TSM Options History — April 2021

In April 2021, TSM traded between $115.10 and $124.41. ATM implied volatility averaged 31.5%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 6.5% (HV 20d: 38.1%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2021-04-15: Highest Volume — 219,668 contracts
  • 2021-04-05: Largest IV spike — 10.2% change
  • 2021-04-05: Highest IV Rank — 43.3%
  • 2021-04-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.75$115.10$124.41$124.41$116.84
Max Pain$119.14$115.00$120.00$117.00$120.00
ATM IV31.5%27.8%38.3%34.8%27.9%
Expected Move8.9%7.9%10.6%10.6%7.9%
HV 20d38.1%24.2%50.0%50.0%24.2%
HV 60d42.4%39.3%46.3%46.3%39.4%
IV Rank19.1%4.7%43.3%28.5%5.1%
IV Percentile13.1%0.8%52.0%23.0%1.6%
Term Structure-0.2%-2.6%1.7%-1.0%0.2%
VWIV32.2%27.7%38.2%38.2%27.7%
Skew 25d-0.5%-2.2%0.8%-2.2%-0.1%
Skew 10d0.3%-8.5%5.0%-0.6%2.3%
Call IV 25d32.8%28.9%39.0%37.1%28.9%
Put IV 25d32.3%28.6%37.2%34.9%28.9%
Bid-Ask Spread %17.073.0547.593.053.73
Gamma HHI0.080.070.090.090.09
Net GEX14.1M-27.9M65.5M52.5M-23.9M
Net DEX-632.6M-1.80B278.1M-1.80B14.2M
Net VEX-16.1M-16.9M-15.1M-15.7M-16.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.281.010.310.56
Total Volume87,112.95244,266219,668197,03364,817
Total OI929,995.048811,9011,089,401911,064940,012

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$124.41$117.0034.8%10.6%50.0%28.5%38.2%-2.2%-1.0%52.5M-1.80B-15.7M0.313.05150,93246,101466,069444,995
2021-04-05$124.02$115.0038.3%10.5%48.2%43.3%37.3%-1.8%1.3%35.6M-1.35B-15.1M0.3532.4834,82512,235433,921431,439
2021-04-06$122.10$115.0036.9%10.3%43.7%38.0%36.4%-1.6%-0.4%30.8M-1.06B-15.3M0.3931.1856,00821,939461,751438,083
2021-04-07$120.26$115.0034.9%10.0%43.6%32.8%35.3%-0.0%1.2%22.2M-771.1M-15.6M0.2847.5980,22722,341479,241450,951
2021-04-08$123.12$120.0034.3%9.6%43.5%30.6%33.9%-0.3%-0.6%65.5M-1.38B-16.0M0.3619.5257,90820,608506,880464,840
2021-04-09$122.51$120.0034.1%9.6%39.8%29.7%33.7%-1.8%-1.7%49.4M-1.23B-16.0M0.3523.0836,95612,967512,339472,658
2021-04-12$120.90$120.0035.1%10.1%39.8%33.6%35.5%-0.7%0.6%18.2M-842.4M-15.7M0.4233.2869,19729,349483,187457,339
2021-04-13$121.19$120.0033.6%9.6%39.8%27.7%34.3%-1.2%-0.5%28.7M-953.9M-16.1M0.5434.1246,90925,350512,140470,355
2021-04-14$121.13$120.0033.7%9.4%39.7%27.9%34.1%-0.1%-2.6%31.1M-948.4M-16.0M0.6317.6772,21545,679522,723477,243
2021-04-15$118.00$120.0031.8%8.9%40.8%20.7%32.6%0.1%-1.2%-2.3M-198.7M-15.9M0.5520.21141,62278,046542,331492,541
2021-04-16$118.35$120.0028.7%8.3%38.2%8.3%30.5%-0.4%1.0%21.3M-255.1M-16.1M0.8321.5258,35548,477560,983528,418
2021-04-19$115.44$120.0029.4%8.4%39.4%11.2%30.3%0.4%0.2%-20.2M157.4M-15.7M0.813.4965,91753,662397,185414,716
2021-04-20$115.10$120.0029.5%8.5%37.8%11.7%32.6%0.8%-0.7%-25.3M257.4M-15.9M1.014.5030,29030,580410,840441,827
2021-04-21$117.02$120.0028.4%8.1%37.4%7.2%29.9%-0.0%0.1%-14.2M-36.1M-16.3M0.865.7025,81422,120417,262452,097
2021-04-22$115.45$120.0028.7%8.2%33.1%8.5%29.8%0.4%1.7%-27.9M278.1M-16.3M0.608.0538,63723,214421,726463,579
2021-04-23$118.24$120.0027.8%7.9%33.9%4.7%28.4%-0.3%0.5%5.3M-316.0M-16.7M0.3014.1770,32420,803434,970474,260
2021-04-26$121.18$120.0028.5%7.9%31.8%7.5%29.0%-0.6%-0.1%28.5M-942.1M-16.9M0.3712.0055,38920,414438,438463,042
2021-04-27$120.99$120.0029.4%8.0%31.6%11.1%30.2%-0.4%-0.6%17.5M-877.5M-16.8M0.414.0833,91813,761438,922469,600
2021-04-28$119.89$120.0028.8%8.0%31.7%8.6%28.6%-0.6%-0.9%6.7M-643.7M-16.7M0.9214.2924,59322,607440,836473,357
2021-04-29$118.67$120.0027.8%8.0%31.0%4.7%28.9%-0.4%-0.0%-2.9M-389.0M-16.7M0.624.7727,37416,892446,321480,479
2021-04-30$116.84$120.0027.9%7.9%24.2%5.1%27.7%-0.1%0.2%-23.9M14.2M-16.4M0.563.7341,52723,290451,818488,194