TSM Options History — June 2020

In June 2020, TSM traded between $51.02 and $57.69. ATM implied volatility averaged 32.2%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.1% (HV 20d: 29.2%). Max pain ranged from $51.00 to $55.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2020-06-04: Highest Volume — 26,974 contracts
  • 2020-06-11: Largest IV spike — 13.3% change
  • 2020-06-15: Highest IV Rank — 32.7%
  • 2020-06-12: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.50$51.02$57.69$51.02$56.51
Max Pain$54.45$51.00$55.00$51.00$55.00
ATM IV32.2%26.6%36.1%30.8%31.6%
Expected Move9.5%8.1%10.6%8.9%9.4%
HV 20d29.2%23.4%35.5%30.3%23.6%
HV 60d43.2%34.4%55.2%55.2%34.4%
IV Rank26.5%17.4%32.7%24.1%25.4%
IV Percentile70.1%39.7%83.7%67.9%66.3%
Term Structure0.2%-1.0%3.0%-0.2%-0.7%
VWIV33.2%28.0%38.4%32.5%32.6%
Skew 25d4.3%2.2%6.0%4.5%4.9%
Skew 10d8.6%3.8%12.9%9.4%10.3%
Call IV 25d30.6%25.1%35.5%28.6%29.6%
Put IV 25d34.9%29.2%38.9%33.1%34.5%
Bid-Ask Spread %19.519.9537.3919.7421.98
Gamma HHI0.120.100.150.120.13
Net GEX5.6M-2.1M10.7M-1.5M4.4M
Net DEX-126.9M-271.2M36.4M36.4M-120.3M
Net VEX-1.7M-1.8M-1.6M-1.6M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.141.700.900.69
Total Volume12,739.3643,92126,9747,3616,310
Total OI223,651.182208,275235,417216,923221,178

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$51.02$51.0030.8%8.9%30.3%24.1%32.5%4.5%-0.2%-1.5M36.4M-1.6M0.9019.743,8743,487105,720111,203
2020-06-02$51.76$51.0029.4%8.7%30.3%21.9%28.4%4.0%-0.2%558.8K4.5M-1.7M1.1321.624,3024,876105,713113,564
2020-06-03$52.93$51.0028.2%8.1%31.3%20.0%28.0%3.7%0.6%4.5M-54.3M-1.6M0.2929.369,3192,682105,604115,486
2020-06-04$54.12$55.0027.6%8.4%32.0%19.0%28.9%3.8%-0.6%6.9M-114.3M-1.6M0.4915.4418,0678,907104,594116,998
2020-06-05$55.18$55.0026.6%8.1%32.6%17.4%28.2%4.1%-0.5%9.6M-172.5M-1.7M0.1817.3918,3053,241111,737121,896
2020-06-08$55.44$55.0028.9%8.8%32.6%21.1%30.4%4.1%1.8%6.2M-146.1M-1.7M0.6515.069,6756,285105,890112,384
2020-06-09$56.58$55.0030.0%9.5%33.1%22.9%32.0%2.7%3.0%8.0M-207.4M-1.7M0.1414.0413,4021,921111,087112,220
2020-06-10$57.69$55.0030.3%9.0%32.0%23.3%32.4%2.2%0.9%10.7M-271.2M-1.7M0.2827.8414,4874,041116,286112,750
2020-06-11$55.39$55.0034.3%10.4%35.5%29.7%35.1%4.6%2.2%6.8M-141.1M-1.8M0.6824.7613,2828,980116,385113,393
2020-06-12$55.69$55.0035.1%10.6%34.9%31.1%36.2%5.4%3.0%7.0M-144.2M-1.8M0.5337.395,5892,936112,041118,228
2020-06-15$55.78$55.0036.1%10.5%31.8%32.7%36.7%3.4%-0.7%6.5M-147.3M-1.7M0.5130.987,6383,910109,112115,867
2020-06-16$55.82$55.0035.3%10.2%29.5%31.3%34.5%4.9%-0.7%7.6M-161.9M-1.7M0.6922.864,3542,992114,055118,561
2020-06-17$56.50$55.0035.1%10.1%28.4%31.1%33.7%4.4%-0.6%7.0M-197.4M-1.7M0.149.9519,7122,735115,231120,186
2020-06-18$55.93$55.0035.0%10.1%28.6%30.9%34.0%6.0%-0.6%3.8M-103.2M-1.8M0.6612.232,3691,552103,489122,228
2020-06-19$55.45$55.0034.3%9.9%27.5%29.8%36.3%4.3%-1.0%-2.1M-83.3M-1.8M0.5311.739,4355,042103,314122,987
2020-06-22$55.84$55.0034.8%9.8%25.9%30.5%36.9%4.2%-0.7%3.3M-97.7M-1.8M1.2114.794,7115,69399,007109,268
2020-06-23$56.75$55.0032.8%9.5%25.4%27.4%32.6%3.5%-0.3%4.9M-135.5M-1.8M0.3115.8312,7473,936101,355114,348
2020-06-24$56.90$55.0033.0%9.7%25.2%27.6%34.3%4.9%0.5%6.4M-145.5M-1.8M0.5615.094,1082,293105,445115,494
2020-06-25$56.80$55.0032.5%9.6%23.4%26.9%35.9%5.3%-0.3%7.8M-143.6M-1.8M0.5914.433,6772,152107,273116,868
2020-06-26$56.67$55.0034.2%9.9%23.5%29.6%32.8%4.8%0.9%10.3M-138.0M-1.8M0.3618.033,9501,440108,183116,126
2020-06-29$56.24$55.0033.6%9.8%23.9%28.5%38.4%5.7%-0.7%3.4M-109.0M-1.7M1.7018.664,3897,463103,291114,281
2020-06-30$56.51$55.0031.6%9.4%23.6%25.4%32.6%4.9%-0.7%4.4M-120.3M-1.7M0.6921.983,7292,581105,926115,252