TSM Options History — October 2019

In October 2019, TSM traded between $46.48 and $51.95. ATM implied volatility averaged 25.5%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.8% (HV 20d: 20.7%). Max pain ranged from $43.00 to $50.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.17.

Notable Days

2019-10-10: Highest Volume — 65,728 contracts
2019-10-17: Largest IV drop — 19.1% change
2019-10-08: Highest IV Rank — 66.2%
2019-10-02: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.56	$46.48	$51.95	$47.26	$51.56
Max Pain	$47.39	$43.00	$50.00	$43.00	$50.00
ATM IV	25.5%	19.3%	34.3%	30.6%	20.5%
Expected Move	7.1%	5.5%	9.3%	8.8%	5.9%
HV 20d	20.7%	13.7%	23.9%	23.9%	14.3%
HV 60d	24.1%	21.0%	25.4%	25.0%	21.2%
IV Rank	29.4%	3.5%	66.2%	51.0%	8.6%
IV Percentile	42.1%	1.2%	91.7%	78.6%	11.9%
Term Structure	0.1%	-2.2%	2.0%	-2.2%	1.3%
VWIV	25.2%	19.5%	31.5%	30.3%	20.7%
Skew 25d	2.2%	-0.9%	5.4%	3.3%	-0.9%
Skew 10d	6.3%	0.8%	15.5%	12.2%	0.8%
Call IV 25d	24.4%	19.2%	30.6%	28.8%	21.2%
Put IV 25d	26.6%	19.9%	35.4%	32.1%	20.3%
Bid-Ask Spread %	20.63	6.35	42.45	12.98	7.14
Gamma HHI	0.22	0.14	0.32	0.16	0.21
Net GEX	7.0M	-2.1M	10.6M	10.0M	2.3M
Net DEX	-326.8M	-434.4M	-249.3M	-293.5M	-305.1M
Net VEX	-1.2M	-1.3M	-1.0M	-1.1M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.09	3.01	0.42	1.18
Total Volume	14,460.87	1,866	65,728	3,429	4,166
Total OI	205,821.609	177,990	246,585	177,990	224,176

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-10-01	$47.26	$43.00	30.6%	8.8%	23.9%	51.0%	30.3%	3.3%	-2.2%	10.0M	-293.5M	-1.1M	0.42	12.98	2,415	1,014	112,465	65,525
2019-10-02	$46.48	$43.00	32.4%	9.3%	23.5%	58.5%	31.5%	5.4%	-1.9%	9.4M	-256.4M	-1.1M	0.26	20.18	2,678	692	112,428	66,050
2019-10-03	$46.97	$46.00	31.5%	8.4%	22.1%	54.8%	30.7%	5.1%	-0.6%	9.9M	-278.7M	-1.1M	2.24	15.34	2,268	5,073	112,846	66,336
2019-10-04	$47.40	$46.00	29.8%	8.0%	21.5%	47.6%	28.1%	5.3%	0.4%	9.9M	-299.7M	-1.1M	0.37	20.30	1,362	504	113,590	69,664
2019-10-07	$48.03	$46.00	31.9%	8.1%	21.7%	56.2%	27.8%	4.9%	-0.1%	9.7M	-326.4M	-1.0M	0.82	22.50	4,720	3,885	113,486	69,785
2019-10-08	$47.89	$46.00	34.3%	8.6%	21.9%	66.2%	29.8%	4.2%	-1.5%	9.8M	-325.3M	-1.0M	0.29	24.19	2,598	765	116,405	72,162
2019-10-09	$48.78	$47.00	30.9%	8.9%	22.4%	52.2%	31.4%	2.6%	-1.1%	9.4M	-362.4M	-1.0M	0.09	31.16	19,249	1,685	117,896	72,711
2019-10-10	$48.85	$47.00	30.5%	8.8%	22.5%	50.6%	30.7%	4.0%	-1.4%	10.6M	-376.7M	-1.1M	0.15	31.16	57,256	8,472	125,628	73,971
2019-10-11	$49.57	$47.00	28.5%	8.2%	22.6%	42.3%	28.8%	2.8%	-1.5%	9.6M	-405.9M	-1.2M	0.42	42.45	16,345	6,890	132,912	80,315
2019-10-14	$49.97	$47.00	27.0%	7.8%	22.4%	36.0%	28.8%	3.1%	-1.8%	10.1M	-431.2M	-1.2M	1.57	37.15	9,597	15,055	136,575	86,130
2019-10-15	$50.42	$47.00	26.5%	7.6%	22.3%	33.7%	26.5%	2.9%	-1.5%	9.1M	-434.4M	-1.2M	1.63	25.29	4,739	7,718	136,250	98,848
2019-10-16	$50.24	$47.00	26.0%	7.5%	22.4%	31.8%	27.0%	2.1%	-1.0%	7.4M	-414.0M	-1.2M	0.68	26.70	16,382	11,166	136,597	103,365
2019-10-17	$49.67	$47.00	21.1%	6.0%	23.1%	11.0%	22.9%	2.1%	1.7%	4.6M	-381.8M	-1.2M	1.30	19.01	8,309	10,772	135,315	109,429
2019-10-18	$49.25	$48.00	21.2%	6.1%	21.4%	11.6%	21.3%	0.8%	1.7%	-2.1M	-349.0M	-1.2M	1.68	15.21	4,924	8,287	134,744	111,841
2019-10-21	$50.05	$48.00	20.3%	5.8%	21.7%	7.7%	21.6%	0.7%	1.9%	9.0M	-258.9M	-1.1M	0.55	12.80	6,984	3,844	104,411	74,856
2019-10-22	$50.57	$49.00	20.9%	6.0%	21.6%	10.4%	21.5%	1.3%	1.2%	8.3M	-279.8M	-1.1M	1.37	10.73	9,837	13,441	104,693	78,121
2019-10-23	$50.18	$49.00	20.6%	5.9%	21.7%	8.9%	21.0%	-0.4%	1.8%	5.6M	-249.3M	-1.3M	2.72	19.98	2,359	6,420	109,457	90,813
2019-10-24	$50.85	$49.00	20.1%	5.8%	19.7%	7.1%	20.2%	0.5%	2.0%	5.1M	-282.9M	-1.2M	2.50	17.25	3,290	8,228	109,775	93,728
2019-10-25	$51.08	$49.00	19.3%	5.5%	17.3%	3.5%	19.6%	0.0%	1.8%	3.8M	-284.4M	-1.2M	1.15	21.28	6,254	7,184	109,726	98,367
2019-10-28	$51.34	$49.00	20.2%	5.8%	16.6%	7.3%	20.3%	-0.1%	1.2%	3.0M	-297.2M	-1.2M	2.00	7.60	4,026	8,032	109,717	103,531
2019-10-29	$51.48	$50.00	20.6%	5.9%	15.7%	9.0%	19.5%	0.0%	1.1%	2.8M	-302.8M	-1.2M	3.01	6.35	2,246	6,762	110,680	105,932
2019-10-30	$51.95	$50.00	20.8%	6.0%	13.7%	9.8%	20.3%	0.9%	1.7%	3.1M	-319.6M	-1.2M	0.56	27.72	3,009	1,698	111,958	110,687
2019-10-31	$51.56	$50.00	20.5%	5.9%	14.3%	8.6%	20.7%	-0.9%	1.3%	2.3M	-305.1M	-1.2M	1.18	7.14	1,913	2,253	112,900	111,276