TSM Options History — January 2019

In January 2019, TSM traded between $34.44 and $38.14. ATM implied volatility averaged 29.9%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 1.6% (HV 20d: 31.5%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.79.

Notable Days

  • 2019-01-17: Highest Volume — 25,078 contracts
  • 2019-01-09: Largest IV drop — 22.3% change
  • 2019-01-03: Highest IV Rank — 100.0%
  • 2019-01-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.30$34.44$38.14$36.45$37.59
Max Pain$37.14$37.00$40.00$40.00$37.00
ATM IV29.9%22.3%42.3%38.6%22.3%
Expected Move8.2%6.3%11.1%11.1%6.3%
HV 20d31.5%24.3%34.9%24.3%34.6%
HV 60d30.3%29.1%31.3%29.1%29.8%
IV Rank50.7%19.8%100.0%93.8%19.8%
IV Percentile65.2%25.0%100.0%98.8%25.0%
Term Structure-1.9%-5.1%1.7%-5.1%1.7%
VWIV29.0%22.4%39.1%39.1%22.4%
Skew 25d4.3%2.5%5.8%5.3%3.0%
Skew 10d11.2%8.4%16.1%9.4%11.8%
Call IV 25d26.8%20.7%36.5%36.5%21.6%
Put IV 25d31.1%24.5%41.8%41.8%24.6%
Bid-Ask Spread %24.9510.0740.8631.3221.65
Gamma HHI0.260.140.610.140.26
Net GEX-4.6M-8.1M-2.8M-4.1M-2.8M
Net DEX72.8M1.9M121.6M88.9M3.7M
Net VEX-482.8K-519.9K-432.2K-501.4K-517.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.255.530.541.26
Total Volume5,842.1971725,0781,3971,706
Total OI103,348.28671,942145,347110,76078,281

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$36.45$40.0038.6%11.1%24.3%93.8%39.1%5.3%-5.1%-4.1M88.9M-501.4K0.5431.3290549243,08767,673
2019-01-03$34.44$37.0042.3%10.2%29.9%100.0%36.3%4.8%-4.1%-3.8M121.6M-439.7K2.1027.308681,82043,32267,675
2019-01-04$34.91$37.0037.5%9.5%30.6%80.6%34.0%4.8%-3.2%-4.2M118.2M-432.2K0.9228.002,7032,49243,69367,804
2019-01-07$35.33$37.0040.6%9.4%30.2%93.0%32.3%5.4%-3.6%-4.4M111.2M-450.4K0.8532.192,4892,12345,19368,678
2019-01-08$34.91$37.0040.5%9.2%30.4%92.7%31.5%5.8%-3.2%-4.2M117.1M-464.5K0.3331.881,91662846,34470,039
2019-01-09$35.62$37.0031.5%9.0%31.4%56.5%31.0%4.3%-3.5%-4.5M104.6M-471.9K1.0538.941,1111,17146,51569,394
2019-01-10$36.41$37.0030.5%8.7%32.3%52.6%31.1%5.3%-2.3%-4.6M87.7M-490.5K4.2434.087173,03846,85369,499
2019-01-11$36.60$37.0029.5%8.5%31.4%48.7%30.9%4.2%-2.6%-4.8M85.5M-484.4K2.1140.869642,03646,92970,273
2019-01-14$35.78$37.0030.9%8.8%32.3%54.0%30.4%4.8%-3.2%-4.8M101.3M-459.4K1.8635.496291,17046,79570,110
2019-01-15$35.94$37.0031.7%9.1%31.7%57.2%31.1%4.9%-3.6%-5.0M100.0M-452.1K4.8337.429154,42046,96270,403
2019-01-16$35.70$37.0031.3%9.0%31.5%55.7%32.2%3.2%-3.8%-5.3M111.4M-455.8K2.5330.356,64216,81647,16774,010
2019-01-17$36.09$37.0024.9%7.1%30.9%30.2%26.1%4.4%1.0%-5.6M104.4M-441.5K2.9528.366,34318,73551,28684,484
2019-01-18$36.85$37.0023.5%6.7%31.1%24.6%25.0%4.6%1.2%-8.1M78.7M-498.8K1.8812.882,9125,46153,29392,054
2019-01-22$36.28$37.0026.1%7.5%31.5%34.8%26.1%4.4%-0.5%-4.5M47.6M-492.5K1.3418.831,4681,96922,40249,540
2019-01-23$36.39$37.0026.1%7.5%31.5%35.0%25.7%5.1%-1.7%-4.9M46.6M-513.0K0.5812.681,68297023,26351,109
2019-01-24$37.58$37.0023.3%6.7%33.0%23.5%24.7%3.3%-0.5%-4.3M22.9M-506.7K0.2511.345,5901,40223,71851,290
2019-01-25$38.14$37.0022.5%6.5%31.6%20.5%23.5%4.1%-0.2%-3.2M1.9M-515.1K0.7310.071,36098928,11451,399
2019-01-28$37.41$37.0025.4%7.3%32.5%32.4%25.6%2.6%-1.2%-4.0M16.8M-519.9K0.4515.7049422328,14151,699
2019-01-29$36.41$37.0025.8%7.4%33.6%33.8%25.4%4.1%-0.9%-4.7M41.2M-513.3K1.3413.089891,32128,41151,810
2019-01-30$37.38$37.0023.5%6.7%34.9%24.6%23.7%2.5%-0.2%-4.3M16.9M-518.4K5.5311.621,99111,01628,98552,617
2019-01-31$37.59$37.0022.3%6.3%34.6%19.8%22.4%3.0%1.7%-2.8M3.7M-517.9K1.2621.6575595129,73148,550