TSM Options History — October 2020

In October 2020, TSM traded between $81.19 and $90.81. ATM implied volatility averaged 40.9%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 10.4% (HV 20d: 30.4%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2020-10-08: Highest Volume — 127,658 contracts
  • 2020-10-12: Largest IV spike — 11.3% change
  • 2020-10-12: Highest IV Rank — 50.0%
  • 2020-10-01: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.59$81.19$90.81$82.28$83.69
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV40.9%36.8%46.9%39.5%40.4%
Expected Move11.8%10.6%13.2%13.2%12.0%
HV 20d30.4%26.2%35.8%33.0%29.3%
HV 60d38.9%28.4%45.7%44.7%28.8%
IV Rank40.3%33.7%50.0%38.0%39.5%
IV Percentile75.5%59.5%89.7%73.0%72.6%
Term Structure-0.2%-4.6%5.1%5.1%-2.2%
VWIV42.2%39.3%46.9%45.1%43.1%
Skew 25d0.7%-6.4%8.2%1.9%3.0%
Skew 10d2.1%-8.0%7.0%7.0%2.4%
Call IV 25d41.5%36.3%49.7%39.3%40.7%
Put IV 25d42.3%37.7%50.9%41.2%43.7%
Bid-Ask Spread %9.053.0127.5410.306.03
Gamma HHI0.130.090.170.110.13
Net GEX39.8M18.5M59.7M39.1M18.5M
Net DEX-1.38B-1.94B-884.9M-1.02B-884.9M
Net VEX-6.2M-6.8M-5.4M-5.4M-6.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.131.280.281.28
Total Volume53,190.27313,446127,65852,09828,077
Total OI599,184.545544,201708,658592,895571,976

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$82.28$80.0039.5%13.2%33.0%38.0%45.1%1.9%5.1%39.1M-1.02B-5.4M0.2810.3040,62611,472346,920245,975
2020-10-02$81.19$80.0041.6%12.3%32.9%41.5%42.9%5.0%1.6%37.0M-947.1M-5.6M0.3618.1239,18514,257363,406249,068
2020-10-05$84.42$80.0041.9%12.0%34.1%41.9%42.1%0.9%-0.3%37.4M-1.24B-5.6M0.2623.4641,23810,679327,818242,947
2020-10-06$83.17$80.0041.3%11.8%33.7%40.9%41.6%3.0%-0.5%39.3M-1.12B-5.5M0.2727.5425,3386,941336,426245,895
2020-10-07$86.70$80.0042.3%12.5%35.7%42.6%44.3%-2.4%2.4%45.4M-1.51B-5.5M0.163.0170,45111,105343,161248,545
2020-10-08$87.63$80.0042.3%12.7%35.8%42.5%45.1%4.3%2.6%52.8M-1.64B-5.6M0.133.32113,00714,651353,959251,271
2020-10-09$88.59$80.0042.2%12.2%35.6%42.4%43.8%-4.1%-0.8%53.0M-1.79B-6.1M0.2510.8557,30014,453376,300256,887
2020-10-12$90.81$80.0046.9%12.6%35.8%50.0%46.9%1.2%-4.6%46.6M-1.94B-6.3M0.264.1772,29518,944372,510248,265
2020-10-13$89.80$80.0045.0%12.4%30.4%46.9%45.0%-6.4%-0.4%50.1M-1.89B-6.7M0.394.5933,45913,091391,795253,781
2020-10-14$88.91$80.0044.9%12.2%29.1%46.8%44.8%-5.7%-2.1%49.4M-1.78B-6.8M0.623.4359,89736,963400,687260,130
2020-10-15$88.27$80.0042.3%11.4%28.0%42.6%40.4%8.2%-2.9%54.4M-1.75B-6.7M0.363.5765,79423,777419,539280,636
2020-10-16$86.94$80.0039.6%11.0%28.1%38.3%39.9%2.1%-1.8%37.1M-1.59B-6.6M0.543.9936,22619,501426,587282,071
2020-10-19$87.70$80.0039.0%11.1%28.1%37.3%39.8%1.3%-3.4%33.5M-1.32B-6.5M0.376.1643,37416,056344,883199,318
2020-10-20$88.42$80.0041.0%11.8%28.0%40.6%41.2%-1.8%-1.5%39.4M-1.44B-6.6M0.1411.5830,1054,298357,855207,504
2020-10-21$87.91$80.0040.2%11.5%26.2%39.3%40.6%-0.1%-0.6%39.2M-1.38B-6.7M0.259.3819,5344,936369,159208,710
2020-10-22$88.24$80.0038.3%11.0%26.2%36.1%39.3%-0.3%-0.4%43.0M-1.41B-6.6M0.369.5818,5736,612372,637210,023
2020-10-23$88.23$80.0037.1%10.6%26.2%34.3%41.0%0.1%1.4%59.7M-1.42B-6.5M0.818.9815,92612,857377,756211,749
2020-10-26$86.42$80.0038.8%11.3%27.4%37.0%40.0%-0.3%0.5%30.9M-1.18B-6.4M0.435.0421,9599,418349,944201,083
2020-10-27$86.58$80.0038.0%10.9%27.3%35.6%39.6%-0.7%-0.1%29.7M-1.16B-6.3M0.756.397,6765,770348,904205,311
2020-10-28$84.23$80.0039.6%12.1%29.4%38.2%42.4%3.1%3.0%19.8M-931.1M-6.3M0.1910.3446,4388,806349,881208,303
2020-10-29$84.95$80.0036.8%11.6%29.1%33.7%40.7%3.5%1.2%20.6M-1.03B-6.1M1.059.359,3379,784350,229212,256
2020-10-30$83.69$80.0040.4%12.0%29.3%39.5%43.1%3.0%-2.2%18.5M-884.9M-6.1M1.286.0312,31415,763353,895218,081