TSM Options History — August 2019

In August 2019, TSM traded between $39.98 and $42.56. ATM implied volatility averaged 28.9%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.9% (HV 20d: 28.0%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2019-08-05: Highest Volume — 6,756 contracts
  • 2019-08-05: Largest IV spike — 30.9% change
  • 2019-08-05: Highest IV Rank — 74.9%
  • 2019-08-15: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.56$39.98$42.56$41.97$42.56
Max Pain$42.14$41.00$44.00$42.00$42.00
ATM IV28.9%25.3%36.1%26.5%25.3%
Expected Move8.1%7.3%8.9%7.6%7.3%
HV 20d28.0%22.6%31.1%22.6%28.6%
HV 60d28.7%27.8%30.7%29.0%28.2%
IV Rank45.7%28.9%74.9%36.5%28.9%
IV Percentile66.1%40.5%93.3%55.6%40.5%
Term Structure0.1%-1.3%1.4%-1.3%1.4%
VWIV28.1%24.8%31.8%25.9%26.7%
Skew 25d4.9%3.8%6.2%4.6%4.8%
Skew 10d9.6%2.4%12.8%2.4%8.4%
Call IV 25d26.1%23.3%29.1%24.8%23.4%
Put IV 25d31.0%28.0%34.7%29.4%28.3%
Bid-Ask Spread %19.2113.4027.4415.4013.40
Gamma HHI0.120.100.150.150.12
Net GEX4.3M2.4M6.5M4.7M6.5M
Net DEX-66.0M-105.8M-18.8M-79.9M-105.8M
Net VEX-1.1M-1.1M-988.4K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.094.600.901.35
Total Volume2,468.6363166,7562,095821
Total OI154,103.818146,154165,743146,154154,532

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$41.97$42.0026.5%7.6%22.6%36.5%25.9%4.6%-1.3%4.7M-79.9M-1.1M0.9015.401,10399294,81051,344
2019-08-02$41.60$42.0027.6%7.9%22.7%40.8%27.8%4.1%-0.9%4.2M-70.4M-1.1M2.1720.341,2812,77894,97151,475
2019-08-05$39.98$44.0036.1%8.9%26.5%74.9%31.8%5.2%-0.6%2.7M-18.8M-988.4K2.1922.752,1204,63695,60053,542
2019-08-06$41.25$43.0030.9%8.4%28.6%54.0%26.8%4.8%-0.4%3.6M-55.5M-1.0M0.2614.882,49464696,01055,062
2019-08-07$41.22$43.0031.8%8.6%27.2%57.7%29.8%5.1%-0.2%3.6M-53.2M-1.1M2.8214.566691,88697,29656,123
2019-08-08$42.01$43.0027.1%7.6%28.0%39.0%26.5%5.4%1.3%4.3M-79.2M-1.1M1.4627.4458585497,73857,790
2019-08-09$41.59$42.0027.3%8.1%28.1%39.8%29.1%4.4%0.2%3.6M-61.1M-1.1M1.1219.931,3811,54498,14258,745
2019-08-12$41.00$42.0035.0%8.5%28.2%70.5%29.1%5.9%0.1%2.8M-39.8M-1.0M1.5418.881,3982,15198,94160,064
2019-08-13$41.80$42.0030.0%7.8%29.1%50.7%27.4%4.8%0.6%3.7M-68.8M-1.1M0.3121.851,45045599,65359,638
2019-08-14$40.52$42.0031.1%8.9%31.1%55.2%31.0%6.2%-0.8%2.4M-22.5M-1.0M0.9719.372,4182,35699,45060,630
2019-08-15$40.93$42.0031.2%8.9%28.8%55.4%31.5%5.8%-1.1%2.8M-37.5M-1.1M1.0716.082,4822,648101,04661,130
2019-08-16$41.56$41.0028.1%8.1%28.6%43.0%29.2%4.8%0.5%3.8M-56.5M-1.1M0.5317.731,403749102,45663,287
2019-08-19$41.74$41.0026.7%7.6%28.0%37.2%28.3%4.3%1.2%4.9M-76.3M-1.1M0.4819.1787341794,25355,777
2019-08-20$42.07$42.0026.9%7.7%28.3%38.0%26.9%3.8%0.7%5.2M-85.4M-1.1M0.2422.5192021894,45456,020
2019-08-21$42.56$42.0025.4%7.3%28.8%32.3%24.8%4.7%1.2%5.6M-101.9M-1.1M0.1215.2092011194,70456,117
2019-08-22$42.14$42.0026.9%7.7%28.4%38.2%26.6%4.0%-0.2%5.3M-87.6M-1.1M4.6025.374702,16095,30256,189
2019-08-23$41.08$42.0028.4%8.1%29.6%44.0%27.5%5.1%1.1%4.3M-52.4M-1.0M0.2315.7158313695,48357,383
2019-08-26$41.26$42.0030.2%8.7%29.3%51.4%29.1%6.1%-1.2%4.5M-59.4M-1.0M0.0917.831,98118395,51957,465
2019-08-27$41.47$42.0029.1%8.3%28.9%45.7%27.4%5.7%-0.2%5.0M-66.9M-1.0M0.8216.781,7761,45496,59357,480
2019-08-28$41.72$42.0027.4%7.9%28.8%37.5%28.4%4.5%0.8%5.6M-76.9M-1.0M0.3720.202318597,33356,245
2019-08-29$42.33$42.0026.8%7.7%28.7%34.9%26.2%4.0%0.3%6.2M-96.9M-1.0M0.3327.2237112197,43657,056
2019-08-30$42.56$42.0025.3%7.3%28.6%28.9%26.7%4.8%1.4%6.5M-105.8M-1.0M1.3513.4035047197,48457,048