TSM Options History — July 2020

In July 2020, TSM traded between $57.11 and $82.65. ATM implied volatility averaged 36.3%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 0.7% (HV 20d: 35.6%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.26.

Notable Days

2020-07-24: Highest Volume — 131,217 contracts
2020-07-27: Largest IV spike — 19.3% change
2020-07-29: Highest IV Rank — 43.0%
2020-07-27: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.46	$57.11	$82.65	$57.11	$78.38
Max Pain	$60.00	$55.00	$65.00	$55.00	$65.00
ATM IV	36.3%	31.1%	42.6%	31.1%	40.2%
Expected Move	10.3%	9.1%	12.0%	9.3%	11.4%
HV 20d	35.6%	22.8%	66.8%	22.8%	66.8%
HV 60d	34.1%	29.5%	45.0%	32.3%	45.0%
IV Rank	32.9%	24.6%	43.0%	24.6%	39.3%
IV Percentile	77.6%	63.5%	89.3%	63.5%	84.9%
Term Structure	-0.1%	-1.9%	1.7%	1.1%	1.7%
VWIV	36.6%	30.7%	42.7%	31.8%	41.1%
Skew 25d	0.5%	-3.0%	7.4%	7.4%	-2.4%
Skew 10d	-0.0%	-12.6%	8.0%	8.0%	-5.0%
Call IV 25d	37.1%	28.6%	45.4%	28.6%	42.5%
Put IV 25d	37.6%	32.5%	42.6%	36.0%	40.1%
Bid-Ask Spread %	23.92	8.20	38.25	28.42	25.83
Gamma HHI	0.14	0.09	0.33	0.13	0.09
Net GEX	19.7M	6.9M	30.7M	6.9M	17.0M
Net DEX	-629.3M	-1.21B	-150.5M	-150.5M	-911.3M
Net VEX	-2.1M	-2.7M	-1.7M	-1.7M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.05	0.60	0.54	0.60
Total Volume	57,869.182	6,031	131,217	6,031	53,433
Total OI	299,671.636	225,100	412,022	225,100	412,022

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
2020-07-01	$57.11	$55.00	31.1%	9.3%	22.8%	24.6%	31.8%	7.4%	1.1%	6.9M	-150.5M	-1.7M	0.54	28.42	3,921	2,110	107,812	117,288
2020-07-02	$58.89	$55.00	31.5%	9.5%	23.9%	25.3%	32.2%	2.5%	-1.2%	10.4M	-236.8M	-1.7M	0.05	22.86	50,189	2,747	108,624	118,094
2020-07-06	$61.85	$55.00	32.0%	9.2%	28.3%	26.0%	32.0%	2.2%	0.2%	21.0M	-447.3M	-1.7M	0.25	38.25	63,625	15,981	133,825	118,709
2020-07-07	$61.00	$55.00	32.4%	9.1%	29.1%	26.7%	30.7%	2.6%	-0.3%	20.4M	-365.6M	-1.9M	0.24	15.92	16,503	4,029	142,460	125,236
2020-07-08	$62.55	$60.00	34.8%	9.5%	29.5%	30.5%	33.9%	1.9%	-0.6%	20.0M	-451.7M	-1.8M	0.07	31.85	24,649	1,816	142,033	125,826
2020-07-09	$64.72	$60.00	36.4%	10.4%	30.9%	33.1%	37.1%	1.1%	-0.2%	19.6M	-580.3M	-1.8M	0.24	33.40	55,536	13,268	150,116	126,667
2020-07-10	$63.99	$60.00	37.8%	10.5%	26.5%	35.3%	37.5%	0.8%	-0.4%	19.1M	-537.8M	-1.9M	0.25	25.08	31,294	7,845	168,528	131,734
2020-07-13	$65.38	$60.00	37.7%	10.7%	27.0%	35.2%	37.8%	0.3%	0.5%	18.9M	-582.3M	-2.0M	0.17	35.12	57,414	9,577	165,770	129,896
2020-07-14	$66.77	$60.00	40.6%	11.1%	27.2%	39.8%	40.8%	-1.9%	-1.9%	17.3M	-630.7M	-2.0M	0.11	14.92	46,958	4,999	166,134	131,345
2020-07-15	$66.15	$60.00	40.1%	11.0%	27.9%	39.0%	40.4%	0.2%	-1.7%	19.3M	-612.7M	-2.1M	0.28	20.84	40,457	11,263	180,492	133,997
2020-07-16	$66.53	$60.00	38.0%	10.9%	27.8%	35.7%	38.6%	-0.4%	0.0%	24.1M	-666.0M	-2.2M	0.17	37.01	54,806	9,445	198,474	140,023
2020-07-17	$66.49	$60.00	34.1%	9.6%	27.2%	29.4%	34.2%	0.0%	-0.0%	30.7M	-696.3M	-2.2M	0.14	33.36	31,057	4,203	213,993	142,265
2020-07-20	$66.80	$60.00	33.5%	9.6%	26.5%	28.4%	33.8%	-0.1%	0.4%	21.3M	-469.3M	-2.1M	0.23	12.16	15,470	3,485	160,308	103,621
2020-07-21	$68.02	$60.00	33.2%	9.5%	26.7%	28.0%	33.9%	0.9%	-0.4%	23.6M	-544.4M	-2.1M	0.11	8.20	52,226	5,816	165,185	105,263
2020-07-22	$68.55	$60.00	31.9%	9.1%	26.6%	25.9%	32.4%	0.3%	0.4%	24.6M	-570.0M	-2.1M	0.25	13.88	8,359	2,096	169,532	109,455
2020-07-23	$67.51	$60.00	32.0%	9.1%	27.9%	26.1%	32.5%	-0.1%	1.0%	22.5M	-502.5M	-2.1M	0.35	9.53	26,478	9,220	169,912	110,058
2020-07-24	$73.66	$60.00	34.3%	9.8%	39.1%	29.7%	35.1%	-0.3%	0.3%	15.7M	-814.0M	-2.1M	0.17	25.50	111,812	19,405	164,156	117,209
2020-07-27	$82.44	$60.00	40.9%	12.0%	52.2%	40.3%	42.3%	1.2%	-0.3%	17.3M	-1.07B	-2.0M	0.29	20.72	94,636	27,887	169,698	119,357
2020-07-28	$77.01	$65.00	41.2%	11.8%	60.1%	40.8%	42.3%	0.1%	-0.2%	13.3M	-755.1M	-2.4M	0.52	21.82	72,237	37,250	191,773	137,030
2020-07-29	$82.65	$65.00	42.6%	11.9%	63.0%	43.0%	42.7%	-3.0%	-1.2%	26.2M	-1.21B	-2.5M	0.21	30.87	95,117	20,164	221,235	148,967
2020-07-30	$79.74	$65.00	41.5%	11.6%	65.9%	41.4%	41.5%	-2.1%	0.5%	24.0M	-1.03B	-2.7M	0.40	20.65	38,929	15,410	241,907	156,747
2020-07-31	$78.38	$65.00	40.2%	11.4%	66.8%	39.3%	41.1%	-2.4%	1.7%	17.0M	-911.3M	-2.7M	0.60	25.83	33,374	20,059	251,397	160,625