%3.6%2.1%-3.3M60.1M-724.1K1.8521.652,9235,40544,93575,962
2018-11-09$38.10$43.0026.1%7.2%30.5%44.5%25.1%4.5%1.3%-3.5M80.6M-706.2K3.3432.861,6255,42845,48176,621
2018-11-12$37.10$43.0038.6%8.4%31.1%100.0%26.8%4.2%-0.2%-3.7M102.5M-673.7K1.7135.574,2787,30745,58176,844
2018-11-13$37.30$41.0037.5%7.9%29.0%95.3%27.8%3.5%0.5%-4.2M100.9M-679.3K2.9718.541,4424,27747,84078,799
2018-11-14$37.91$41.0027.9%8.0%29.7%51.6%29.2%3.7%-0.1%-3.9M86.1M-685.2K3.6922.241,9217,08547,87678,864
2018-11-15$38.38$41.0028.1%8.1%29.1%52.5%26.9%4.1%-0.1%-3.1M64.8M-696.4K2.1223.642,2964,86848,06976,780
2018-11-16$36.96$41.0027.9%8.0%32.0%51.1%28.5%3.8%0.5%-4.8M102.9M-653.2K2.9322.311,9205,62148,16176,850
2018-11-19$36.11$41.0029.1%8.4%32.6%57.0%28.5%2.1%0.4%-3.6M109.1M-607.1K1.3123.451,7552,29942,05571,867
2018-11-20$35.61$41.0031.0%8.9%32.5%65.7%30.8%5.5%-0.7%-3.5M117.0M-595.4K1.5519.121,5032,33042,43572,074
2018-11-21$36.24$41.0029.4%8.4%31.7%58.3%28.7%2.9%0.7%-3.5M102.0M-615.2K1.8316.421,5492,82842,69871,148
2018-11-23$35.96$41.0030.1%8.6%31.5%61.5%29.7%3.9%0.6%-3.4M107.2M-599.5K2.3920.531,0162,43343,04770,985
2018-11-26$36.74$41.0028.8%8.3%32.2%55.4%28.8%4.2%0.6%-3.6M95.1M-598.6K1.3414.731,3131,76443,14470,184
2018-11-27$36.74$41.0028.4%8.1%30.9%52.0%28.8%3.5%1.4%-3.6M94.4M-599.0K2.3216.041,2432,88043,57470,409
2018-11-28$37.89$41.0027.2%7.8%29.3%46.5%27.8%4.8%-0.1%-3.6M72.6M-637.1K1.7314.411,5522,68343,65071,627
2018-11-29$38.09$41.0027.4%7.9%28.7%47.4%26.6%3.0%0.1%-3.3M65.4M-641.5K1.4026.691,9132,66943,94771,608
2018-11-30$37.40$41.0028.3%8.1%28.1%51.6%27.4%3.3%0.1%-3.6M83.4M-619.5K1.8730.911,4622,73144,03171,635