TSM Options History — March 2021

In March 2021, TSM traded between $109.49 and $129.09. ATM implied volatility averaged 38.3%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 8.0% (HV 20d: 46.3%). Max pain ranged from $110.00 to $130.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.65.

Notable Days

2021-03-16: Highest Volume — 140,040 contracts
2021-03-09: Largest IV drop — 9.7% change
2021-03-30: Highest IV Rank — 34.9%
2021-03-04: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.37	$109.49	$129.09	$129.09	$117.91
Max Pain	$117.04	$110.00	$130.00	$130.00	$116.00
ATM IV	38.3%	33.6%	43.2%	37.4%	35.9%
Expected Move	11.2%	10.4%	12.7%	10.5%	11.0%
HV 20d	46.3%	33.9%	52.4%	35.3%	51.4%
HV 60d	41.8%	35.9%	45.4%	35.9%	45.1%
IV Rank	26.5%	20.6%	34.9%	21.0%	32.3%
IV Percentile	49.6%	16.3%	82.1%	40.9%	32.9%
Term Structure	0.5%	-4.5%	3.4%	0.2%	0.3%
VWIV	40.2%	37.3%	44.0%	37.5%	38.9%
Skew 25d	0.5%	-1.0%	2.9%	1.3%	-1.0%
Skew 10d	1.3%	-7.2%	11.7%	-0.8%	-0.9%
Call IV 25d	39.1%	35.6%	44.8%	37.6%	36.9%
Put IV 25d	39.6%	35.9%	46.3%	38.9%	35.9%
Bid-Ask Spread %	27.70	3.43	48.48	21.58	4.24
Gamma HHI	0.08	0.07	0.11	0.08	0.07
Net GEX	-4.9M	-27.2M	24.7M	17.7M	24.7M
Net DEX	-227.7M	-1.40B	737.4M	-1.40B	-598.5M
Net VEX	-12.5M	-15.5M	-10.1M	-10.6M	-15.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.15	1.37	0.59	0.43
Total Volume	74,226.435	30,242	140,040	47,189	81,710
Total OI	758,839.217	619,569	880,037	619,569	880,037

Daily Data (23 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
2021-03-01	$129.09	$130.00	37.4%	10.5%	35.3%	21.0%	37.5%	1.3%	0.2%	17.7M	-1.40B	-10.6M	0.59	21.58	29,602	17,587	353,528	266,041
2021-03-02	$126.62	$130.00	39.5%	10.4%	33.9%	25.1%	37.3%	0.6%	0.2%	9.2M	-1.16B	-10.5M	0.65	21.08	18,332	11,910	362,451	274,947
2021-03-03	$123.40	$130.00	40.4%	11.5%	34.5%	26.8%	40.1%	2.1%	1.7%	-2.6M	-794.2M	-10.4M	0.72	30.98	30,869	22,355	367,003	281,176
2021-03-04	$116.03	$110.00	41.2%	12.7%	40.5%	28.4%	44.0%	1.6%	-4.5%	-10.3M	-117.7M	-10.1M	0.58	47.32	72,676	42,515	372,417	291,726
2021-03-05	$120.64	$110.00	40.4%	11.6%	43.4%	26.7%	41.2%	2.2%	1.0%	-9.3M	-537.1M	-11.0M	0.64	43.12	45,402	29,053	387,784	305,464
2021-03-08	$114.03	$110.00	43.2%	12.4%	47.3%	32.3%	43.7%	1.2%	0.8%	-8.0M	-73.5M	-10.6M	1.37	40.17	46,747	64,125	381,539	304,178
2021-03-09	$116.58	$110.00	39.0%	11.8%	45.6%	24.1%	42.0%	2.9%	2.5%	-8.7M	-262.7M	-11.5M	0.67	30.09	37,390	25,069	393,834	334,013
2021-03-10	$114.24	$110.00	38.1%	11.6%	45.7%	22.4%	41.5%	2.2%	1.8%	-10.7M	-32.3M	-11.5M	0.75	38.38	38,117	28,621	407,254	339,333
2021-03-11	$120.19	$110.00	38.7%	11.5%	50.1%	23.5%	41.4%	0.6%	2.5%	9.8M	-766.9M	-12.1M	0.52	37.13	55,402	28,822	419,430	350,825
2021-03-12	$118.50	$110.00	39.0%	11.7%	47.4%	24.1%	41.4%	0.8%	2.9%	-6.0M	-500.3M	-12.3M	0.69	41.44	27,442	18,970	427,961	362,472
2021-03-15	$118.69	$110.00	38.9%	11.3%	47.5%	23.8%	40.4%	-0.4%	-0.0%	-8.1M	-500.3M	-12.1M	1.22	38.46	30,573	37,174	409,104	345,710
2021-03-16	$119.33	$110.00	38.5%	11.0%	47.0%	23.1%	42.1%	-0.1%	1.6%	-8.0M	-459.9M	-13.0M	0.15	48.48	122,284	17,756	420,878	374,066
2021-03-17	$118.81	$120.00	40.8%	11.7%	46.6%	27.6%	41.2%	-0.3%	2.3%	-4.4M	-129.8M	-13.1M	0.50	44.01	42,175	21,292	411,209	384,737
2021-03-18	$114.26	$120.00	40.5%	11.7%	48.0%	27.1%	43.0%	-0.6%	-1.3%	-18.1M	387.4M	-13.1M	0.31	37.39	50,269	15,609	428,739	390,612
2021-03-19	$114.12	$120.00	38.6%	11.1%	47.6%	26.2%	39.9%	0.2%	0.5%	-20.9M	451.1M	-13.0M	0.82	38.88	32,007	26,273	441,465	396,512
2021-03-22	$117.57	$120.00	36.3%	10.6%	49.4%	26.8%	37.9%	-1.0%	-0.3%	-358.0K	-215.7M	-13.3M	0.52	21.94	46,657	24,392	362,379	366,042
2021-03-23	$114.89	$120.00	35.6%	10.4%	48.9%	25.3%	37.6%	0.6%	0.2%	-8.1M	112.6M	-13.4M	0.92	20.35	21,724	20,076	383,101	378,628
2021-03-24	$109.49	$120.00	33.6%	10.5%	50.4%	20.6%	38.6%	0.3%	3.4%	-27.2M	737.4M	-12.8M	0.67	4.25	79,637	53,431	388,359	394,849
2021-03-25	$110.45	$120.00	35.7%	10.4%	49.5%	26.8%	37.4%	-0.4%	-0.7%	-27.0M	633.2M	-13.4M	0.52	11.63	44,544	23,068	407,180	415,106
2021-03-26	$115.16	$120.00	35.5%	10.4%	52.4%	26.1%	37.3%	-0.8%	0.8%	4.2M	37.7M	-14.2M	0.55	3.43	53,011	29,059	408,231	426,254
2021-03-29	$114.12	$118.00	38.3%	11.4%	51.1%	34.4%	41.4%	0.2%	-2.1%	-6.6M	72.3M	-14.3M	0.45	6.01	57,590	26,167	399,968	409,210
2021-03-30	$115.28	$118.00	36.6%	11.0%	51.1%	34.9%	39.1%	-0.6%	-1.2%	6.8M	-124.8M	-14.8M	0.69	6.67	35,298	24,426	427,000	420,550
2021-03-31	$117.91	$116.00	35.9%	11.0%	51.4%	32.3%	38.9%	-1.0%	0.3%	24.7M	-598.5M	-15.5M	0.43	4.24	57,313	24,397	445,005	435,032