TSM Options History — February 2019

In February 2019, TSM traded between $37.53 and $39.59. ATM implied volatility averaged 20.6%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 3.2% (HV 20d: 23.8%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.10.

Notable Days

2019-02-20: Highest Volume — 7,692 contracts
2019-02-12: Largest IV drop — 9.1% change
2019-02-11: Highest IV Rank — 19.8%
2019-02-11: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.57	$37.53	$39.59	$37.53	$39.08
Max Pain	$37.00	$37.00	$37.00	$37.00	$37.00
ATM IV	20.6%	19.1%	22.3%	21.6%	20.1%
Expected Move	5.9%	5.5%	6.4%	6.2%	5.8%
HV 20d	23.8%	14.6%	27.0%	27.0%	14.6%
HV 60d	28.4%	26.5%	29.8%	29.7%	26.5%
IV Rank	13.0%	6.9%	19.8%	16.9%	10.8%
IV Percentile	16.9%	7.9%	26.6%	23.0%	13.9%
Term Structure	2.5%	1.2%	3.8%	1.8%	3.6%
VWIV	21.0%	19.5%	23.1%	23.1%	21.1%
Skew 25d	3.0%	1.8%	4.2%	3.3%	2.0%
Skew 10d	7.8%	3.6%	13.4%	7.0%	4.0%
Call IV 25d	19.6%	18.4%	20.9%	20.9%	19.3%
Put IV 25d	22.6%	21.1%	24.9%	24.2%	21.3%
Bid-Ask Spread %	17.67	11.93	28.44	22.97	12.92
Gamma HHI	0.21	0.11	0.60	0.28	0.13
Net GEX	-1.7M	-7.9M	1.1M	-3.1M	452.4K
Net DEX	-13.5M	-24.3M	4.7M	4.7M	-16.6M
Net VEX	-486.3K	-515.9K	-459.0K	-515.9K	-487.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.10	0.20	13.54	0.96	1.16
Total Volume	1,819.368	484	7,692	1,742	844
Total OI	75,846.526	61,099	84,128	78,516	69,758

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-02-01	$37.53	$37.00	21.6%	6.2%	27.0%	16.9%	23.1%	3.3%	1.8%	-3.1M	4.7M	-515.9K	0.96	22.97	887	855	29,907	48,609
2019-02-04	$37.90	$37.00	21.8%	6.1%	26.8%	17.7%	21.9%	4.2%	2.1%	-2.6M	-5.0M	-497.2K	0.35	21.55	359	125	30,094	48,624
2019-02-05	$38.23	$37.00	21.4%	6.0%	26.7%	16.2%	20.9%	3.3%	2.0%	-2.1M	-11.1M	-491.3K	0.60	20.70	349	210	30,091	49,240
2019-02-06	$38.74	$37.00	20.4%	5.9%	26.2%	12.2%	20.5%	3.8%	2.1%	-1.2M	-20.6M	-486.6K	7.26	28.44	492	3,570	30,194	49,258
2019-02-07	$38.09	$37.00	21.9%	6.3%	26.7%	18.3%	22.4%	4.2%	1.8%	-3.7M	-2.0M	-500.9K	0.36	15.76	1,308	465	30,476	52,409
2019-02-08	$37.78	$37.00	22.1%	6.3%	26.1%	18.9%	22.3%	3.5%	1.9%	-4.5M	1.6M	-510.5K	1.16	15.00	466	539	31,313	52,535
2019-02-11	$38.18	$37.00	22.3%	6.4%	26.2%	19.8%	21.9%	3.9%	1.2%	-3.5M	-10.0M	-492.0K	13.54	15.02	249	3,371	31,384	52,578
2019-02-12	$38.66	$37.00	20.3%	5.8%	24.8%	11.7%	21.2%	3.5%	2.6%	-1.4M	-24.3M	-475.5K	0.23	22.36	580	136	31,363	51,810
2019-02-13	$38.15	$37.00	20.4%	5.9%	25.5%	12.3%	19.8%	2.3%	2.6%	-3.2M	-15.4M	-473.6K	0.20	15.79	1,414	276	31,461	51,845
2019-02-14	$38.14	$37.00	20.6%	5.9%	25.3%	12.9%	20.9%	2.2%	1.8%	-3.1M	-17.7M	-464.6K	0.32	16.09	834	271	32,275	51,853
2019-02-15	$38.08	$37.00	19.9%	5.7%	25.2%	10.0%	19.8%	2.7%	2.8%	-7.9M	-19.0M	-460.9K	1.65	14.16	818	1,353	32,232	51,893
2019-02-19	$38.57	$37.00	19.1%	5.5%	24.6%	6.9%	22.1%	3.3%	2.5%	1.1M	-17.0M	-462.5K	0.79	14.95	800	630	29,108	31,991
2019-02-20	$39.01	$37.00	19.8%	5.7%	23.8%	9.6%	19.5%	2.4%	3.8%	1.1M	-22.3M	-459.0K	4.80	19.12	1,326	6,366	29,304	32,382
2019-02-21	$38.93	$37.00	20.6%	5.9%	23.9%	12.9%	19.7%	1.8%	3.3%	-369.3K	-4.9M	-512.1K	0.65	19.08	665	433	29,838	41,265
2019-02-22	$39.26	$37.00	19.8%	5.7%	21.5%	9.6%	19.8%	2.7%	3.4%	133.7K	-14.8M	-490.9K	0.89	15.92	521	466	29,860	38,560
2019-02-25	$39.59	$37.00	19.7%	5.7%	21.1%	9.5%	20.7%	3.0%	2.7%	161.9K	-20.8M	-485.8K	0.20	11.93	537	108	30,028	38,610
2019-02-26	$39.57	$37.00	19.8%	5.7%	19.6%	9.9%	20.5%	2.8%	2.9%	207.9K	-20.4M	-488.7K	0.20	14.63	1,106	216	30,342	38,633
2019-02-27	$39.41	$37.00	20.2%	5.8%	16.3%	11.3%	21.3%	2.1%	3.1%	385.8K	-20.2M	-484.3K	4.64	19.31	288	1,335	31,276	38,685
2019-02-28	$39.08	$37.00	20.1%	5.8%	14.6%	10.8%	21.1%	2.0%	3.6%	452.4K	-16.6M	-487.4K	1.16	12.92	390	454	31,399	38,359