TSM Options History — June 2021

In June 2021, TSM traded between $114.31 and $120.47. ATM implied volatility averaged 27.1%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.0% (HV 20d: 24.1%). Max pain ranged from $115.00 to $115.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2021-06-16: Highest Volume — 139,086 contracts
2021-06-18: Largest IV spike — 8.6% change
2021-06-18: Highest IV Rank — 16.4%
2021-06-28: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.90	$114.31	$120.47	$118.81	$120.08
Max Pain	$115.00	$115.00	$115.00	$115.00	$115.00
ATM IV	27.1%	24.5%	29.0%	27.5%	28.6%
Expected Move	8.1%	7.5%	8.5%	8.2%	8.5%
HV 20d	24.1%	19.9%	28.9%	27.6%	23.6%
HV 60d	29.4%	24.8%	34.6%	34.6%	24.8%
IV Rank	7.7%	0.0%	16.4%	4.5%	14.9%
IV Percentile	5.5%	0.0%	14.3%	3.2%	14.3%
Term Structure	0.4%	-1.4%	5.4%	-0.5%	-0.4%
VWIV	29.0%	27.2%	30.3%	28.8%	30.3%
Skew 25d	-0.0%	-1.3%	1.2%	1.2%	-0.4%
Skew 10d	1.2%	-2.5%	4.2%	2.2%	-0.6%
Call IV 25d	28.1%	24.5%	29.7%	27.7%	29.2%
Put IV 25d	28.1%	24.9%	30.4%	28.9%	28.8%
Bid-Ask Spread %	9.32	2.40	24.31	13.26	3.99
Gamma HHI	0.09	0.07	0.13	0.09	0.08
Net GEX	-4.0M	-49.4M	34.3M	6.8M	20.8M
Net DEX	-445.3M	-961.0M	263.8M	-664.1M	-943.5M
Net VEX	-15.1M	-15.5M	-14.5M	-15.2M	-15.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.19	1.79	0.37	0.32
Total Volume	60,450.455	30,328	139,086	63,333	60,592
Total OI	914,863.727	822,461	964,161	874,023	927,049

Daily Data (22 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
2021-06-01	$118.81	$115.00	27.5%	8.2%	27.6%	4.5%	28.8%	1.2%	-0.5%	6.8M	-664.1M	-15.2M	0.37	13.26	46,306	17,027	399,797	474,226
2021-06-02	$118.67	$115.00	26.0%	8.0%	27.2%	0.0%	28.4%	-1.3%	0.1%	15.6M	-658.8M	-15.5M	0.51	6.82	24,538	12,438	414,949	480,962
2021-06-03	$116.95	$115.00	28.0%	8.4%	27.7%	7.5%	29.9%	-0.3%	1.0%	-5.9M	-282.4M	-15.5M	0.89	14.29	17,572	15,633	416,205	482,664
2021-06-04	$119.49	$115.00	27.0%	8.2%	28.6%	3.7%	29.9%	0.1%	-0.4%	34.3M	-802.9M	-15.5M	0.47	22.49	33,595	15,899	419,816	488,935
2021-06-07	$118.27	$115.00	26.3%	8.3%	28.9%	1.1%	29.8%	0.0%	5.4%	68.9K	-500.6M	-15.3M	0.68	3.25	20,050	13,612	410,415	483,677
2021-06-08	$115.77	$115.00	27.2%	8.3%	27.0%	4.4%	30.1%	-0.2%	1.9%	-23.3M	-70.3M	-15.1M	1.00	7.35	30,283	30,276	412,594	491,133
2021-06-09	$116.85	$115.00	25.7%	8.2%	27.2%	0.0%	29.3%	0.3%	1.6%	-10.3M	-272.4M	-15.2M	1.05	4.01	21,416	22,449	420,370	506,800
2021-06-10	$118.08	$115.00	26.0%	8.0%	22.7%	1.4%	28.6%	0.6%	1.9%	5.3M	-510.8M	-15.1M	0.57	18.75	28,581	16,203	423,039	516,800
2021-06-11	$117.81	$115.00	24.5%	7.5%	22.8%	0.0%	27.2%	0.4%	2.6%	779.6K	-448.5M	-15.0M	0.52	15.01	19,899	10,429	431,555	522,242
2021-06-14	$120.47	$115.00	26.4%	7.7%	22.1%	6.9%	27.6%	-0.5%	-1.4%	21.0M	-961.0M	-14.5M	0.88	3.52	39,574	34,884	417,747	509,854
2021-06-15	$119.60	$115.00	27.0%	7.8%	19.9%	9.2%	28.5%	-0.2%	-0.0%	11.2M	-731.6M	-14.9M	0.72	9.06	25,271	18,136	427,628	527,394
2021-06-16	$118.66	$115.00	27.9%	8.0%	19.9%	12.4%	28.7%	-0.2%	-0.7%	1.4M	-540.3M	-14.7M	0.19	24.31	117,157	21,929	430,300	533,861
2021-06-17	$119.47	$115.00	26.7%	7.6%	20.0%	8.1%	28.0%	0.0%	-0.2%	15.7M	-483.9M	-14.7M	0.63	8.44	33,724	21,260	412,185	541,845
2021-06-18	$115.92	$115.00	29.0%	8.4%	22.9%	16.4%	30.1%	0.7%	-0.8%	-45.2M	161.4M	-14.9M	1.20	18.68	32,794	39,380	418,689	541,045
2021-06-21	$114.31	$115.00	27.6%	7.9%	23.1%	11.3%	28.7%	0.4%	0.5%	-45.0M	248.1M	-14.5M	1.43	8.05	27,874	39,742	370,325	452,136
2021-06-22	$114.42	$115.00	27.7%	8.1%	22.3%	11.6%	28.6%	0.7%	-0.5%	-49.4M	263.8M	-14.9M	0.86	3.10	38,134	32,915	382,495	473,166
2021-06-23	$116.34	$115.00	27.5%	8.0%	23.0%	11.0%	29.0%	-0.2%	-0.1%	-31.7M	-178.3M	-15.4M	0.43	3.00	61,138	26,489	400,424	495,413
2021-06-24	$117.19	$115.00	27.6%	8.0%	22.7%	11.4%	28.9%	-0.1%	-0.6%	-20.2M	-358.9M	-15.3M	0.50	3.54	32,499	16,382	413,859	501,236
2021-06-25	$116.74	$115.00	27.1%	7.9%	22.8%	9.6%	28.3%	-0.3%	-0.1%	-14.5M	-324.3M	-15.5M	1.79	6.51	30,892	55,391	427,586	504,042
2021-06-28	$119.77	$115.00	28.0%	8.5%	24.0%	12.8%	30.1%	-0.7%	-0.3%	6.7M	-811.4M	-15.5M	0.43	2.40	41,306	17,714	413,277	489,119
2021-06-29	$120.18	$115.00	27.5%	8.2%	23.6%	11.1%	29.0%	-0.5%	-0.2%	18.0M	-925.0M	-15.5M	1.13	5.23	32,118	36,409	425,207	494,941
2021-06-30	$120.08	$115.00	28.6%	8.5%	23.6%	14.9%	30.3%	-0.4%	-0.4%	20.8M	-943.5M	-15.5M	0.32	3.99	45,885	14,707	429,438	497,611