TSM Options History — March 2020

In March 2020, TSM traded between $43.76 and $56.85. ATM implied volatility averaged 55.2%, placing in the 78.3% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 4.0% (HV 20d: 59.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2020-03-06: Highest Volume — 19,017 contracts
2020-03-16: Largest IV spike — 33.6% change
2020-03-09: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 22.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.03	$43.76	$56.85	$55.35	$48.09
Max Pain	$50.68	$50.00	$55.00	$55.00	$50.00
ATM IV	55.2%	34.4%	78.1%	40.2%	52.9%
Expected Move	15.9%	10.0%	22.4%	11.9%	14.8%
HV 20d	59.3%	37.1%	79.8%	39.9%	78.0%
HV 60d	43.6%	33.0%	53.7%	33.0%	52.9%
IV Rank	78.3%	51.7%	100.0%	67.7%	59.5%
IV Percentile	98.4%	94.8%	100.0%	99.2%	94.8%
Term Structure	-1.7%	-9.6%	3.8%	3.8%	-4.6%
VWIV	52.5%	34.6%	81.7%	42.6%	51.6%
Skew 25d	12.8%	-1.5%	21.1%	7.8%	9.9%
Skew 10d	32.7%	13.8%	62.6%	14.7%	42.8%
Call IV 25d	48.7%	31.2%	70.2%	39.9%	45.1%
Put IV 25d	61.5%	38.0%	90.7%	47.7%	55.0%
Bid-Ask Spread %	46.57	21.62	78.93	21.62	47.83
Gamma HHI	0.13	0.10	0.27	0.15	0.10
Net GEX	1.5M	-2.3M	7.9M	6.5M	224.9K
Net DEX	56.7M	-239.4M	246.1M	-147.8M	117.8M
Net VEX	-1.7M	-2.0M	-1.3M	-1.9M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.17	2.51	0.68	1.79
Total Volume	7,942.136	3,109	19,017	17,951	3,837
Total OI	243,616.318	210,060	266,195	241,263	212,671

Daily Data (22 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
2020-03-02	$55.35	$55.00	40.2%	11.9%	39.9%	67.7%	42.6%	7.8%	3.8%	6.5M	-147.8M	-1.9M	0.68	21.62	10,707	7,244	143,660	97,603
2020-03-03	$55.09	$55.00	39.6%	12.0%	39.3%	66.0%	42.3%	6.3%	-0.3%	4.9M	-129.4M	-1.9M	0.74	38.79	6,426	4,737	146,425	102,229
2020-03-04	$56.85	$55.00	34.4%	10.0%	37.1%	51.7%	34.6%	6.9%	0.2%	7.9M	-239.4M	-1.9M	0.58	32.87	7,083	4,086	149,262	104,640
2020-03-05	$55.66	$50.00	40.9%	11.6%	37.7%	69.5%	38.4%	7.4%	-1.5%	5.8M	-159.4M	-2.0M	2.51	40.59	1,586	3,987	151,824	108,219
2020-03-06	$54.84	$50.00	45.1%	12.8%	37.9%	81.1%	42.2%	10.2%	-1.3%	6.7M	-106.0M	-2.0M	0.80	46.97	10,537	8,480	151,911	110,854
2020-03-09	$52.45	$50.00	52.5%	15.4%	39.6%	100.0%	49.2%	12.8%	2.2%	1.1M	25.4M	-1.9M	0.72	54.07	3,070	2,216	147,804	110,684
2020-03-10	$54.45	$50.00	53.1%	12.7%	41.8%	100.0%	47.3%	15.5%	-9.6%	2.6M	-67.5M	-2.0M	0.83	78.93	3,464	2,865	149,626	113,679
2020-03-11	$52.34	$50.00	49.0%	14.5%	42.1%	89.0%	46.4%	13.9%	0.9%	489.9K	34.3M	-1.9M	0.96	68.96	1,721	1,657	150,750	115,445
2020-03-12	$49.31	$50.00	60.8%	17.0%	45.3%	100.0%	54.6%	14.7%	-3.4%	-837.8K	151.1M	-1.8M	1.13	45.02	4,652	5,265	150,432	115,491
2020-03-13	$51.41	$50.00	53.2%	15.1%	48.8%	83.1%	50.7%	12.8%	-5.5%	-583.3K	89.0M	-1.8M	0.73	70.25	2,314	1,691	150,801	114,504
2020-03-16	$45.75	$50.00	71.0%	20.1%	62.4%	100.0%	62.1%	19.1%	-2.7%	-517.1K	210.8M	-1.5M	0.91	33.50	3,338	3,022	146,751	109,606
2020-03-17	$48.36	$50.00	63.2%	18.0%	66.0%	85.8%	58.6%	17.2%	-0.5%	-681.9K	176.8M	-1.6M	0.66	35.93	1,987	1,320	146,130	110,147
2020-03-18	$43.76	$50.00	78.1%	22.4%	72.1%	100.0%	81.7%	20.5%	-5.4%	-632.8K	246.1M	-1.3M	1.21	31.47	3,958	4,777	147,972	109,967
2020-03-19	$44.50	$50.00	72.5%	21.0%	72.8%	91.0%	58.5%	-1.5%	-5.1%	-351.7K	227.6M	-1.4M	1.01	69.63	9,029	9,120	148,161	109,865
2020-03-20	$45.11	$50.00	62.7%	18.1%	73.4%	75.2%	63.3%	15.2%	-0.3%	-2.3M	226.3M	-1.3M	0.75	36.75	7,642	5,730	146,570	106,717
2020-03-23	$44.89	$50.00	62.1%	18.1%	73.2%	74.3%	59.2%	16.3%	-0.5%	-726.8K	162.9M	-1.3M	0.49	43.54	3,298	1,601	119,510	90,550
2020-03-24	$48.56	$50.00	51.8%	15.3%	79.6%	57.8%	51.4%	11.7%	0.4%	573.7K	90.7M	-1.5M	0.77	42.25	3,904	3,024	121,302	90,635
2020-03-25	$49.52	$50.00	59.0%	17.6%	79.7%	69.4%	54.8%	17.0%	-0.4%	1.1M	59.3M	-1.6M	0.17	51.83	3,897	648	121,283	92,705
2020-03-26	$49.10	$50.00	58.6%	16.8%	79.2%	68.6%	53.1%	21.1%	-2.4%	1.3M	63.8M	-1.6M	0.27	48.91	3,208	855	124,843	93,056
2020-03-27	$47.53	$50.00	60.7%	18.2%	79.8%	72.1%	59.5%	14.6%	-3.4%	426.5K	104.1M	-1.4M	0.33	40.76	2,340	769	122,943	91,703
2020-03-30	$47.80	$50.00	53.1%	16.0%	77.9%	59.9%	51.8%	13.0%	1.4%	163.7K	110.4M	-1.4M	1.37	43.96	1,531	2,104	119,879	90,750
2020-03-31	$48.09	$50.00	52.9%	14.8%	78.0%	59.5%	51.6%	9.9%	-4.6%	224.9K	117.8M	-1.3M	1.79	47.83	1,375	2,462	120,630	92,041