TSM Options History — November 2020

In November 2020, TSM traded between $85.41 and $99.24. ATM implied volatility averaged 35.1%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 3.7% (HV 20d: 31.4%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.44.

Notable Days

2020-11-16: Highest Volume — 121,704 contracts
2020-11-13: Largest IV spike — 10.3% change
2020-11-02: Highest IV Rank — 37.2%
2020-11-03: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.43	$85.41	$99.24	$85.41	$97.03
Max Pain	$82.00	$80.00	$85.00	$80.00	$85.00
ATM IV	35.1%	30.9%	39.0%	39.0%	35.3%
Expected Move	10.4%	9.4%	12.2%	12.0%	10.6%
HV 20d	31.4%	23.8%	38.8%	26.7%	37.6%
HV 60d	31.1%	29.0%	33.3%	29.0%	33.3%
IV Rank	28.8%	23.6%	37.2%	37.2%	26.5%
IV Percentile	50.0%	31.7%	65.9%	65.9%	52.0%
Term Structure	0.2%	-4.2%	5.3%	-2.9%	2.8%
VWIV	38.1%	34.5%	44.3%	39.4%	39.4%
Skew 25d	1.7%	-2.7%	5.9%	5.7%	-0.8%
Skew 10d	4.0%	-0.9%	11.0%	7.3%	3.2%
Call IV 25d	35.4%	31.1%	40.6%	35.9%	37.7%
Put IV 25d	37.2%	32.1%	42.3%	41.6%	36.9%
Bid-Ask Spread %	20.52	4.28	39.42	4.28	16.12
Gamma HHI	0.14	0.11	0.16	0.14	0.15
Net GEX	41.2M	22.8M	53.8M	22.8M	38.1M
Net DEX	-1.78B	-2.58B	-1.04B	-1.04B	-1.80B
Net VEX	-5.6M	-5.9M	-5.1M	-5.9M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.09	1.19	0.40	0.24
Total Volume	40,378.65	15,354	121,704	29,449	77,137
Total OI	575,182.15	532,270	635,367	532,270	562,158

Daily Data (20 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
2020-11-02	$85.41	$80.00	39.0%	12.0%	26.7%	37.2%	39.4%	5.7%	-2.9%	22.8M	-1.04B	-5.9M	0.40	4.28	21,016	8,433	322,117	210,153
2020-11-03	$87.85	$80.00	37.7%	12.2%	27.8%	35.3%	44.3%	5.9%	2.1%	27.6M	-1.28B	-5.9M	0.48	11.41	10,353	5,001	322,117	210,153
2020-11-04	$89.38	$80.00	34.9%	10.3%	24.4%	30.7%	40.4%	3.3%	-4.2%	34.0M	-1.43B	-5.9M	0.82	14.49	14,372	11,799	325,802	217,388
2020-11-05	$90.33	$80.00	34.0%	10.2%	24.4%	29.2%	35.8%	3.0%	0.4%	38.3M	-1.53B	-5.9M	0.30	38.04	23,728	7,177	329,242	223,902
2020-11-06	$91.27	$80.00	30.9%	9.7%	24.4%	24.4%	35.2%	0.7%	-0.6%	35.3M	-1.63B	-5.7M	0.47	14.11	17,729	8,333	329,479	222,496
2020-11-09	$89.49	$80.00	32.6%	9.4%	23.8%	27.0%	34.5%	-0.0%	0.4%	34.8M	-1.41B	-5.7M	0.56	25.63	20,685	11,673	327,651	215,917
2020-11-10	$88.18	$80.00	34.9%	11.3%	24.1%	30.7%	41.0%	2.9%	5.3%	29.0M	-1.27B	-5.8M	0.22	36.20	43,386	9,563	335,449	221,979
2020-11-11	$90.67	$80.00	35.4%	10.2%	25.9%	28.3%	36.0%	2.2%	0.1%	53.1M	-1.70B	-5.9M	0.09	39.42	62,459	5,389	365,020	227,173
2020-11-12	$90.06	$80.00	34.9%	10.4%	25.8%	27.3%	36.7%	3.8%	1.3%	51.6M	-1.59B	-5.9M	0.33	23.01	14,142	4,620	368,485	229,933
2020-11-13	$92.97	$80.00	38.5%	11.3%	27.3%	33.4%	39.7%	-2.7%	1.3%	51.6M	-1.97B	-5.8M	0.16	28.23	59,359	9,778	369,979	231,491
2020-11-16	$99.24	$80.00	36.6%	10.5%	35.0%	30.3%	38.6%	-0.4%	-0.9%	53.8M	-2.58B	-5.6M	0.25	14.02	97,036	24,668	378,153	228,216
2020-11-17	$96.06	$80.00	36.4%	10.5%	37.6%	29.8%	38.4%	1.8%	-3.0%	49.2M	-2.17B	-5.6M	0.34	20.91	32,738	11,006	378,842	236,255
2020-11-18	$97.20	$85.00	35.8%	10.3%	37.5%	28.8%	37.0%	1.2%	0.2%	48.0M	-2.27B	-5.5M	0.22	34.15	22,040	4,954	379,740	241,007
2020-11-19	$96.31	$85.00	36.1%	10.4%	37.9%	29.4%	43.2%	1.1%	-0.4%	50.8M	-2.20B	-5.4M	0.72	17.83	16,735	12,128	381,501	243,210
2020-11-20	$95.63	$85.00	35.0%	10.0%	38.1%	27.5%	42.2%	2.5%	1.9%	40.2M	-2.09B	-5.5M	1.19	19.74	13,936	16,629	384,290	251,077
2020-11-23	$98.29	$85.00	35.1%	9.7%	37.7%	27.7%	35.2%	1.5%	0.7%	40.4M	-1.93B	-5.3M	0.44	15.32	19,168	8,371	328,114	212,524
2020-11-24	$96.47	$85.00	34.0%	9.8%	38.8%	25.9%	34.6%	-1.1%	-0.6%	38.4M	-1.79B	-5.2M	0.54	8.89	20,785	11,123	332,482	217,295
2020-11-25	$97.58	$85.00	32.7%	9.7%	36.8%	23.7%	35.2%	3.7%	0.8%	44.6M	-1.92B	-5.3M	0.49	16.86	18,428	9,049	340,922	224,553
2020-11-27	$99.21	$85.00	32.9%	9.9%	36.9%	23.6%	36.1%	0.2%	-0.2%	43.0M	-2.10B	-5.1M	0.45	11.76	15,617	7,030	347,298	230,080
2020-11-30	$97.03	$85.00	35.3%	10.6%	37.6%	26.5%	39.4%	-0.8%	2.8%	38.1M	-1.80B	-5.3M	0.24	16.12	62,365	14,772	337,079	225,079