TSM Options History — November 2019

In November 2019, TSM traded between $51.97 and $53.77. ATM implied volatility averaged 19.7%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.5% (HV 20d: 16.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2019-11-18: Highest Volume — 14,260 contracts
  • 2019-11-12: Largest IV spike — 19.9% change
  • 2019-11-14: Highest IV Rank — 26.6%
  • 2019-11-14: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.18$51.97$53.77$51.97$53.07
Max Pain$52.00$50.00$55.00$50.00$55.00
ATM IV19.7%15.7%22.8%19.9%20.7%
Expected Move5.9%5.3%6.5%5.7%5.9%
HV 20d16.1%14.3%17.2%14.3%16.9%
HV 60d19.6%17.9%21.3%20.9%17.9%
IV Rank12.0%0.0%26.6%6.0%18.6%
IV Percentile8.5%0.0%31.0%6.3%21.0%
Term Structure1.3%0.3%2.5%2.0%1.3%
VWIV21.0%19.3%22.5%20.8%20.9%
Skew 25d2.2%-1.1%3.6%-1.1%0.5%
Skew 10d5.9%-1.6%10.6%1.7%4.7%
Call IV 25d19.8%17.3%21.5%20.2%21.0%
Put IV 25d22.0%19.1%24.1%19.1%21.5%
Bid-Ask Spread %21.916.8540.159.7915.52
Gamma HHI0.230.170.330.210.20
Net GEX4.8M1.8M7.2M2.8M2.8M
Net DEX-345.5M-404.1M-270.2M-327.3M-285.1M
Net VEX-1.1M-1.2M-1.0M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.063.930.540.06
Total Volume5,671.41,39014,2601,3902,991
Total OI225,859.1197,333248,565225,728227,402

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$51.97$50.0019.9%5.7%14.3%6.0%20.8%-1.1%2.0%2.8M-327.3M-1.2M0.549.79900490113,231112,497
2019-11-04$53.39$50.0020.8%6.2%16.1%10.1%22.1%2.7%0.6%6.0M-390.9M-1.1M0.2832.159,8582,802113,238112,515
2019-11-05$53.72$50.0020.4%6.2%15.8%8.4%22.5%3.4%0.7%7.2M-404.1M-1.1M0.3933.733,3611,326115,429113,395
2019-11-06$53.67$50.0020.4%6.1%15.2%8.3%22.0%2.6%1.0%7.0M-402.1M-1.1M0.5038.762,4621,234115,934114,062
2019-11-07$53.64$50.0019.6%6.2%15.3%5.0%21.8%2.3%0.8%7.0M-398.2M-1.1M0.2017.373,710728115,650115,036
2019-11-08$52.82$50.0017.6%6.2%16.4%0.0%22.0%2.2%0.8%5.0M-363.8M-1.1M0.9540.151,4981,419115,750115,282
2019-11-11$52.59$50.0015.7%6.2%16.5%0.0%21.7%2.9%0.7%5.1M-359.3M-1.1M0.3427.861,704573116,332116,116
2019-11-12$52.15$50.0018.9%6.4%16.7%11.8%22.1%2.2%0.3%5.7M-351.8M-1.1M2.749.601,4013,835116,730116,369
2019-11-13$52.89$50.0020.5%5.9%17.2%17.9%22.5%3.0%1.5%5.7M-376.4M-1.1M2.0115.771,3082,634117,000119,249
2019-11-14$52.50$50.0022.8%6.5%16.8%26.6%22.2%1.5%0.5%5.2M-361.7M-1.1M0.1532.6912,1091,849117,264120,053
2019-11-15$53.25$50.0020.2%5.8%16.7%16.7%20.9%1.9%1.7%6.6M-401.0M-1.1M0.1333.315,838760127,019121,546
2019-11-18$53.57$50.0019.6%5.6%16.1%14.7%20.2%3.1%1.6%7.1M-344.3M-1.0M3.9316.212,89511,365111,42985,904
2019-11-19$53.77$55.0019.4%5.6%15.9%13.9%19.5%3.4%1.2%5.7M-339.0M-1.1M3.2012.512,1937,012112,09496,110
2019-11-20$53.45$55.0020.1%5.8%15.7%16.3%20.1%0.0%0.9%3.8M-312.7M-1.1M3.3216.421,7265,730112,046101,725
2019-11-21$53.07$55.0020.2%5.8%15.7%16.6%20.6%2.2%1.7%2.3M-283.0M-1.2M0.8139.771,9131,544112,970107,298
2019-11-22$52.88$55.0019.3%5.5%15.8%13.6%19.3%2.3%2.5%1.8M-270.2M-1.2M0.0814.562,522206112,171107,394
2019-11-25$53.75$55.0019.4%5.5%16.6%13.6%19.7%3.6%1.6%2.2M-306.4M-1.1M0.0811.786,142494112,028107,509
2019-11-26$53.72$55.0018.6%5.3%16.6%10.8%20.5%3.4%2.3%3.3M-314.6M-1.2M0.5313.422,2481,197117,031107,628
2019-11-27$53.76$55.0019.0%5.4%16.4%12.2%19.5%2.7%2.2%3.7M-318.4M-1.2M0.726.85845606118,607108,139
2019-11-29$53.07$55.0020.7%5.9%16.9%18.6%20.9%0.5%1.3%2.8M-285.1M-1.2M0.0615.522,810181118,872108,530