TSM Options History — March 2019

In March 2019, TSM traded between $38.23 and $41.09. ATM implied volatility averaged 22.5%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.4% (HV 20d: 15.1%). Max pain ranged from $36.00 to $41.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2019-03-28: Highest Volume — 16,739 contracts
  • 2019-03-22: Largest IV spike — 12.8% change
  • 2019-03-27: Highest IV Rank — 38.4%
  • 2019-03-28: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.60$38.23$41.09$39.41$41.00
Max Pain$37.80$36.00$41.00$37.00$41.00
ATM IV22.5%19.9%27.0%20.1%25.1%
Expected Move6.3%5.7%7.1%5.7%6.9%
HV 20d15.1%12.2%18.2%14.7%18.2%
HV 60d24.4%23.7%25.7%25.7%23.7%
IV Rank20.6%10.1%38.4%10.7%31.2%
IV Percentile35.3%13.9%61.9%13.9%55.6%
Term Structure-0.9%-3.2%3.0%3.0%-0.9%
VWIV22.3%19.7%25.0%20.4%23.7%
Skew 25d3.5%2.6%4.3%2.6%4.1%
Skew 10d8.4%3.7%16.9%8.8%10.4%
Call IV 25d22.0%19.2%25.2%19.4%23.6%
Put IV 25d25.5%22.0%29.0%22.0%27.7%
Bid-Ask Spread %28.829.3051.8214.9828.40
Gamma HHI0.150.130.170.140.17
Net GEX77.6K-415.0K447.7K447.7K-218.1K
Net DEX-18.3M-48.0M-1.8M-20.0M-48.0M
Net VEX-514.3K-759.0K-455.6K-482.0K-759.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.044.630.960.59
Total Volume4,401.90553116,73971014,265
Total OI74,703.61966,433106,04869,836106,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$39.41$37.0020.1%5.7%14.7%10.7%20.4%2.6%3.0%447.7K-20.0M-482.0K0.9614.9836334731,45938,377
2019-03-04$39.12$37.0020.7%5.9%15.1%13.3%20.7%3.6%0.2%406.3K-15.9M-478.1K0.9814.6526826331,63838,477
2019-03-05$39.12$37.0020.2%5.8%14.8%11.3%20.4%3.9%-0.2%339.9K-16.6M-469.2K0.859.301,01786931,54738,677
2019-03-06$38.95$37.0019.9%5.7%14.7%10.1%20.0%3.8%-0.1%332.5K-14.8M-473.8K1.1510.7877889132,02138,862
2019-03-07$38.58$37.0021.0%6.0%14.4%14.4%21.7%3.7%-0.6%347.4K-7.5M-475.3K0.4819.9197146732,27138,956
2019-03-08$38.23$37.0021.5%6.2%13.4%16.7%21.0%4.2%-0.2%439.4K-1.8M-477.6K0.7015.6682057132,47538,978
2019-03-11$38.59$36.0020.1%6.5%13.4%10.9%21.9%2.9%-1.8%249.9K-10.2M-463.8K0.4445.071,51767132,53439,055
2019-03-12$38.95$36.0022.7%6.5%13.3%21.2%23.2%3.6%-0.7%156.6K-16.3M-470.4K0.4543.4446020933,43839,601
2019-03-13$39.22$36.0022.0%6.4%12.8%18.5%23.8%3.5%-0.1%137.4K-21.4M-463.7K0.3540.1164222633,40739,731
2019-03-14$38.89$36.0021.8%6.3%12.2%17.6%22.7%3.2%-0.4%-27.5K-14.4M-464.9K0.6740.4448632833,42339,774
2019-03-15$39.69$36.0020.7%6.2%14.0%13.4%22.9%3.4%0.3%-415.0K-30.6M-455.6K0.6940.923,3412,29133,56739,866
2019-03-18$39.89$0.0021.5%5.8%14.0%16.6%19.7%3.2%-1.9%-356.2K-9.9M-471.5K4.6341.5219087927,93738,496
2019-03-19$39.73$38.0021.5%6.0%13.6%16.7%22.2%3.3%-0.4%-397.5K-9.3M-474.4K0.6640.782,9171,92828,06639,034
2019-03-20$39.93$38.0021.9%6.1%13.1%18.3%22.9%2.8%-0.9%-221.7K-12.6M-498.0K1.6251.821,1431,85629,90339,410
2019-03-21$41.09$38.0022.2%6.0%16.3%19.3%21.6%3.7%-1.8%239.9K-28.4M-497.2K0.9827.562,0361,99930,36940,145
2019-03-22$40.49$39.0025.0%6.6%17.2%30.7%22.6%3.1%-1.9%124.1K-20.5M-547.2K2.1418.071,0872,32833,09241,481
2019-03-25$39.92$39.0025.9%6.7%17.9%34.3%24.3%4.0%-2.8%-142.1K-12.6M-540.8K2.4222.815561,34333,20941,521
2019-03-26$40.28$39.0025.1%6.7%18.1%31.1%23.3%3.0%-1.8%-39.9K-17.3M-545.5K0.0429.729,64938833,33742,778
2019-03-27$40.23$41.0027.0%7.0%18.1%38.4%23.8%4.3%-3.2%336.3K-27.1M-637.5K0.3926.7311,0744,26740,83243,833
2019-03-28$40.39$41.0026.9%7.1%17.7%38.2%25.0%3.5%-1.8%-109.2K-29.2M-655.0K0.8122.649,2477,49243,07348,078
2019-03-29$41.00$41.0025.1%6.9%18.2%31.2%23.7%4.1%-0.9%-218.1K-48.0M-759.0K0.5928.408,9625,30350,30355,745