TSM Options History — December 2019

In December 2019, TSM traded between $52.84 and $59.15. ATM implied volatility averaged 23.8%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.1% (HV 20d: 19.8%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2019-12-18: Highest Volume — 123,797 contracts
  • 2019-12-11: Largest IV spike — 26.2% change
  • 2019-12-12: Highest IV Rank — 39.1%
  • 2019-12-26: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.73$52.84$59.15$53.02$58.08
Max Pain$49.33$45.00$55.00$55.00$55.00
ATM IV23.8%19.9%26.1%19.9%25.2%
Expected Move7.1%5.7%7.8%5.7%7.7%
HV 20d19.8%13.7%23.0%16.7%22.2%
HV 60d18.8%17.6%20.5%17.6%17.9%
IV Rank30.5%15.6%39.1%15.6%35.6%
IV Percentile39.9%11.1%54.4%11.1%49.2%
Term Structure0.2%-1.4%2.2%2.2%-0.2%
VWIV25.1%20.3%27.1%20.3%27.1%
Skew 25d1.3%-0.1%3.2%1.6%2.1%
Skew 10d3.4%-7.4%29.3%5.3%3.6%
Call IV 25d24.7%20.8%27.2%20.8%24.7%
Put IV 25d25.9%22.4%27.7%22.4%26.7%
Bid-Ask Spread %19.578.7949.2513.7619.96
Gamma HHI0.420.200.730.210.42
Net GEX13.5M2.7M32.6M2.8M15.4M
Net DEX-393.7M-610.4M-275.9M-286.9M-307.5M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.010.700.580.20
Total Volume17,120.7141,768123,7973,3502,325
Total OI239,389.476198,689288,547229,068209,046

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$53.02$55.0019.9%5.7%16.7%15.6%20.3%1.6%2.2%2.8M-286.9M-1.1M0.5813.762,1241,226120,464108,604
2019-12-03$52.84$55.0023.2%6.6%13.7%28.0%24.2%3.2%1.8%2.7M-275.9M-1.2M0.3110.523,5171,085120,821109,705
2019-12-04$53.16$55.0021.5%6.2%13.7%21.8%21.9%1.9%1.1%3.2M-296.8M-1.1M0.0718.481,656112122,749110,416
2019-12-05$54.34$45.0021.5%6.9%15.8%21.8%24.1%1.5%0.1%4.9M-357.0M-1.1M0.0412.636,674236123,221110,457
2019-12-06$55.00$45.0020.2%6.6%16.3%16.9%23.1%1.7%0.7%6.4M-409.2M-1.1M0.0815.4011,090906126,626110,556
2019-12-09$54.41$45.0021.1%6.7%15.8%20.2%24.4%1.0%1.1%6.0M-376.7M-1.1M0.588.794,5662,643130,546110,764
2019-12-10$54.42$45.0020.6%6.9%15.6%18.3%25.3%1.4%0.5%5.8M-368.5M-1.1M0.5417.633,7742,043131,588112,911
2019-12-11$55.97$45.0026.0%7.5%17.7%38.6%26.4%1.1%-0.7%6.9M-457.0M-1.1M0.1049.2530,6123,048133,707114,605
2019-12-12$58.41$45.0026.1%7.5%22.3%39.1%26.5%0.1%-1.4%12.9M-584.4M-1.1M0.0330.4562,8532,134144,679116,724
2019-12-13$58.35$45.0026.1%7.5%21.9%39.1%26.3%-0.1%-0.7%20.5M-570.7M-1.1M0.1131.0022,3362,496157,227117,603
2019-12-16$58.65$45.0024.1%6.9%21.7%31.5%24.5%0.8%0.4%26.2M-581.7M-1.0M0.2422.077,3041,734160,770119,180
2019-12-17$59.14$45.0025.3%7.3%21.7%36.0%25.6%0.4%-0.4%31.7M-610.4M-1.1M0.3819.7211,7314,441160,994120,534
2019-12-18$59.15$46.0024.4%7.0%21.8%32.7%24.6%0.3%0.1%32.6M-605.1M-1.1M0.0117.06122,862935165,400123,147
2019-12-19$58.09$50.0025.1%7.2%23.0%35.3%26.1%0.3%1.2%17.1M-308.7M-1.2M0.4714.754,5892,173130,255123,541
2019-12-20$57.84$50.0024.6%7.1%22.8%33.1%24.9%0.4%-0.4%14.2M-301.3M-1.2M0.6010.584,0052,417130,611123,416
2019-12-23$58.16$50.0024.2%7.0%22.6%31.8%25.7%1.5%-0.1%14.4M-318.5M-1.2M0.7019.535,0303,509107,52391,166
2019-12-24$57.78$50.0024.8%7.3%22.5%34.2%25.9%1.4%0.5%12.9M-303.2M-1.2M0.5924.703,5522,089109,61993,905
2019-12-26$58.18$55.0025.7%7.8%22.5%37.4%27.1%2.0%-0.4%14.4M-319.8M-1.2M0.3219.624,1781,319109,25396,631
2019-12-27$58.44$55.0025.7%7.5%22.5%37.3%26.7%2.4%-0.1%18.2M-330.4M-1.2M0.2916.623,038877111,62698,224
2019-12-30$57.81$55.0025.2%7.6%22.3%35.4%27.0%2.2%-0.5%15.1M-298.3M-1.2M0.3118.454,8191,477111,68596,680
2019-12-31$58.08$55.0025.2%7.7%22.2%35.6%27.1%2.1%-0.2%15.4M-307.5M-1.2M0.2019.961,941384111,19497,852