TSM Options History — January 2020

In January 2020, TSM traded between $53.70 and $60.36. ATM implied volatility averaged 25.5%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.4% (HV 20d: 26.9%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2020-01-15: Highest Volume — 88,557 contracts
  • 2020-01-16: Largest IV drop — 20.2% change
  • 2020-01-31: Highest IV Rank — 65.7%
  • 2020-01-31: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.00$53.70$60.36$60.00$53.70
Max Pain$57.98$55.00$60.00$55.00$57.50
ATM IV25.5%21.3%29.3%24.9%29.3%
Expected Move7.2%6.0%8.7%7.8%8.7%
HV 20d26.9%22.4%32.8%24.1%32.0%
HV 60d21.5%18.8%25.2%18.8%25.2%
IV Rank44.7%27.2%65.7%34.5%65.7%
IV Percentile56.1%26.6%88.5%46.4%88.5%
Term Structure-0.3%-1.1%0.6%-0.7%0.1%
VWIV25.5%21.6%29.0%27.6%29.0%
Skew 25d2.0%0.9%3.7%1.7%3.7%
Skew 10d4.3%1.1%10.6%10.6%5.4%
Call IV 25d24.8%21.0%28.1%24.5%27.7%
Put IV 25d26.9%22.6%31.4%26.2%31.4%
Bid-Ask Spread %14.647.0925.7421.3412.39
Gamma HHI0.300.110.590.500.14
Net GEX14.8M-87.8K59.0M19.1M2.5M
Net DEX-267.4M-436.9M-28.4M-405.2M-28.4M
Net VEX-1.3M-1.4M-1.1M-1.1M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.171.110.240.42
Total Volume24,143.196,41188,55721,07235,158
Total OI219,775.619181,418301,557209,785207,807

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$60.00$55.0024.9%7.8%24.1%34.5%27.6%1.7%-0.7%19.1M-405.2M-1.1M0.2421.3417,0034,069111,65398,132
2020-01-03$58.15$55.0026.0%8.3%27.5%38.7%28.8%1.8%-0.5%16.0M-313.8M-1.2M0.6319.115,8593,672116,44697,972
2020-01-06$57.40$55.0027.0%7.5%27.4%45.3%25.0%2.1%-0.4%14.1M-273.0M-1.2M0.4919.439,1854,470118,291100,410
2020-01-07$58.45$55.0026.7%7.2%27.7%44.1%26.2%1.4%-0.3%19.0M-338.7M-1.3M0.708.324,4453,106123,571104,389
2020-01-08$58.89$55.0026.7%7.1%27.3%44.0%26.5%1.7%-0.8%21.2M-365.4M-1.2M1.118.664,0854,534125,078107,158
2020-01-09$59.25$55.0026.7%7.3%27.3%52.9%25.7%1.6%-0.5%22.6M-383.4M-1.2M0.258.905,1101,301124,897108,307
2020-01-10$58.88$55.0026.3%7.2%26.0%51.3%25.6%2.1%-0.2%22.0M-363.6M-1.2M0.5413.278,0764,379126,142106,793
2020-01-13$60.10$55.0026.9%7.4%22.4%53.9%25.9%1.5%-1.1%21.2M-420.6M-1.2M0.2012.2511,8792,427122,836109,330
2020-01-14$60.36$60.0026.3%7.4%22.4%51.3%26.1%1.6%-0.5%23.5M-436.9M-1.2M0.2813.8116,8374,733124,526110,390
2020-01-15$58.41$60.0028.7%7.9%25.4%63.0%28.3%1.8%-1.0%14.0M-305.6M-1.2M0.818.0548,81739,740122,218113,566
2020-01-16$58.76$60.0022.9%6.3%25.4%34.9%22.6%1.9%-1.0%17.1M-283.2M-1.3M0.178.2555,9569,430144,715135,694
2020-01-17$58.53$60.0021.3%6.0%25.4%27.2%21.6%1.6%-0.6%59.0M-284.7M-1.3M0.857.099,3757,967162,685138,872
2020-01-21$58.34$60.0022.4%6.4%24.6%32.4%23.5%2.0%-0.3%6.4M-226.0M-1.3M0.7418.0022,95417,032116,97664,442
2020-01-22$58.44$60.0023.3%6.7%24.5%36.7%22.9%0.9%-0.4%11.2M-250.7M-1.3M0.2325.7417,8844,027120,42563,653
2020-01-23$57.36$60.0022.8%6.5%25.3%34.2%23.7%1.1%0.3%5.2M-178.3M-1.4M0.4312.9119,8048,431132,01866,779
2020-01-24$57.75$60.0023.3%6.7%25.4%36.6%23.3%2.2%0.1%-87.8K-196.7M-1.4M0.7919.0510,5918,381142,95774,794
2020-01-27$55.36$60.0026.0%7.5%29.3%49.7%26.1%3.2%0.2%1.6M-88.3M-1.4M0.6516.1514,6369,484119,75367,476
2020-01-28$57.09$60.0025.4%7.2%31.5%46.6%25.0%2.7%0.5%5.0M-176.6M-1.4M0.3815.6810,2213,851118,34468,971
2020-01-29$57.19$60.0025.3%7.4%31.3%46.5%26.0%2.5%0.1%5.0M-192.3M-1.4M0.1914.9212,5542,441125,00670,081
2020-01-30$55.56$60.0026.1%7.6%32.8%50.1%25.9%3.2%0.6%4.3M-103.3M-1.4M0.9724.1511,69911,404130,50171,234
2020-01-31$53.70$57.5029.3%8.7%32.0%65.7%29.0%3.7%0.1%2.5M-28.4M-1.4M0.4212.3924,71510,443133,53174,276