TSM Options History — May 2020

In May 2020, TSM traded between $49.73 and $52.75. ATM implied volatility averaged 33.9%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.5% (HV 20d: 36.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2020-05-15: Highest Volume — 51,423 contracts
  • 2020-05-18: Largest IV drop — 14.0% change
  • 2020-05-15: Highest IV Rank — 35.6%
  • 2020-05-15: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.39$49.73$52.75$51.31$50.57
Max Pain$53.00$50.00$55.00$55.00$51.00
ATM IV33.9%31.3%38.0%37.2%31.9%
Expected Move9.9%8.9%10.9%10.7%9.4%
HV 20d36.4%31.6%47.3%47.3%32.5%
HV 60d56.0%55.3%56.7%56.6%55.3%
IV Rank29.2%24.9%35.6%34.4%26.0%
IV Percentile79.2%73.0%85.3%84.9%73.8%
Term Structure-0.2%-1.5%1.5%-0.5%-0.5%
VWIV33.6%30.2%39.3%39.3%31.7%
Skew 25d6.1%4.3%8.7%7.9%5.0%
Skew 10d11.8%7.8%15.6%14.3%10.4%
Call IV 25d31.2%29.5%35.0%33.3%30.0%
Put IV 25d37.3%33.9%41.7%41.2%35.1%
Bid-Ask Spread %19.4510.6751.9618.7220.00
Gamma HHI0.120.090.230.210.23
Net GEX1.2M-13.9M8.5M-6.1M-13.9M
Net DEX21.3M-45.7M87.5M61.9M63.7M
Net VEX-1.5M-1.7M-1.4M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.152.240.861.41
Total Volume19,084.053,43051,42317,79616,603
Total OI204,911.7178,876238,275180,494238,275

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$51.31$55.0037.2%10.7%47.3%34.4%39.3%7.9%-0.5%-6.1M61.9M-1.4M0.8618.729,5698,22792,56087,934
2020-05-04$52.01$55.0035.9%10.8%46.3%32.4%37.0%8.7%-0.1%711.9K17.9M-1.4M1.9316.611,5162,92194,14584,731
2020-05-05$51.70$55.0035.1%10.6%41.5%31.0%36.6%8.1%-0.5%810.9K29.6M-1.4M0.4417.092,3761,05495,59385,900
2020-05-06$52.19$55.0035.4%10.7%41.5%31.5%34.3%5.6%0.1%1.6M9.9M-1.4M0.1717.0526,5874,60295,47386,473
2020-05-07$52.41$55.0034.5%10.6%41.5%30.1%33.0%5.5%-0.3%5.5M-22.7M-1.5M0.1613.5810,0301,589111,13890,066
2020-05-08$52.75$55.0033.2%9.1%37.3%28.0%31.0%6.9%-0.1%8.5M-45.7M-1.5M0.2418.277,5801,817115,93890,162
2020-05-11$52.58$55.0031.3%8.9%37.2%24.9%32.1%4.8%-0.9%6.0M-27.8M-1.5M0.2114.238,3141,724113,21789,629
2020-05-12$51.38$55.0031.7%9.5%35.8%25.5%30.2%4.3%1.5%2.8M28.7M-1.4M0.1520.3413,2021,916116,57290,016
2020-05-13$50.70$55.0035.4%10.3%35.6%31.4%35.9%6.4%0.5%701.8K58.0M-1.4M1.4710.674,8927,199117,33691,136
2020-05-14$51.82$55.0036.1%10.7%31.6%32.7%33.5%6.8%1.4%3.7M7.9M-1.5M0.5351.9610,7165,668118,82495,360
2020-05-15$50.06$55.0038.0%10.9%32.1%35.6%38.2%6.8%-0.1%778.5K87.5M-1.4M1.8339.5618,16933,254122,34399,522
2020-05-18$51.98$50.0032.6%9.4%34.7%27.1%31.7%6.0%-0.4%3.8M-25.8M-1.5M0.4517.2720,0988,94498,34290,712
2020-05-19$51.02$51.0034.1%9.8%33.4%29.5%35.1%5.9%0.1%3.7M5.2M-1.5M0.6413.287,0914,530107,44590,458
2020-05-20$51.84$50.0032.8%9.4%32.0%27.3%31.6%6.6%-0.7%8.4M-38.6M-1.6M0.7518.296,4244,797110,38593,319
2020-05-21$50.75$50.0033.6%9.6%32.8%28.6%32.1%5.9%-0.0%2.3M25.7M-1.5M0.4915.4413,3836,617109,29596,611
2020-05-22$49.73$50.5033.6%9.7%33.4%28.6%33.4%6.3%-0.7%-3.6M79.8M-1.5M2.2416.5612,76728,618105,761100,156
2020-05-26$50.86$50.5032.2%9.4%34.2%26.4%31.3%5.1%-0.3%-66.9K39.5M-1.6M0.3314.7317,2765,690110,868106,394
2020-05-27$51.61$51.0031.7%9.4%34.6%25.6%32.1%5.2%-0.9%1.1M12.5M-1.7M0.7115.7619,44013,783112,710110,406
2020-05-28$50.50$51.0032.6%9.4%33.6%27.0%31.0%4.5%-1.5%-2.9M58.4M-1.6M0.6819.677,5715,127121,509111,520
2020-05-29$50.57$51.0031.9%9.4%32.5%26.0%31.7%5.0%-0.5%-13.9M63.7M-1.6M1.4120.006,8929,711123,365114,910