TSM Options History — September 2020

In September 2020, TSM traded between $77.37 and $85.39. ATM implied volatility averaged 43.1%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 12.4% (HV 20d: 30.7%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2020-09-15: Highest Volume — 182,484 contracts
  • 2020-09-02: Largest IV spike — 24.7% change
  • 2020-09-02: Highest IV Rank — 58.1%
  • 2020-09-03: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.33$77.37$85.39$81.31$81.04
Max Pain$75.33$70.00$80.00$75.00$80.00
ATM IV43.1%38.5%52.0%41.7%39.1%
Expected Move12.6%11.4%15.6%12.1%12.2%
HV 20d30.7%24.8%34.7%25.8%32.9%
HV 60d44.7%43.2%46.1%43.7%44.8%
IV Rank43.8%36.5%58.1%41.5%37.5%
IV Percentile84.2%73.0%92.9%86.9%73.0%
Term Structure0.7%-2.8%5.0%-0.3%5.0%
VWIV45.1%41.0%55.7%42.5%43.2%
Skew 25d-0.3%-10.9%4.9%-0.4%0.9%
Skew 10d-0.1%-6.2%19.1%-4.6%1.5%
Call IV 25d44.7%38.9%58.9%43.2%39.5%
Put IV 25d44.4%37.6%56.0%42.8%40.4%
Bid-Ask Spread %8.373.0029.243.005.16
Gamma HHI0.110.080.160.120.11
Net GEX22.0M3.2M45.8M20.0M34.2M
Net DEX-820.8M-1.46B-494.0M-883.2M-852.0M
Net VEX-4.7M-5.5M-3.3M-3.3M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.130.970.230.46
Total Volume57,715.09526,824182,48468,22626,824
Total OI521,085.81402,212588,040402,212586,459

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$81.31$75.0041.7%12.1%25.8%41.5%42.5%-0.4%-0.3%20.0M-883.2M-3.3M0.233.0055,64112,585231,013171,199
2020-09-02$82.30$77.0052.0%14.9%24.8%58.1%53.2%0.9%-1.1%28.2M-985.6M-4.0M0.1316.99107,57713,571250,750175,522
2020-09-03$81.06$70.0050.8%15.6%25.0%56.2%55.7%1.6%-0.0%27.0M-1.02B-4.4M0.519.8144,71622,726284,507180,707
2020-09-04$78.96$70.0048.4%14.6%26.6%52.4%52.7%1.2%3.5%10.0M-825.9M-4.3M0.4829.2436,93017,777291,308192,814
2020-09-08$77.37$70.0051.0%14.3%27.5%56.5%50.1%3.0%-2.6%12.9M-711.5M-4.3M0.407.9527,12710,981278,008187,913
2020-09-09$79.10$70.0042.5%12.6%27.5%43.0%44.6%2.1%1.9%16.8M-843.1M-4.1M0.317.4620,6376,408284,646195,939
2020-09-10$79.19$70.0039.5%12.1%26.9%38.1%42.4%1.4%3.2%17.6M-844.9M-4.0M0.979.6428,67927,735288,921199,333
2020-09-11$78.81$70.0038.5%11.5%26.6%36.5%41.0%1.0%2.7%3.2M-766.5M-4.1M0.673.7018,18112,136296,051214,706
2020-09-14$80.53$70.0040.5%11.8%27.7%39.7%42.9%-0.2%0.4%22.4M-915.6M-4.2M0.336.2563,63521,079285,332207,674
2020-09-15$85.39$70.0042.2%12.2%33.2%42.5%43.4%-2.4%4.4%45.8M-1.46B-4.8M0.1711.75156,33226,152318,131221,319
2020-09-16$83.31$70.0041.8%12.0%34.2%41.7%43.7%-1.1%2.0%43.5M-1.22B-5.1M0.188.06106,32119,018342,316232,937
2020-09-17$81.62$80.0043.8%12.5%34.7%45.0%45.3%-1.5%0.1%23.6M-777.7M-5.1M0.4010.9239,40315,583315,315239,397
2020-09-18$80.51$80.0040.2%11.4%34.3%39.1%42.3%-1.9%0.5%19.0M-693.9M-5.0M0.486.0628,67713,830330,291243,867
2020-09-21$80.35$80.0041.2%11.5%34.1%40.8%42.1%-3.6%-2.7%25.5M-701.5M-5.1M0.804.8819,43515,481303,282218,188
2020-09-22$80.24$80.0042.5%12.4%34.0%42.9%44.1%4.9%0.5%23.8M-681.4M-5.1M0.3410.4522,3157,569306,339226,739
2020-09-23$78.30$80.0043.5%12.0%34.5%44.5%42.4%0.1%-1.4%15.1M-494.0M-5.2M0.664.0126,65717,646315,087229,782
2020-09-24$78.52$80.0043.3%12.4%33.6%44.2%43.5%-10.9%-2.8%14.9M-525.8M-5.4M0.405.2425,74210,186328,890243,119
2020-09-25$78.48$80.0040.2%11.8%33.4%39.1%42.0%-0.1%-1.5%6.4M-524.8M-5.5M0.745.1415,56411,490340,515247,525
2020-09-28$79.80$80.0040.6%12.6%34.0%39.8%44.4%-2.6%4.0%22.7M-695.9M-5.4M0.354.6420,6127,154324,267238,574
2020-09-29$80.69$80.0041.8%13.1%33.9%41.8%46.2%1.3%-0.3%28.8M-815.2M-5.4M0.355.3823,6468,259333,100241,020
2020-09-30$81.04$80.0039.1%12.2%32.9%37.5%43.2%0.9%5.0%34.2M-852.0M-5.5M0.465.1618,4198,405342,193244,266