TSM Options History — June 2019

In June 2019, TSM traded between $37.73 and $40.65. ATM implied volatility averaged 27.7%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.3% (HV 20d: 28.0%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.91.

Notable Days

  • 2019-06-21: Highest Volume — 25,742 contracts
  • 2019-06-25: Largest IV spike — 37.0% change
  • 2019-06-25: Highest IV Rank — 51.8%
  • 2019-06-25: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.21$37.73$40.65$38.80$39.23
Max Pain$38.80$38.00$40.00$40.00$40.00
ATM IV27.7%22.1%30.3%29.3%30.1%
Expected Move8.0%6.3%8.7%8.4%8.6%
HV 20d28.0%25.8%30.9%29.1%28.5%
HV 60d25.2%23.8%26.8%23.9%26.7%
IV Rank41.5%19.0%51.8%47.7%51.1%
IV Percentile64.4%32.1%78.6%73.8%77.8%
Term Structure-1.2%-3.5%1.9%-1.0%-3.5%
VWIV29.7%25.7%45.0%29.5%28.8%
Skew 25d5.1%3.1%7.5%3.9%3.6%
Skew 10d9.6%6.1%13.0%10.2%7.1%
Call IV 25d26.3%23.3%29.0%27.9%28.3%
Put IV 25d31.4%29.1%33.1%31.8%31.9%
Bid-Ask Spread %17.6910.5725.8217.8213.73
Gamma HHI0.110.090.160.100.10
Net GEX147.4K-4.3M3.7M-1.1M1.5M
Net DEX-13.3M-63.3M45.1M10.0M-22.3M
Net VEX-876.2K-933.4K-793.2K-897.8K-821.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.105.880.321.60
Total Volume5,055.851,27625,7422,7022,933
Total OI141,239.65120,479154,196136,115123,935

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$38.80$40.0029.3%8.4%29.1%47.7%29.5%3.9%-1.0%-1.1M10.0M-897.8K0.3217.822,04965367,77168,344
2019-06-04$38.98$40.0027.5%7.9%28.7%40.7%27.4%3.4%1.2%-830.3K1.8M-910.2K0.7223.083,3752,44269,05368,570
2019-06-05$38.26$40.0028.9%8.3%29.0%46.1%25.7%3.9%0.1%-1.6M25.2M-916.8K4.7916.411,1155,34670,84270,487
2019-06-06$38.48$38.0027.4%8.4%29.1%40.2%29.7%7.5%-2.2%-1.5M16.2M-922.5K2.2421.952,4785,54771,33272,931
2019-06-07$38.80$38.0025.4%8.0%29.4%32.0%30.1%6.6%-1.0%-1.1M5.4M-933.4K2.3323.402,0254,71773,19673,711
2019-06-10$39.64$38.0026.7%7.9%30.9%37.4%28.1%6.2%-0.8%156.6K-26.0M-928.2K0.2815.242,11760073,34373,780
2019-06-11$39.97$38.0026.0%7.9%27.2%34.4%31.2%5.1%-1.6%778.7K-35.7M-931.6K1.1118.6685094473,97474,120
2019-06-12$39.49$38.0028.5%8.2%25.9%44.5%28.6%6.1%-2.4%101.2K-22.8M-912.7K1.1120.1862168874,25173,918
2019-06-13$39.34$38.0027.8%8.0%25.8%41.7%28.3%6.9%-0.8%-265.2K-15.1M-909.8K0.9625.8265262474,33073,892
2019-06-14$37.91$38.0028.4%8.2%28.3%44.4%29.3%6.1%-0.9%-3.0M33.7M-858.0K1.0724.181,8121,94674,41873,969
2019-06-17$37.73$38.0028.0%8.0%26.4%42.7%29.0%6.7%-0.2%-4.3M45.1M-825.9K5.8812.071,1997,05374,80774,621
2019-06-18$39.31$38.0027.7%7.9%27.5%41.4%27.1%4.8%-0.9%-576.3K-20.2M-864.9K1.5718.721,4122,21374,94078,860
2019-06-19$39.44$38.0027.8%8.0%27.1%41.9%30.2%5.2%-1.6%523.0K-27.0M-868.7K1.6824.419301,55875,39778,799
2019-06-20$40.50$38.0026.0%7.4%28.5%34.5%27.8%6.0%-0.4%3.7M-62.0M-870.8K0.8116.761,8571,51075,35578,717
2019-06-21$40.65$38.0027.7%7.9%26.6%41.4%45.0%4.2%-1.4%3.3M-63.3M-874.0K0.1016.7723,4262,31675,26878,913
2019-06-24$39.94$40.0022.1%6.3%27.5%19.0%27.2%5.9%1.9%2.8M-47.4M-793.2K2.9510.579652,84460,33760,142
2019-06-25$39.06$40.0030.3%8.7%28.2%51.8%32.1%4.1%-2.9%1.2M-16.0M-830.2K4.1810.668253,44560,68461,630
2019-06-26$39.12$40.0029.9%8.6%28.2%50.2%29.0%3.1%-2.8%1.3M-17.9M-824.1K2.5011.669052,25960,84261,589
2019-06-27$39.62$40.0028.9%8.3%28.3%46.3%29.5%3.4%-2.3%1.8M-27.7M-829.9K2.0811.759301,93661,69562,030
2019-06-28$39.23$40.0030.1%8.6%28.5%51.1%28.8%3.6%-3.5%1.5M-22.3M-821.0K1.6013.731,1291,80461,85662,079