TSM Options History — May 2021

In May 2021, TSM traded between $108.54 and $117.37. ATM implied volatility averaged 29.4%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.9% (HV 20d: 26.6%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2021-05-12: Highest Volume — 117,701 contracts
  • 2021-05-12: Largest IV spike — 19.4% change
  • 2021-05-12: Highest IV Rank — 36.9%
  • 2021-05-12: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.59$108.54$117.37$116.13$117.37
Max Pain$116.15$115.00$120.00$120.00$115.00
ATM IV29.4%26.4%35.8%26.9%26.5%
Expected Move8.5%7.5%10.3%7.5%7.6%
HV 20d26.6%22.2%29.7%24.3%27.4%
HV 60d38.5%35.4%39.5%39.4%35.4%
IV Rank11.9%0.0%36.9%1.3%0.6%
IV Percentile8.4%0.0%38.9%0.4%0.4%
Term Structure0.2%-1.2%2.8%1.3%-0.4%
VWIV30.2%26.8%36.3%26.9%26.9%
Skew 25d1.5%-0.4%3.3%-0.1%-0.4%
Skew 10d4.9%-0.2%10.9%0.8%0.2%
Call IV 25d29.3%26.3%35.2%28.4%27.4%
Put IV 25d30.9%26.9%38.4%28.2%26.9%
Bid-Ask Spread %18.393.5045.075.293.73
Gamma HHI0.100.080.170.100.09
Net GEX-23.6M-55.0M19.6M-25.2M19.6M
Net DEX472.1M-511.5M1.43B87.5M-511.5M
Net VEX-15.9M-16.4M-15.4M-16.2M-15.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.192.550.750.43
Total Volume60,872.424,130117,70151,45951,826
Total OI958,445.85852,4431,036,571902,258902,813

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$116.13$120.0026.9%7.5%24.3%1.3%26.9%-0.1%1.3%-25.2M87.5M-16.2M0.755.2929,46321,996426,877475,381
2021-05-04$114.87$120.0028.2%8.4%24.0%6.5%30.0%0.1%-1.2%-37.1M361.2M-16.1M0.4513.5858,30926,137430,497487,764
2021-05-05$115.92$118.0026.4%7.7%23.9%0.0%26.8%0.5%1.2%-19.3M156.0M-16.3M0.7315.7330,49522,362452,224498,292
2021-05-06$116.70$115.0028.4%8.3%22.2%7.9%29.4%1.9%-0.0%-4.0M-48.2M-16.2M0.1911.2082,82115,789454,613499,531
2021-05-07$116.83$120.0026.6%7.9%22.3%1.1%31.9%1.5%1.1%-1.1M-57.3M-16.2M0.5030.6461,18830,294466,706503,435
2021-05-10$112.84$120.0028.0%8.5%24.8%6.3%29.9%2.7%2.8%-44.5M773.0M-15.6M0.784.5236,75128,596446,397496,146
2021-05-11$112.81$115.0030.0%8.7%24.8%14.1%31.3%2.2%0.4%-46.6M780.0M-15.7M0.8411.5529,73625,060452,643504,904
2021-05-12$108.54$115.0035.8%10.3%27.6%36.9%36.3%3.3%0.1%-54.2M1.43B-15.5M1.0425.0257,79359,908458,992514,115
2021-05-13$109.43$115.0033.7%9.6%26.9%28.8%33.3%3.1%-0.6%-55.0M1.34B-16.2M0.7534.6032,19524,004484,460540,411
2021-05-14$112.47$115.0030.7%8.9%29.0%17.0%30.7%1.5%0.7%-40.8M744.7M-16.4M0.3045.0753,50315,805489,474547,097
2021-05-17$109.69$115.0032.7%9.4%29.1%24.8%33.1%1.7%-0.3%-47.3M1.26B-15.9M0.5127.0541,84821,403482,139532,912
2021-05-18$111.33$115.0031.8%9.2%29.7%21.3%31.4%2.2%-1.1%-41.9M954.9M-16.2M0.4720.0827,89513,148482,261542,166
2021-05-19$111.91$115.0033.8%9.7%29.0%29.2%34.6%1.9%-0.7%-33.5M841.4M-16.3M0.6132.5625,10715,410487,638542,537
2021-05-20$113.30$115.0030.4%8.7%29.2%15.8%31.1%2.4%1.1%-24.5M575.6M-16.2M0.4522.7729,64813,468491,827543,518
2021-05-21$112.01$115.0030.1%8.6%27.8%14.8%30.5%2.3%0.4%13.3M899.2M-15.8M2.5541.0521,14953,890489,056544,706
2021-05-24$113.99$115.0027.6%7.9%27.0%4.7%27.9%1.1%0.2%-19.3M150.8M-15.4M0.767.2831,79924,212392,066460,377
2021-05-25$114.24$115.0027.3%7.8%27.1%3.8%27.3%1.3%-0.4%-12.8M79.0M-15.4M0.917.2312,63111,499405,542467,002
2021-05-26$115.72$115.0026.6%7.7%27.5%1.1%27.3%1.1%0.0%138.9K-187.8M-15.6M0.883.5024,07021,255407,588470,974
2021-05-27$115.67$115.0026.7%7.6%27.4%1.2%27.1%0.8%-0.5%2.0M-184.7M-15.8M0.775.3119,81415,171414,834479,002
2021-05-28$117.37$115.0026.5%7.6%27.4%0.6%26.9%-0.4%-0.4%19.6M-511.5M-15.9M0.433.7336,26615,560416,240486,573