TSM Options History — August 2020

In August 2020, TSM traded between $76.98 and $81.81. ATM implied volatility averaged 37.3%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 18.1% (HV 20d: 55.3%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.49.

Notable Days

2020-08-05: Highest Volume — 69,609 contracts
2020-08-13: Largest IV drop — 8.0% change
2020-08-05: Highest IV Rank — 42.6%
2020-08-05: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.51	$76.98	$81.81	$78.81	$79.45
Max Pain	$73.10	$65.00	$75.00	$65.00	$75.00
ATM IV	37.3%	33.7%	42.3%	41.4%	38.2%
Expected Move	10.7%	9.6%	12.6%	11.7%	10.9%
HV 20d	55.3%	24.2%	67.1%	65.5%	24.7%
HV 60d	43.9%	43.3%	45.1%	45.0%	43.6%
IV Rank	34.5%	28.9%	42.6%	41.2%	36.1%
IV Percentile	76.2%	65.5%	88.5%	87.3%	79.8%
Term Structure	-0.1%	-1.2%	1.4%	-0.1%	0.1%
VWIV	38.3%	34.2%	45.3%	41.5%	38.7%
Skew 25d	-0.0%	-1.5%	1.5%	-0.3%	0.0%
Skew 10d	-1.3%	-5.6%	2.7%	-1.9%	-0.4%
Call IV 25d	38.3%	34.0%	44.5%	42.4%	39.7%
Put IV 25d	38.3%	34.4%	44.0%	42.1%	39.7%
Bid-Ask Spread %	7.12	2.16	18.43	8.00	2.62
Gamma HHI	0.14	0.08	0.35	0.10	0.13
Net GEX	13.8M	-14.3M	29.0M	16.2M	15.1M
Net DEX	-850.0M	-1.02B	-700.5M	-879.9M	-741.8M
Net VEX	-2.9M	-3.2M	-2.7M	-2.7M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.14	1.09	0.29	0.31
Total Volume	32,687.19	22,160	69,609	24,414	40,962
Total OI	390,847.286	350,840	437,796	350,840	387,129

Daily Data (21 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
2020-08-03	$78.81	$65.00	41.4%	11.7%	65.5%	41.2%	41.5%	-0.3%	-0.1%	16.2M	-879.9M	-2.7M	0.29	8.00	18,854	5,560	209,731	141,109
2020-08-04	$79.66	$65.00	40.1%	11.5%	64.8%	39.0%	40.5%	-1.1%	-0.9%	17.9M	-919.0M	-2.8M	0.42	11.79	20,592	8,594	212,388	143,716
2020-08-05	$81.55	$65.00	42.3%	12.6%	64.8%	42.6%	45.3%	-1.5%	-0.9%	21.0M	-1.02B	-2.8M	0.14	11.31	60,974	8,635	214,116	148,282
2020-08-06	$80.52	$70.00	41.2%	11.8%	64.9%	40.8%	41.9%	-1.5%	-1.0%	22.5M	-963.8M	-2.9M	0.24	18.24	28,922	6,823	230,572	151,699
2020-08-07	$79.97	$70.00	41.4%	11.9%	64.7%	41.1%	42.8%	-0.3%	-1.1%	29.0M	-916.5M	-2.9M	0.47	18.43	18,408	8,713	235,056	154,192
2020-08-10	$79.90	$75.00	41.7%	11.9%	64.7%	41.6%	43.0%	0.4%	-0.1%	14.7M	-885.1M	-2.8M	1.00	6.51	13,681	13,718	217,874	149,594
2020-08-11	$78.08	$75.00	40.4%	11.8%	65.6%	39.4%	42.0%	0.6%	0.8%	9.1M	-744.4M	-2.8M	0.46	4.57	28,247	12,943	220,005	156,044
2020-08-12	$79.38	$75.00	38.1%	11.0%	65.4%	35.8%	39.4%	1.2%	0.2%	7.0M	-847.6M	-3.0M	0.32	3.77	20,340	6,515	235,312	165,407
2020-08-13	$78.51	$75.00	35.1%	10.3%	65.8%	31.0%	36.7%	-0.2%	0.6%	6.6M	-795.4M	-2.8M	0.46	5.79	21,481	9,827	242,643	166,615
2020-08-14	$78.28	$75.00	33.9%	9.9%	65.8%	29.1%	35.6%	0.4%	0.6%	8.9M	-762.9M	-2.8M	0.62	4.31	16,117	10,042	249,401	171,638
2020-08-17	$80.49	$75.00	34.0%	9.8%	66.2%	29.3%	35.1%	-0.4%	-0.3%	21.2M	-984.8M	-2.8M	0.82	4.25	25,411	20,924	239,416	157,358
2020-08-18	$79.54	$75.00	33.7%	9.7%	66.5%	28.9%	34.5%	-0.2%	0.2%	9.7M	-889.7M	-2.8M	1.09	3.19	17,071	18,524	244,632	171,740
2020-08-19	$78.45	$75.00	34.2%	9.8%	66.9%	29.6%	35.7%	0.3%	-0.6%	6.4M	-810.5M	-2.9M	0.78	3.89	12,508	9,796	246,715	173,182
2020-08-20	$76.98	$75.00	34.2%	9.8%	67.1%	29.6%	35.4%	0.3%	-0.1%	3.9M	-700.5M	-2.9M	0.52	10.13	23,730	12,288	250,691	175,490
2020-08-21	$77.99	$75.00	35.1%	10.0%	60.1%	31.1%	35.6%	1.2%	1.4%	-14.3M	-790.2M	-3.0M	0.24	15.89	22,285	5,308	258,277	179,519
2020-08-24	$78.76	$75.00	34.3%	9.7%	44.1%	29.7%	35.1%	-1.4%	-0.2%	14.8M	-739.2M	-2.9M	0.54	5.91	15,991	8,689	215,622	150,438
2020-08-25	$80.16	$75.00	34.2%	9.6%	37.1%	29.6%	34.2%	-0.6%	0.0%	17.6M	-818.2M	-3.0M	0.38	2.79	16,056	6,104	218,828	156,017
2020-08-26	$81.81	$75.00	35.8%	10.1%	27.9%	32.1%	36.7%	1.5%	0.3%	22.1M	-939.0M	-3.1M	0.33	3.22	23,647	7,815	223,844	159,548
2020-08-27	$80.83	$75.00	36.3%	10.3%	25.0%	33.0%	38.0%	0.2%	-1.2%	23.2M	-863.0M	-3.1M	0.50	2.81	20,347	10,129	227,247	162,645
2020-08-28	$80.58	$75.00	37.2%	10.5%	24.2%	34.4%	37.0%	1.2%	0.2%	17.4M	-833.0M	-3.1M	0.40	2.16	21,276	8,584	225,369	168,692
2020-08-31	$79.45	$75.00	38.2%	10.9%	24.7%	36.1%	38.7%	0.0%	0.1%	15.1M	-741.8M	-3.2M	0.31	2.62	31,302	9,660	222,238	164,891