TSM Options History — December 2020

In December 2020, TSM traded between $99.80 and $108.81. ATM implied volatility averaged 37.7%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 5.0% (HV 20d: 32.7%). Max pain ranged from $70.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2020-12-16: Highest Volume — 186,132 contracts
  • 2020-12-04: Largest IV spike — 20.8% change
  • 2020-12-04: Highest IV Rank — 38.5%
  • 2020-12-04: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.49$99.80$108.81$101.15$108.81
Max Pain$82.05$70.00$90.00$85.00$90.00
ATM IV37.7%35.2%42.5%37.5%39.8%
Expected Move11.2%10.5%12.6%11.2%11.9%
HV 20d32.7%21.3%41.0%39.3%21.3%
HV 60d31.7%30.0%34.0%33.6%30.0%
IV Rank29.2%25.6%38.5%30.2%32.5%
IV Percentile58.8%47.6%84.5%59.9%67.9%
Term Structure0.7%-2.0%4.2%0.3%-2.0%
VWIV40.3%37.3%45.1%41.2%43.1%
Skew 25d-1.1%-2.9%1.0%0.2%-2.9%
Skew 10d-3.1%-8.0%-0.7%-4.4%-3.0%
Call IV 25d39.4%36.5%44.4%37.9%42.4%
Put IV 25d38.3%35.9%43.5%38.1%39.4%
Bid-Ask Spread %18.449.3330.4412.5924.18
Gamma HHI0.120.090.210.150.10
Net GEX59.9M34.5M95.5M49.5M51.9M
Net DEX-1.99B-2.77B-1.25B-2.33B-1.74B
Net VEX-5.5M-5.8M-5.2M-5.4M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.040.900.200.21
Total Volume59,279.40918,725186,132122,58849,444
Total OI601,663.136516,852680,368590,377578,478

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$101.15$85.0037.5%11.2%39.3%30.2%41.2%0.2%0.3%49.5M-2.33B-5.4M0.2012.59102,34220,246356,975233,402
2020-12-02$99.80$85.0038.6%11.2%39.3%31.7%40.4%-0.1%-0.1%51.0M-1.98B-5.5M0.2714.8037,67610,015364,340242,191
2020-12-03$99.92$70.0035.2%11.2%39.1%25.9%40.2%0.6%1.0%61.3M-2.05B-5.7M0.3225.4320,4076,589382,924244,171
2020-12-04$103.27$70.0042.5%12.6%40.3%38.5%45.1%-0.9%-0.1%56.1M-2.46B-5.8M0.2226.9289,50520,007387,162247,415
2020-12-07$106.17$70.0036.9%11.6%41.0%28.8%41.6%-2.3%4.1%76.9M-2.77B-5.6M0.1815.1390,61916,087396,338243,856
2020-12-08$105.99$75.0036.6%11.6%39.9%27.8%41.8%-0.5%4.2%69.3M-2.72B-5.5M0.2117.8037,2027,764401,906251,136
2020-12-09$104.04$75.0037.8%11.5%40.2%29.8%41.5%-0.4%2.8%70.8M-2.50B-5.5M0.2820.4231,6538,925417,811253,245
2020-12-10$104.67$75.0037.7%11.6%39.5%28.9%42.6%-0.0%3.5%73.7M-2.55B-5.6M0.2221.6576,35016,749424,013256,355
2020-12-11$103.76$75.0037.7%11.3%39.6%28.7%40.7%-0.1%3.4%59.8M-2.37B-5.5M0.6821.8121,20614,497393,251268,950
2020-12-14$103.84$75.0037.7%11.0%38.6%28.8%39.5%-0.9%0.3%71.9M-2.39B-5.3M0.9014.8319,65117,740385,421254,455
2020-12-15$104.69$75.0038.3%11.1%31.5%29.9%39.3%-2.1%0.5%76.1M-2.50B-5.2M0.1919.2648,5019,311388,810259,860
2020-12-16$105.49$75.0037.9%10.9%28.6%29.1%37.9%-1.3%-0.0%91.5M-2.63B-5.3M0.0416.41179,7686,364407,054261,809
2020-12-17$104.12$90.0037.2%10.7%29.2%27.9%38.6%-1.8%-0.6%76.0M-1.43B-5.4M0.6430.4433,78121,574315,694265,187
2020-12-18$104.42$90.0037.4%10.8%28.8%28.3%38.9%-1.1%-0.5%95.5M-1.42B-5.8M0.3624.7617,0356,100332,933283,045
2020-12-21$104.67$90.0037.6%10.8%28.5%28.6%38.3%1.0%-1.5%37.1M-1.33B-5.5M0.4823.4318,7608,974285,962230,890
2020-12-22$103.72$90.0037.5%10.7%27.6%28.5%38.3%-2.0%-0.4%34.5M-1.26B-5.5M0.4716.7426,08212,308291,616236,685
2020-12-23$103.95$90.0036.7%10.5%26.4%27.0%37.7%-0.2%-0.4%36.2M-1.25B-5.6M0.5512.3312,2796,717294,623244,385
2020-12-24$105.83$90.0035.9%10.6%26.7%25.6%37.3%-2.3%1.0%48.5M-1.47B-5.5M0.2311.8725,3045,893295,329246,675
2020-12-28$106.10$90.0036.4%10.8%26.3%26.6%39.1%-1.9%-0.4%40.9M-1.45B-5.3M0.439.3321,0148,991290,216239,730
2020-12-29$105.71$90.0036.9%11.1%24.7%27.4%40.2%-2.2%-0.1%38.4M-1.41B-5.3M0.4413.8412,9635,762294,791243,748
2020-12-30$108.60$90.0039.8%12.1%22.2%32.6%44.0%-2.2%-0.2%50.7M-1.70B-5.3M0.1111.6891,58710,405297,276246,476
2020-12-31$108.81$90.0039.8%11.9%21.3%32.5%43.1%-2.9%-2.0%51.9M-1.74B-5.6M0.2124.1840,7998,645327,827250,651