TSM Options History — April 2020

In April 2020, TSM traded between $46.53 and $54.59. ATM implied volatility averaged 41.0%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 20.3% (HV 20d: 61.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2020-04-16: Highest Volume — 40,499 contracts
  • 2020-04-17: Largest IV drop — 15.8% change
  • 2020-04-01: Highest IV Rank — 63.3%
  • 2020-04-01: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.07$46.53$54.59$46.53$53.15
Max Pain$54.76$50.00$55.00$50.00$55.00
ATM IV41.0%28.4%55.3%55.3%32.4%
Expected Move11.5%7.9%16.3%16.3%9.2%
HV 20d61.4%45.6%80.8%77.2%45.9%
HV 60d56.2%53.2%57.9%53.2%56.2%
IV Rank40.6%20.3%63.3%63.3%26.7%
IV Percentile86.6%62.3%96.0%96.0%80.6%
Term Structure-0.9%-4.0%1.9%-1.0%-0.3%
VWIV40.7%30.1%53.8%50.5%33.8%
Skew 25d9.6%5.7%17.6%14.2%6.7%
Skew 10d21.2%12.7%39.3%35.0%13.2%
Call IV 25d36.7%25.0%49.5%48.6%29.3%
Put IV 25d46.2%32.6%62.8%62.8%35.9%
Bid-Ask Spread %21.3911.7338.6136.4824.81
Gamma HHI0.110.090.140.110.10
Net GEX2.2M-1.1M7.3M-943.5K1.4M
Net DEX27.5M-115.2M163.1M160.3M-14.4M
Net VEX-1.4M-1.5M-1.2M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.214.660.212.64
Total Volume11,042.6672,97940,4993,62810,781
Total OI201,694.667157,583256,043214,909175,276

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$46.53$50.0055.3%16.3%77.2%63.3%50.5%14.2%-1.0%-943.5K160.3M-1.2M0.2136.482,999629121,29993,610
2020-04-02$47.95$55.0052.6%13.2%78.3%59.1%45.2%17.2%-1.7%314.2K122.8M-1.3M1.7833.433,3385,936122,49893,793
2020-04-03$46.82$55.0053.7%14.7%78.5%60.8%52.9%17.6%-0.8%-876.7K163.1M-1.2M4.6638.615262,453123,94595,788
2020-04-06$49.75$55.0046.8%12.4%80.8%49.8%43.5%12.9%-2.6%1.4M75.6M-1.3M0.4331.033,3781,463120,68092,988
2020-04-07$50.25$55.0045.5%12.5%79.6%47.7%43.6%5.7%-1.4%2.5M49.0M-1.4M1.8117.492,6694,834122,49893,313
2020-04-08$50.30$55.0042.5%12.1%78.5%42.8%42.3%12.7%-0.1%2.4M54.6M-1.4M0.8616.541,9711,686123,95996,184
2020-04-09$48.00$55.0048.6%12.9%77.4%52.7%49.8%8.1%-4.0%-392.4K130.9M-1.3M2.9621.584,37712,949125,16697,157
2020-04-13$48.70$55.0044.2%12.4%76.0%45.7%53.8%11.4%1.4%-1.1M129.0M-1.3M3.2213.952,6658,587125,415105,574
2020-04-14$50.70$55.0042.1%12.1%64.3%42.3%40.0%10.2%-1.4%1.9M47.8M-1.4M0.7815.3010,1747,887126,915106,070
2020-04-15$49.91$55.0043.1%12.4%61.8%43.8%41.0%10.0%-1.8%2.1M73.2M-1.4M0.5318.7419,95110,607131,457104,961
2020-04-16$52.48$55.0039.9%11.5%51.2%38.7%36.5%7.6%-1.6%7.3M-78.3M-1.5M0.2411.7332,6607,839142,453111,276
2020-04-17$53.90$55.0033.6%9.4%51.5%28.6%33.0%7.1%1.9%5.5M-115.2M-1.5M0.3028.438,5982,549144,735111,308
2020-04-20$52.90$55.0038.8%11.1%52.4%36.9%40.3%8.2%-3.7%3.5M-31.1M-1.4M1.0317.384,4024,51985,69971,884
2020-04-21$51.24$55.0041.4%12.0%54.1%41.1%42.8%8.0%-1.1%2.1M18.2M-1.4M1.0715.284,1034,39886,84074,454
2020-04-22$52.82$55.0038.8%10.9%48.0%36.9%37.4%6.8%-1.0%4.2M-33.9M-1.5M0.9712.613,5233,42489,43175,446
2020-04-23$52.86$55.0037.0%10.6%47.7%34.0%37.5%7.8%-1.2%5.0M-34.4M-1.5M0.6818.763,3662,30090,97976,496
2020-04-24$52.85$55.0034.8%9.7%47.5%30.5%37.3%6.5%-0.1%3.8M-33.7M-1.5M1.1415.223,9894,54891,45378,339
2020-04-27$53.57$55.0031.1%8.8%45.6%24.6%30.1%7.0%0.9%1.7M-28.2M-1.4M0.4817.612,7181,30085,73079,346
2020-04-28$53.11$55.0031.4%9.0%45.9%25.2%31.0%7.5%-0.0%849.0K-12.8M-1.4M0.9416.892,3292,18987,54281,436
2020-04-29$54.59$55.0028.4%7.9%46.6%20.3%32.1%7.6%0.3%3.2M-64.2M-1.4M0.5427.258,6294,65388,80683,389
2020-04-30$53.15$55.0032.4%9.2%45.9%26.7%33.8%6.7%-0.3%1.4M-14.4M-1.4M2.6424.812,9607,82190,82784,449