TSM Options History — January 2021

In January 2021, TSM traded between $111.63 and $133.90. ATM implied volatility averaged 43.3%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 9.4% (HV 20d: 33.9%). Max pain ranged from $100.00 to $120.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.35.

Notable Days

  • 2021-01-14: Highest Volume — 350,617 contracts
  • 2021-01-11: Largest IV spike — 17.4% change
  • 2021-01-27: Highest IV Rank — 44.8%
  • 2021-01-29: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.77$111.63$133.90$111.63$121.99
Max Pain$111.32$100.00$120.00$100.00$120.00
ATM IV43.3%38.9%49.0%42.3%48.5%
Expected Move12.1%10.9%13.7%11.5%13.7%
HV 20d33.9%20.0%47.5%22.5%47.5%
HV 60d33.3%29.3%37.3%29.3%37.3%
IV Rank37.4%30.9%44.8%36.8%43.1%
IV Percentile80.3%62.7%90.5%81.7%89.7%
Term Structure-0.3%-1.9%1.2%-1.4%-0.7%
VWIV43.9%38.8%50.1%41.2%49.0%
Skew 25d-2.1%-4.8%0.6%-1.8%-3.1%
Skew 10d-4.9%-8.7%-0.6%-5.9%-3.1%
Call IV 25d45.1%41.4%49.6%44.3%48.4%
Put IV 25d43.0%37.7%46.8%42.6%45.4%
Bid-Ask Spread %14.803.5828.6022.7814.65
Gamma HHI0.120.090.180.100.09
Net GEX49.5M21.1M81.6M45.6M21.1M
Net DEX-2.47B-3.79B-1.37B-1.99B-1.37B
Net VEX-7.1M-9.7M-5.4M-5.4M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.170.530.170.53
Total Volume125,856.21155,469350,617124,50993,959
Total OI633,139.211485,951788,782548,989717,495

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$111.63$100.0042.3%11.5%22.5%36.8%41.2%-1.8%-1.4%45.6M-1.99B-5.4M0.1722.78106,08818,421305,024243,965
2021-01-05$112.49$100.0041.5%11.3%20.1%35.4%40.3%-3.3%-0.7%50.6M-2.07B-5.4M0.5010.6936,99818,471324,791251,447
2021-01-06$115.61$100.0042.1%11.5%20.0%36.5%41.3%-3.0%-0.4%54.3M-2.42B-5.4M0.2527.4170,19017,511335,258261,944
2021-01-07$121.92$100.0040.2%11.3%26.3%33.2%40.0%-2.9%-0.5%62.4M-3.18B-5.5M0.189.92120,96321,698364,421269,162
2021-01-08$118.77$100.0038.9%10.9%27.4%30.9%38.8%-3.8%1.1%72.3M-2.76B-5.4M0.2628.60106,85927,269369,687274,458
2021-01-11$122.53$100.0045.7%12.7%28.8%42.8%44.2%-3.1%-1.0%53.4M-2.97B-5.7M0.3615.6079,42928,629364,610270,123
2021-01-12$123.01$105.0044.3%12.2%28.2%40.5%43.4%-2.0%-1.9%59.8M-3.10B-6.0M0.2126.06105,03421,795397,640286,146
2021-01-13$120.16$110.0043.6%12.0%30.3%39.2%42.3%-3.4%-1.4%50.9M-2.74B-6.4M0.4418.54124,02954,255407,442299,304
2021-01-14$127.20$115.0042.5%12.0%35.0%37.3%42.8%-2.0%-1.0%81.6M-3.79B-7.0M0.377.70256,48094,137447,005332,171
2021-01-15$125.67$115.0040.0%11.3%35.9%32.8%40.8%-0.4%-0.4%35.9M-3.28B-6.9M0.5113.3570,23035,558441,131347,651
2021-01-19$131.19$115.0042.1%12.1%36.9%36.5%43.8%-1.2%0.3%47.9M-2.35B-6.8M0.3610.1195,97934,441298,593187,358
2021-01-20$131.00$115.0041.9%12.0%37.0%34.9%43.0%-1.1%0.4%48.4M-2.36B-7.3M0.433.5872,22231,048325,502201,901
2021-01-21$133.90$120.0041.8%12.0%37.1%34.3%44.0%-2.9%-0.1%61.6M-2.73B-7.7M0.4013.4978,95031,193351,890215,957
2021-01-22$129.60$120.0041.0%11.7%39.7%33.0%43.7%-1.3%0.8%44.0M-2.22B-7.8M0.293.82100,97229,241374,599227,996
2021-01-25$130.07$120.0044.9%12.6%39.7%39.4%48.3%0.6%0.0%45.5M-2.24B-8.3M0.2111.3092,88719,567353,135211,882
2021-01-26$126.41$120.0045.3%12.9%42.0%37.7%47.9%-1.2%0.1%40.4M-1.93B-8.9M0.3411.1664,49121,807401,546223,232
2021-01-27$122.10$120.0049.0%13.5%44.7%44.8%50.1%-4.8%-1.1%28.4M-1.48B-9.0M0.5110.9358,81729,784424,090235,558
2021-01-28$126.31$120.0046.9%13.5%45.5%40.9%49.0%0.4%1.2%37.1M-1.93B-9.5M0.2921.5694,60527,261435,053250,478
2021-01-29$121.99$120.0048.5%13.7%47.5%43.1%49.0%-3.1%-0.7%21.1M-1.37B-9.7M0.5314.6561,52232,437455,059262,436