TSM Options History — July 2019

In July 2019, TSM traded between $39.39 and $44.50. ATM implied volatility averaged 25.3%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 4.8% (HV 20d: 30.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2019-07-18: Highest Volume — 64,803 contracts
  • 2019-07-18: Largest IV drop — 21.0% change
  • 2019-07-08: Highest IV Rank — 59.0%
  • 2019-07-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.13$39.39$44.50$41.30$42.65
Max Pain$40.86$40.00$42.00$40.00$42.00
ATM IV25.3%19.7%32.1%29.2%23.4%
Expected Move7.1%5.7%8.4%8.4%6.7%
HV 20d30.2%22.3%34.5%33.5%22.4%
HV 60d28.9%28.1%29.5%28.8%28.9%
IV Rank31.9%9.5%59.0%47.4%24.4%
IV Percentile49.2%14.3%87.3%71.4%35.3%
Term Structure-0.6%-3.3%3.4%-2.8%-0.9%
VWIV24.8%20.0%28.9%28.3%23.5%
Skew 25d3.0%1.9%3.9%3.7%3.0%
Skew 10d7.2%2.7%14.9%6.5%4.7%
Call IV 25d23.4%19.4%27.3%27.3%22.6%
Put IV 25d26.4%21.4%31.0%31.0%25.5%
Bid-Ask Spread %20.837.2537.657.2516.44
Gamma HHI0.140.100.210.110.15
Net GEX4.9M2.1M8.0M3.2M5.4M
Net DEX-107.6M-220.9M-25.8M-75.5M-104.1M
Net VEX-931.6K-1.2M-761.3K-825.1K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.161.640.400.40
Total Volume8,135.13697664,8034,7263,561
Total OI136,808124,050173,294124,050144,998

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$41.30$40.0029.2%8.4%33.5%47.4%28.3%3.7%-2.8%3.2M-75.5M-825.1K0.407.253,3721,35462,18861,862
2019-07-02$40.83$40.0028.0%8.0%33.9%42.4%28.1%3.7%-3.3%3.3M-63.3M-826.2K0.697.571,09375763,54662,384
2019-07-03$40.28$40.0029.1%8.3%33.6%46.9%28.9%3.4%-3.0%2.8M-50.3M-824.3K1.188.3654964963,73562,442
2019-07-05$40.00$41.0030.0%7.4%33.7%50.5%26.0%3.0%-0.1%2.6M-41.9M-810.5K1.2729.5554168763,82162,507
2019-07-08$39.39$40.0032.1%7.6%34.2%59.0%25.9%2.6%-0.7%2.1M-25.8M-788.2K0.6230.0760237463,99862,751
2019-07-09$39.68$40.0031.9%7.6%33.4%58.3%26.7%3.2%-1.4%2.5M-32.4M-780.7K1.5332.711,1931,82964,37062,813
2019-07-10$40.70$40.0026.2%7.5%34.5%35.2%27.5%3.9%-1.2%3.3M-58.8M-800.6K0.7528.472,3751,79264,91164,342
2019-07-11$40.92$40.0025.3%7.3%34.2%31.7%27.3%3.5%-0.4%3.7M-65.3M-804.7K1.3229.111,6642,20466,20465,542
2019-07-12$41.23$40.0025.2%7.2%34.1%31.3%24.9%3.0%-0.7%4.1M-73.7M-796.9K0.9137.651,5561,42366,60766,002
2019-07-15$41.76$40.0025.7%7.4%31.0%33.3%25.6%2.0%-0.5%4.6M-92.6M-789.8K0.1832.478,0521,47767,17566,066
2019-07-16$41.84$41.0025.1%7.2%30.8%30.8%25.2%2.8%-0.3%5.8M-100.3M-795.3K0.8629.242,0211,74670,82966,814
2019-07-17$41.75$41.0026.3%7.5%27.8%35.6%26.0%2.0%-0.7%5.7M-98.1M-795.5K0.4634.345,3772,49571,17266,892
2019-07-18$43.14$40.0020.8%6.0%29.7%13.6%21.0%2.7%2.6%5.8M-158.3M-761.3K0.1617.8055,7129,09173,92767,547
2019-07-19$43.90$41.0019.7%5.7%29.0%9.5%20.0%1.9%3.4%8.0M-220.9M-1.1M0.9820.808,6228,451107,90465,390
2019-07-22$44.50$41.0022.7%6.5%29.2%21.5%24.2%3.2%-0.1%7.6M-186.0M-1.1M0.7517.956,4524,81193,50842,358
2019-07-23$44.41$42.0022.4%6.4%28.1%20.3%22.3%3.1%-0.9%7.3M-183.0M-1.2M0.6210.372,5011,54396,72446,178
2019-07-24$44.44$42.0022.5%6.5%26.2%20.7%22.7%3.0%-0.6%7.3M-185.1M-1.2M0.3714.5212,7694,66797,67946,831
2019-07-25$43.69$42.0022.5%6.5%27.5%20.6%22.9%2.5%-0.4%6.0M-143.2M-1.1M1.5014.672,2223,32990,79549,387
2019-07-26$43.43$42.0022.7%6.5%27.7%21.2%21.9%2.6%-0.6%5.9M-135.0M-1.1M1.6414.481,9843,25891,32650,032
2019-07-29$43.91$42.0022.4%6.4%27.2%20.2%22.4%3.8%-0.3%6.2M-147.7M-1.1M0.1613.511,63425491,85750,732
2019-07-30$43.19$42.0024.1%6.9%22.3%26.8%23.8%3.6%-1.2%5.8M-126.1M-1.1M0.5610.861,8741,05692,71550,915
2019-07-31$42.65$42.0023.4%6.7%22.4%24.4%23.5%3.0%-0.9%5.4M-104.1M-1.1M0.4016.442,5511,01093,65151,347