TSM Options History — February 2021

In February 2021, TSM traded between $125.65 and $140.06. ATM implied volatility averaged 39.9%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 2.2% (HV 20d: 42.1%). Max pain ranged from $120.00 to $130.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.50.

Notable Days

2021-02-11: Highest Volume — 143,019 contracts
2021-02-02: Largest IV drop — 9.1% change
2021-02-01: Highest IV Rank — 38.6%
2021-02-01: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$132.05	$125.65	$140.06	$126.43	$125.65
Max Pain	$126.58	$120.00	$130.00	$120.00	$130.00
ATM IV	39.9%	36.6%	46.4%	46.4%	41.9%
Expected Move	11.5%	10.7%	13.1%	13.1%	11.6%
HV 20d	42.1%	36.5%	48.6%	48.6%	36.5%
HV 60d	36.5%	34.7%	37.6%	37.5%	36.5%
IV Rank	25.9%	19.5%	38.6%	38.6%	29.8%
IV Percentile	60.2%	40.9%	87.7%	87.7%	74.2%
Term Structure	0.4%	-2.9%	6.3%	1.6%	6.3%
VWIV	41.1%	37.9%	47.4%	47.4%	41.3%
Skew 25d	-0.6%	-3.7%	3.9%	-1.3%	3.9%
Skew 10d	-1.4%	-8.2%	7.0%	-3.5%	4.6%
Call IV 25d	41.0%	38.2%	47.4%	47.0%	41.5%
Put IV 25d	40.5%	36.7%	48.4%	45.7%	45.4%
Bid-Ask Spread %	26.38	5.09	40.56	11.71	40.56
Gamma HHI	0.10	0.06	0.15	0.10	0.08
Net GEX	52.2M	-6.8M	117.1M	40.2M	-6.8M
Net DEX	-2.31B	-3.48B	-953.5M	-1.91B	-953.5M
Net VEX	-9.8M	-10.5M	-9.2M	-9.6M	-10.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.24	0.98	0.37	0.80
Total Volume	73,516.105	42,552	143,019	94,570	73,587
Total OI	674,832.474	562,885	739,378	647,020	650,220

Daily Data (19 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
2021-02-01	$126.43	$120.00	46.4%	13.1%	48.6%	38.6%	47.4%	-1.3%	1.6%	40.2M	-1.91B	-9.6M	0.37	11.71	69,075	25,495	403,380	243,640
2021-02-02	$128.48	$120.00	42.2%	12.0%	48.3%	30.4%	42.2%	0.4%	-0.1%	60.8M	-2.20B	-9.7M	0.50	10.36	38,908	19,603	431,833	257,394
2021-02-03	$127.69	$120.00	41.7%	11.9%	48.5%	29.4%	42.1%	0.3%	-1.8%	57.2M	-2.04B	-9.9M	0.40	5.09	33,065	13,143	434,961	264,590
2021-02-04	$127.65	$125.00	38.1%	11.3%	47.9%	22.3%	39.7%	-1.5%	-1.2%	60.4M	-2.05B	-9.7M	0.37	39.56	76,378	27,882	445,171	270,104
2021-02-05	$127.49	$125.00	36.6%	10.9%	44.4%	19.5%	38.4%	-2.1%	0.2%	44.4M	-2.05B	-9.6M	0.61	34.54	30,602	18,544	418,531	274,682
2021-02-08	$132.56	$125.00	38.2%	11.3%	44.9%	22.5%	40.8%	-1.8%	1.1%	66.4M	-2.65B	-9.6M	0.25	33.28	90,589	22,671	400,685	263,117
2021-02-09	$132.91	$125.00	38.5%	11.1%	43.9%	23.1%	39.5%	-2.2%	-0.2%	77.8M	-2.69B	-9.7M	0.40	33.10	37,255	14,787	425,523	267,473
2021-02-10	$133.35	$125.00	39.4%	11.4%	43.9%	24.8%	40.9%	-1.3%	0.6%	79.8M	-2.76B	-9.7M	0.30	12.90	60,795	17,991	429,198	273,099
2021-02-11	$138.58	$125.00	40.1%	11.9%	44.2%	26.2%	42.5%	-3.7%	1.7%	96.3M	-3.48B	-9.7M	0.24	29.57	115,540	27,479	434,644	278,253
2021-02-12	$137.81	$125.00	38.6%	11.3%	40.3%	23.3%	40.2%	-0.5%	1.1%	117.1M	-3.36B	-9.9M	0.27	34.39	91,062	24,545	452,855	286,523
2021-02-16	$140.06	$130.00	38.7%	11.1%	40.0%	23.5%	39.8%	-2.0%	1.2%	75.0M	-3.31B	-9.2M	0.56	28.04	48,183	27,013	411,172	275,001
2021-02-17	$136.89	$130.00	39.8%	11.4%	38.6%	25.6%	40.7%	-1.6%	1.0%	62.6M	-2.85B	-9.6M	0.49	30.07	33,362	16,326	418,186	285,755
2021-02-18	$135.13	$130.00	38.4%	11.0%	39.0%	22.9%	39.4%	-0.2%	-0.3%	53.9M	-2.59B	-9.7M	0.70	23.66	25,589	17,916	424,374	292,580
2021-02-19	$136.37	$130.00	37.2%	10.7%	38.4%	20.7%	37.9%	-0.9%	-0.1%	46.8M	-2.79B	-9.7M	0.48	29.42	37,726	18,252	429,092	302,195
2021-02-22	$133.84	$130.00	38.7%	11.2%	37.1%	23.5%	39.3%	0.7%	-0.0%	24.3M	-1.89B	-9.6M	0.78	18.48	23,924	18,628	330,304	232,581
2021-02-23	$129.76	$130.00	39.4%	11.4%	38.8%	24.8%	40.8%	1.3%	-0.2%	7.5M	-1.47B	-9.6M	0.53	27.57	51,221	27,114	336,586	242,991
2021-02-24	$131.74	$130.00	40.9%	11.9%	37.6%	27.7%	42.2%	0.8%	-0.2%	18.2M	-1.67B	-10.2M	0.39	18.58	38,390	14,906	348,007	255,248
2021-02-25	$126.60	$130.00	43.9%	13.0%	38.3%	33.6%	46.3%	1.0%	-2.9%	9.1M	-1.13B	-10.5M	0.98	40.44	34,925	34,335	368,388	263,481
2021-02-26	$125.65	$130.00	41.9%	11.6%	36.5%	29.8%	41.3%	3.9%	6.3%	-6.8M	-953.5M	-10.3M	0.80	40.56	40,787	32,800	375,610	274,610