TSM Options History — February 2020

In February 2020, TSM traded between $53.00 and $59.67. ATM implied volatility averaged 31.2%, placing in the 69.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 7.0% (HV 20d: 38.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2020-02-20: Highest Volume — 41,453 contracts
  • 2020-02-28: Largest IV spike — 23.5% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.45$53.00$59.67$54.75$53.00
Max Pain$57.00$55.00$60.00$56.00$55.00
ATM IV31.2%26.6%51.9%28.6%51.9%
Expected Move9.2%7.4%16.7%8.2%16.7%
HV 20d38.2%31.6%42.2%31.6%38.5%
HV 60d29.2%25.5%31.8%25.5%31.8%
IV Rank69.0%52.3%100.0%62.2%100.0%
IV Percentile83.0%61.9%100.0%83.3%100.0%
Term Structure-0.6%-3.7%1.8%-0.7%-3.7%
VWIV32.0%26.5%56.7%28.6%56.7%
Skew 25d3.7%2.3%8.9%3.3%8.9%
Skew 10d6.3%-6.3%16.2%5.3%16.2%
Call IV 25d29.9%25.4%49.7%27.1%49.7%
Put IV 25d33.6%28.1%58.7%30.5%58.7%
Bid-Ask Spread %15.126.0739.2623.7533.03
Gamma HHI0.160.120.220.120.16
Net GEX10.6M-3.0M20.8M7.8M-3.0M
Net DEX-212.7M-402.6M-15.1M-126.6M-15.1M
Net VEX-1.7M-2.0M-1.5M-1.5M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.183.271.222.15
Total Volume17,402.2113,80741,4538,66821,112
Total OI237,555.789203,319288,409209,040279,511

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$54.75$56.0028.6%8.2%31.6%62.2%28.6%3.3%-0.7%7.8M-126.6M-1.5M1.2223.753,8974,771141,41367,627
2020-02-04$57.41$56.0027.2%7.8%36.0%55.4%27.7%2.3%-0.3%15.9M-294.5M-1.6M0.2415.268,9052,119143,41469,092
2020-02-05$57.85$56.0026.7%7.4%35.5%53.2%27.0%3.2%-0.8%17.5M-320.9M-1.6M0.4619.103,6931,692143,64369,845
2020-02-06$57.98$55.0026.6%7.4%35.4%52.3%26.5%2.7%-0.6%18.1M-327.5M-1.6M0.487.542,5711,236143,59671,118
2020-02-07$56.22$55.0027.8%8.2%36.9%58.5%29.2%2.5%-0.1%13.0M-214.0M-1.5M0.3219.4517,3835,571143,93971,405
2020-02-10$57.00$55.0027.4%8.2%37.3%56.4%27.6%3.1%1.8%10.2M-225.7M-1.5M0.888.654,4323,880131,75071,569
2020-02-11$58.66$55.0027.7%7.9%38.0%57.9%27.5%3.3%-0.1%15.0M-329.1M-1.5M0.327.8915,8115,047134,37774,523
2020-02-12$59.67$55.0027.1%8.0%38.6%54.9%27.7%2.8%0.7%17.9M-402.6M-1.6M0.189.7426,7164,745142,51278,930
2020-02-13$59.20$60.0027.9%8.1%36.8%58.7%29.2%3.0%0.6%20.8M-395.5M-1.7M1.8410.665,57310,269159,61281,978
2020-02-14$58.09$60.0026.6%7.8%37.3%52.3%26.6%2.6%0.1%17.3M-271.2M-1.7M0.539.937,6004,008160,52789,108
2020-02-18$56.00$60.0028.9%8.3%39.5%63.7%28.5%3.7%-1.1%6.4M-154.2M-1.6M0.946.0711,43810,703159,56782,621
2020-02-19$57.69$60.0027.8%8.0%41.1%58.2%27.6%2.9%0.8%15.8M-276.6M-1.7M0.8410.736,4585,406165,71090,074
2020-02-20$56.44$60.0029.9%8.7%41.7%68.7%29.3%3.1%-1.7%7.3M-184.8M-1.7M0.3811.8229,98211,471167,83593,345
2020-02-21$55.66$60.0031.4%9.1%41.5%75.5%30.7%4.2%-1.5%8.5M-132.5M-1.7M0.276.8713,7873,708191,04797,362
2020-02-24$54.30$60.0034.4%10.0%42.2%90.0%35.0%4.2%-1.4%3.1M-89.6M-1.7M0.3014.6314,0084,142157,75077,468
2020-02-25$54.07$55.0037.3%11.6%39.6%100.0%40.3%5.8%-0.3%5.2M-98.5M-1.7M3.2718.744,47514,625164,45380,251
2020-02-26$55.06$55.0035.9%10.9%38.5%93.8%37.9%5.2%-1.5%4.4M-134.7M-1.8M1.2914.208,39210,837165,31287,797
2020-02-27$53.50$55.0042.0%12.9%39.6%100.0%44.8%2.5%-2.1%941.4K-47.5M-1.9M1.7939.267,22912,950167,69195,788
2020-02-28$53.00$55.0051.9%16.7%38.5%100.0%56.7%8.9%-3.7%-3.0M-15.1M-2.0M2.1533.036,70114,411173,255106,256