TSM Options History — December 2018

In December 2018, TSM traded between $35.46 and $38.66. ATM implied volatility averaged 33.6%, placing in the 75.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.7% (HV 20d: 29.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.46.

Notable Days

  • 2018-12-28: Highest Volume — 10,399 contracts
  • 2018-12-11: Largest IV drop — 11.9% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-27: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.77$35.46$38.66$38.66$36.88
Max Pain$40.15$40.00$41.00$41.00$40.00
ATM IV33.6%25.1%40.1%25.1%36.6%
Expected Move9.6%7.2%11.5%7.2%10.5%
HV 20d29.9%27.2%32.3%30.7%27.2%
HV 60d29.5%29.0%30.2%29.1%29.2%
IV Rank75.2%36.6%100.0%36.6%84.7%
IV Percentile90.6%59.9%100.0%59.9%95.2%
Term Structure-2.7%-5.5%1.0%1.0%-4.0%
VWIV34.4%25.8%43.9%25.8%36.2%
Skew 25d4.6%3.1%7.4%4.3%5.0%
Skew 10d8.9%-3.2%15.2%6.5%10.4%
Call IV 25d31.6%23.4%38.4%23.4%35.9%
Put IV 25d36.2%27.8%42.7%27.8%40.9%
Bid-Ask Spread %26.9014.8535.3414.8532.62
Gamma HHI0.110.100.130.130.13
Net GEX-3.7M-4.3M-2.9M-3.4M-4.0M
Net DEX92.3M55.1M119.2M55.1M80.6M
Net VEX-549.2K-624.5K-498.9K-624.5K-519.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.268.560.280.26
Total Volume2,890.735210,3992,1291,465
Total OI114,692.75102,944121,201115,626109,763

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$38.66$41.0025.1%7.2%30.7%36.6%25.8%4.3%1.0%-3.4M55.1M-624.5K0.2814.851,65947044,01071,616
2018-12-04$37.65$41.0027.7%7.9%31.9%48.5%28.5%5.6%0.7%-3.7M80.0M-610.5K1.9118.401,2142,31644,49971,608
2018-12-05$37.54$41.0030.2%8.7%31.9%60.8%30.2%3.4%-0.9%-3.6M81.5M-599.5K1.8728.841,2212,28244,49971,608
2018-12-06$36.71$40.0031.2%8.9%32.3%65.3%32.2%6.5%-2.5%-3.9M103.5M-585.5K1.7330.196711,16144,90372,632
2018-12-07$36.50$40.0032.8%9.1%32.3%72.9%31.8%4.8%-2.0%-3.8M103.3M-580.7K0.7535.2991868745,19572,831
2018-12-10$36.45$40.0035.8%9.7%31.9%87.0%32.4%4.7%-3.9%-3.8M103.4M-571.9K0.6023.9822013245,40472,955
2018-12-11$36.73$40.0031.5%9.2%30.8%66.9%32.0%3.9%-2.6%-4.0M100.8M-569.4K0.8821.9248242645,48272,996
2018-12-12$37.50$40.0030.9%8.9%31.6%64.0%31.3%3.7%-1.4%-4.2M86.1M-579.9K1.0925.7852957845,49172,956
2018-12-13$37.36$40.0030.8%8.8%31.1%63.4%32.8%3.9%-1.1%-4.3M90.6M-568.0K3.6524.893691,34745,65673,203
2018-12-14$36.61$40.0032.0%9.2%31.4%69.2%33.3%4.0%-2.5%-4.1M105.2M-538.4K2.3920.325661,35445,68672,453
2018-12-17$36.15$40.0033.8%9.7%28.8%77.6%31.9%7.4%-3.7%-3.9M112.7M-519.2K1.0930.2948052145,56672,377
2018-12-18$36.85$40.0032.3%9.2%28.4%70.2%33.6%4.2%-2.4%-4.2M103.5M-521.6K1.5620.521,2671,97745,70972,437
2018-12-19$36.16$40.0033.2%9.5%28.8%74.7%35.0%3.1%-3.0%-3.9M115.0M-526.3K0.9528.102,4362,30545,68573,224
2018-12-20$35.85$40.0036.7%10.5%28.3%91.3%38.9%4.7%-3.6%-3.6M119.2M-512.0K2.8323.991,1123,14847,02874,173
2018-12-21$35.86$40.0036.2%10.4%28.2%88.7%35.6%4.3%-3.7%-3.3M110.4M-510.3K0.7329.2699672347,31372,122
2018-12-24$35.46$40.0039.8%11.4%27.2%100.0%43.4%4.4%-4.3%-2.9M87.1M-498.9K7.9234.834873,85841,53561,409
2018-12-26$36.59$40.0039.1%11.2%29.7%97.2%41.6%5.4%-4.7%-3.1M74.0M-517.0K5.6635.345943,36441,60361,471
2018-12-27$36.66$40.0040.1%11.5%27.3%100.0%43.9%6.0%-5.5%-3.1M72.2M-513.9K4.5827.197313,34941,85561,440
2018-12-28$37.16$40.0036.8%10.6%27.8%85.8%37.9%3.4%-3.4%-2.9M61.0M-517.3K8.5631.431,0889,31142,00461,458
2018-12-31$36.88$40.0036.6%10.5%27.2%84.7%36.2%5.0%-4.0%-4.0M80.6M-519.7K0.2632.621,16130442,19967,564