TSM Options History — September 2019

In September 2019, TSM traded between $41.84 and $46.43. ATM implied volatility averaged 27.1%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.3% (HV 20d: 22.7%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2019-09-13: Highest Volume — 38,323 contracts
  • 2019-09-09: Largest IV spike — 9.5% change
  • 2019-09-27: Highest IV Rank — 48.0%
  • 2019-09-27: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.45$41.84$46.43$41.84$46.36
Max Pain$41.25$40.00$42.00$42.00$42.00
ATM IV27.1%24.3%29.9%28.5%29.6%
Expected Move7.8%7.4%8.6%8.2%8.5%
HV 20d22.7%19.5%26.4%25.2%24.7%
HV 60d26.8%24.1%29.1%28.4%25.1%
IV Rank36.2%24.4%48.0%42.1%46.6%
IV Percentile52.5%29.8%74.6%65.9%73.4%
Term Structure-0.4%-2.1%0.9%-0.8%-1.6%
VWIV27.5%21.6%30.1%29.3%29.9%
Skew 25d3.8%2.4%5.7%5.7%3.5%
Skew 10d8.4%5.1%11.4%11.4%7.8%
Call IV 25d25.8%24.0%27.8%25.7%27.6%
Put IV 25d29.6%27.8%32.3%31.3%31.1%
Bid-Ask Spread %21.4710.8239.5515.0214.17
Gamma HHI0.190.110.360.110.16
Net GEX12.4M5.9M26.2M5.9M9.7M
Net DEX-201.6M-277.1M-78.3M-78.3M-252.7M
Net VEX-1.1M-1.2M-992.0K-992.0K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.012.310.070.36
Total Volume7,926.81,00238,3233,76314,247
Total OI176,473.7154,453207,812154,453172,513

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$41.84$42.0028.5%8.2%25.2%42.1%29.3%5.7%-0.8%5.9M-78.3M-992.0K0.0715.023,50925497,56456,889
2019-09-04$43.09$42.0027.0%7.7%24.9%36.0%26.8%5.6%0.7%7.3M-128.6M-1.0M0.1715.274,67781199,59757,006
2019-09-05$44.25$40.0025.4%7.6%26.4%29.2%26.0%3.2%0.9%8.6M-183.0M-1.0M0.0122.9918,560199101,86156,836
2019-09-06$43.78$40.0024.3%7.6%26.2%24.4%26.2%3.2%0.6%10.1M-183.9M-1.1M0.6125.501,360833112,56356,781
2019-09-09$43.75$40.0026.6%7.7%25.8%34.1%27.3%3.8%0.1%11.7M-200.8M-1.2M1.4126.58603853124,50057,312
2019-09-10$44.01$40.0026.5%7.7%25.0%33.6%25.6%3.7%0.6%10.8M-197.3M-1.1M0.4821.81831402114,72156,930
2019-09-11$44.12$40.0025.9%7.4%24.3%31.2%26.5%3.7%0.9%11.2M-204.9M-1.1M0.7123.632,6571,893114,88056,784
2019-09-12$44.25$41.0025.9%7.4%20.8%31.4%28.8%3.0%0.7%11.8M-208.3M-1.1M2.3122.908662,002116,79258,490
2019-09-13$44.75$41.0027.1%7.8%20.8%36.1%27.8%2.4%-1.2%11.1M-237.2M-1.1M0.0422.0636,7931,530117,00159,177
2019-09-16$44.59$41.0027.3%7.8%20.6%37.2%26.5%2.9%-0.0%20.6M-243.5M-1.1M0.0423.155,512238144,77560,356
2019-09-17$45.09$41.0026.9%7.7%20.8%35.4%28.3%3.2%-0.5%26.2M-277.1M-1.1M0.1614.366,8551,128146,60160,348
2019-09-18$45.01$41.0026.4%7.6%20.8%33.2%21.6%3.6%0.2%26.0M-262.2M-1.1M0.0733.2416,5371,152147,26160,551
2019-09-19$44.98$42.0026.2%7.5%20.6%32.3%27.0%3.6%-0.1%21.6M-210.8M-1.1M0.6119.363,2662,005136,80261,742
2019-09-20$43.98$42.0026.7%7.6%22.1%34.5%27.7%4.7%-0.1%6.5M-161.1M-1.0M0.4539.551,345607137,03162,111
2019-09-23$44.16$42.0027.0%7.8%19.5%36.0%27.8%3.3%-1.4%9.6M-165.5M-1.0M2.2826.015051,149105,05855,523
2019-09-24$44.17$42.0028.5%8.2%19.6%42.0%28.6%4.2%-1.8%9.2M-163.6M-1.0M1.0010.822,4152,414105,19556,104
2019-09-25$45.00$42.0027.7%7.9%20.3%38.7%28.4%3.7%-2.1%10.0M-199.8M-1.1M0.3417.15749253106,85258,366
2019-09-26$46.43$42.0028.6%8.2%22.5%42.7%30.1%4.0%-1.9%10.1M-255.9M-1.0M0.9913.605,5155,462107,20058,462
2019-09-27$45.47$42.0029.9%8.6%24.0%48.0%28.9%4.5%-1.8%10.0M-217.2M-1.1M0.6422.255,2123,337110,03060,909
2019-09-30$46.36$42.0029.6%8.5%24.7%46.6%29.9%3.5%-1.6%9.7M-252.7M-1.1M0.3614.1710,4523,795108,90763,606