TSM Options History — July 2021

In July 2021, TSM traded between $113.06 and $124.89. ATM implied volatility averaged 25.8%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.7% (HV 20d: 26.5%). Max pain ranged from $115.00 to $115.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2021-07-15: Highest Volume — 197,487 contracts
  • 2021-07-15: Largest IV drop — 12.9% change
  • 2021-07-12: Highest IV Rank — 16.5%
  • 2021-07-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.94$113.06$124.89$118.19$116.28
Max Pain$115.00$115.00$115.00$115.00$115.00
ATM IV25.8%22.4%29.0%28.2%23.6%
Expected Move7.3%6.3%8.4%8.4%6.3%
HV 20d26.5%21.4%31.4%23.7%29.0%
HV 60d25.6%24.1%27.1%24.8%26.5%
IV Rank7.4%0.0%16.5%13.6%4.0%
IV Percentile5.9%0.0%18.7%12.7%1.2%
Term Structure-0.0%-1.5%1.3%0.2%0.5%
VWIV26.1%22.4%29.3%29.0%22.4%
Skew 25d0.9%-1.7%3.6%-0.5%2.8%
Skew 10d3.2%-2.0%10.2%-0.9%5.8%
Call IV 25d26.1%21.9%29.8%28.7%22.9%
Put IV 25d26.9%23.9%29.1%28.2%25.8%
Bid-Ask Spread %5.482.5616.553.954.03
Gamma HHI0.090.080.210.080.09
Net GEX-16.6M-103.5M44.0M-3.4M-20.4M
Net DEX-330.7M-1.67B551.2M-551.0M7.5M
Net VEX-15.0M-15.4M-14.6M-15.3M-15.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.351.410.620.77
Total Volume75,120.71434,351197,48755,81244,806
Total OI904,633.19792,0571,036,972947,658886,511

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$118.19$115.0028.2%8.4%23.7%13.6%29.0%-0.5%0.2%-3.4M-551.0M-15.3M0.623.9534,53121,281444,585503,073
2021-07-02$118.90$115.0026.8%7.8%22.5%8.3%27.4%-0.2%0.6%22.5M-688.1M-15.3M0.482.5628,70813,875445,215511,835
2021-07-06$119.90$115.0028.0%7.9%22.4%12.7%28.4%-0.6%-0.3%2.8M-835.1M-15.1M0.563.3430,22016,853430,574494,510
2021-07-07$118.49$115.0028.1%7.9%21.4%13.2%29.3%-0.7%-0.2%-11.7M-585.4M-14.9M0.3616.5544,92916,299436,897501,148
2021-07-08$117.67$115.0027.5%8.0%21.4%10.8%28.4%-0.6%-0.8%-31.8M-280.7M-15.0M1.087.0136,37539,363432,390507,076
2021-07-09$120.56$115.0027.2%7.6%22.7%9.8%27.2%-1.2%-0.2%-3.6M-865.2M-15.1M0.355.5457,71320,380436,912530,813
2021-07-12$122.42$115.0029.0%8.1%23.2%16.5%28.7%-1.0%-0.8%11.9M-1.16B-14.7M0.393.6880,16131,623425,321504,059
2021-07-13$124.01$115.0028.0%7.7%22.4%12.8%27.9%-1.5%-1.1%33.9M-1.54B-14.8M0.573.6589,96351,294444,236511,135
2021-07-14$124.89$115.0028.8%8.0%22.2%15.6%28.4%-1.7%-1.0%44.0M-1.67B-14.8M0.543.5880,27143,596448,115515,456
2021-07-15$117.94$115.0025.1%7.1%30.5%2.1%25.4%1.1%-0.9%-46.8M-188.1M-14.6M0.633.64121,48776,000475,797527,262
2021-07-16$115.33$115.0025.0%7.0%31.4%1.9%25.0%1.3%-1.5%-103.5M382.2M-15.2M1.137.7453,39160,541492,161544,811
2021-07-19$115.18$115.0026.4%7.5%29.5%7.0%26.9%2.6%0.3%-34.6M230.7M-15.2M0.796.8142,19233,160362,838446,497
2021-07-20$116.69$115.0024.1%6.9%29.4%0.0%24.7%2.0%0.8%-22.8M-17.0M-15.2M0.785.9026,92920,924372,707459,220
2021-07-21$117.63$115.0022.8%6.5%29.5%0.0%23.7%2.4%1.3%-13.0M-172.6M-15.4M0.514.6322,67511,676379,248466,884
2021-07-22$116.47$115.0023.2%6.6%29.2%1.3%23.4%2.4%1.1%-26.5M14.8M-15.1M0.594.4627,40516,184383,852468,267
2021-07-23$116.69$115.0022.4%6.3%29.1%0.0%23.0%2.0%1.0%-3.1M-31.9M-15.0M1.414.2728,16639,724392,570474,649
2021-07-26$115.22$115.0023.7%6.6%29.4%4.2%23.8%2.1%0.1%-33.8M154.9M-14.8M1.135.0020,39123,101362,131429,926
2021-07-27$113.06$115.0026.2%7.5%28.4%12.8%27.7%3.6%1.0%-44.0M551.2M-15.0M1.346.9433,83245,279370,653456,533
2021-07-28$115.16$115.0023.7%6.6%29.3%4.2%23.9%2.1%0.5%-39.0M243.3M-15.1M0.617.3528,23917,141376,316468,399
2021-07-29$116.01$115.0023.8%6.6%29.5%4.5%23.8%2.0%-0.7%-26.3M60.1M-15.2M0.674.4928,14018,717387,611489,104
2021-07-30$116.28$115.0023.6%6.3%29.0%4.0%22.4%2.8%0.5%-20.4M7.5M-15.2M0.774.0325,35919,447392,524493,987