TSM Options History — May 2019

In May 2019, TSM traded between $37.70 and $44.73. ATM implied volatility averaged 26.1%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.4% (HV 20d: 25.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.57.

Notable Days

  • 2019-05-23: Highest Volume — 18,313 contracts
  • 2019-05-13: Largest IV spike — 42.0% change
  • 2019-05-13: Highest IV Rank — 76.3%
  • 2019-05-23: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.00$37.70$44.73$43.93$38.42
Max Pain$42.91$40.00$45.00$43.00$40.00
ATM IV26.1%18.7%36.4%19.6%29.3%
Expected Move7.1%5.3%8.7%5.6%8.4%
HV 20d25.7%20.3%29.0%20.4%29.0%
HV 60d20.7%17.5%23.9%17.6%23.9%
IV Rank35.0%5.2%76.3%9.1%47.7%
IV Percentile57.0%6.0%94.4%12.3%73.8%
Term Structure0.9%-0.9%2.5%-0.0%0.4%
VWIV24.9%18.5%30.9%19.3%29.0%
Skew 25d4.5%1.9%6.3%2.1%4.9%
Skew 10d8.9%1.9%12.5%1.9%9.4%
Call IV 25d22.9%17.8%27.7%18.7%27.4%
Put IV 25d27.4%19.8%33.1%20.8%32.3%
Bid-Ask Spread %19.2811.3338.5816.8416.64
Gamma HHI0.140.080.540.110.10
Net GEX-182.1K-9.1M4.2M1.6M-1.3M
Net DEX-32.9M-116.5M41.3M-98.6M21.1M
Net VEX-772.5K-818.9K-722.0K-755.3K-796.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.159.300.551.08
Total Volume5,175.6821,16418,3131,6269,138
Total OI115,121.818100,262131,772102,169125,405

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$43.93$43.0019.6%5.6%20.4%9.1%19.3%2.1%-0.0%1.6M-98.6M-755.3K0.5516.841,04757952,71449,455
2019-05-02$44.33$43.0020.1%5.8%20.3%11.0%20.6%3.2%0.1%1.8M-106.0M-757.6K0.7511.921,5291,14753,16849,519
2019-05-03$44.73$43.0018.7%5.3%20.4%5.2%18.5%1.9%0.4%2.6M-116.5M-745.9K1.3612.839261,26353,92950,011
2019-05-06$43.68$45.0021.9%6.0%22.5%18.0%21.2%3.7%1.5%1.1M-90.7M-772.4K1.6423.1044172354,12450,391
2019-05-07$43.59$45.0026.6%6.7%22.5%36.8%23.0%5.3%0.5%792.8K-85.0M-782.9K1.4232.281,0191,45154,16350,835
2019-05-08$43.78$44.0026.6%6.5%22.3%37.0%21.9%4.1%1.3%1.3M-93.3M-778.9K0.1538.5812,5081,92854,71351,388
2019-05-09$43.16$44.0029.2%7.1%23.0%47.5%25.2%4.9%0.8%3.2M-83.1M-818.9K0.2518.2910,0742,49766,87452,146
2019-05-10$42.82$44.0025.6%6.5%23.0%33.1%23.0%4.4%2.5%4.2M-78.7M-814.4K0.3329.961,44847371,58652,509
2019-05-13$40.98$44.0036.4%7.8%27.5%76.3%27.9%5.5%0.3%-2.5M-16.0M-788.4K3.5017.831,5365,37371,58652,509
2019-05-14$41.94$44.0029.5%6.9%28.9%48.6%25.3%5.6%1.4%-989.9K-47.3M-787.0K1.7020.042,2223,76871,92356,079
2019-05-15$42.03$44.0023.6%6.8%28.8%24.8%22.4%4.7%1.8%-766.0K-52.9M-777.6K1.4420.681,6942,43772,24356,339
2019-05-16$41.56$44.0022.2%6.4%25.6%19.4%22.3%4.5%2.1%-2.7M-35.4M-807.6K1.7915.488881,58673,50557,983
2019-05-17$40.25$44.0024.3%7.0%25.2%27.8%24.5%3.8%2.0%-9.1M8.2M-768.5K3.9323.521,3415,27573,65858,114
2019-05-20$38.74$44.0026.9%7.7%27.7%38.0%26.4%5.1%0.8%688.5K5.1M-730.0K0.5211.331,90399855,80044,462
2019-05-21$39.24$43.0025.3%7.3%28.2%31.9%25.2%4.1%1.7%984.4K-5.3M-746.5K0.4613.071,79182456,76344,733
2019-05-22$38.94$42.0024.9%7.1%27.9%30.1%24.7%5.2%2.1%1.0M-4.2M-758.9K0.5316.651,26366857,86844,942
2019-05-23$37.98$42.0030.4%8.7%28.2%52.2%30.4%5.4%-0.7%586.2K14.8M-722.0K9.3014.771,77816,53558,06545,174
2019-05-24$38.33$41.0027.9%8.0%28.6%42.0%28.7%4.6%1.4%-1.1M24.1M-789.5K1.6623.222,5634,25858,86058,614
2019-05-28$37.72$41.0028.6%8.2%28.6%45.0%28.8%4.5%0.1%-1.9M41.3M-760.9K0.5217.611,79892660,34261,530
2019-05-29$37.70$40.0028.9%8.3%28.7%46.0%30.9%6.3%-0.9%-1.8M41.0M-764.3K0.8711.541,07894161,73762,153
2019-05-30$38.05$40.0027.8%8.0%29.0%41.9%28.6%5.7%1.2%-1.7M33.0M-771.0K0.8717.981,1941,03662,19662,572
2019-05-31$38.42$40.0029.3%8.4%29.0%47.7%29.0%4.9%0.4%-1.3M21.1M-796.1K1.0816.644,3924,74662,61762,788