TSM Options History — August 2021

In August 2021, TSM traded between $107.90 and $119.31. ATM implied volatility averaged 23.9%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.9% (HV 20d: 23.0%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2021-08-25: Highest Volume — 257,986 contracts
  • 2021-08-17: Largest IV spike — 11.8% change
  • 2021-08-19: Highest IV Rank — 16.4%
  • 2021-08-19: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.55$107.90$119.31$117.01$119.26
Max Pain$119.00$115.00$120.00$115.00$119.00
ATM IV23.9%22.0%26.9%24.2%23.6%
Expected Move6.8%6.4%7.7%6.6%6.4%
HV 20d23.0%14.9%29.2%29.0%24.9%
HV 60d24.5%22.9%26.5%26.5%25.2%
IV Rank6.2%0.0%16.4%5.9%5.4%
IV Percentile4.9%0.0%15.1%3.2%4.4%
Term Structure0.3%-0.5%1.0%-0.0%0.6%
VWIV24.4%22.9%27.1%23.5%23.4%
Skew 25d1.9%0.0%3.7%2.9%0.9%
Skew 10d4.4%0.1%8.1%6.2%2.0%
Call IV 25d23.8%21.7%26.0%23.9%23.9%
Put IV 25d25.7%23.9%29.7%26.8%24.9%
Bid-Ask Spread %4.652.3214.453.444.76
Gamma HHI0.110.090.160.100.11
Net GEX-23.3M-86.8M41.9M-21.8M33.7M
Net DEX13.9M-1.04B1.65B-115.6M-1.04B
Net VEX-14.6M-15.9M-13.5M-15.2M-15.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.171.570.540.41
Total Volume68,369.36431,813257,98633,27463,386
Total OI903,640.864830,175981,088858,397956,823

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$117.01$115.0024.2%6.6%29.0%5.9%23.5%2.9%-0.0%-21.8M-115.6M-15.2M0.543.4421,58411,690377,780480,617
2021-08-03$118.28$115.0024.8%6.8%29.2%8.1%23.8%2.6%-0.5%-8.2M-336.3M-15.1M0.574.3836,07020,730382,536486,239
2021-08-04$118.81$115.0024.0%6.5%28.9%5.2%23.1%1.8%-0.3%1.3M-460.8M-14.8M0.543.5127,66115,029388,307488,855
2021-08-05$118.76$120.0022.7%6.7%28.8%0.9%24.8%1.5%-0.1%11.0M-492.1M-14.8M0.492.3223,33411,433397,113494,227
2021-08-06$117.94$120.0022.7%6.6%27.5%0.9%24.2%1.4%0.1%-25.9M-331.3M-14.8M0.722.5625,22618,088402,093499,376
2021-08-09$117.92$120.0022.0%6.5%26.8%0.0%23.5%1.5%0.3%-14.3M-324.9M-14.4M0.796.6817,76914,044384,481481,531
2021-08-10$116.44$120.0023.2%6.8%26.4%3.8%24.1%1.4%0.6%-31.2M-36.4M-14.1M0.536.4124,21412,873388,069488,134
2021-08-11$116.08$120.0022.5%6.6%26.2%1.6%23.8%1.9%0.6%-37.6M93.3M-14.1M0.575.2821,83212,416394,037489,897
2021-08-12$115.81$120.0022.6%6.7%16.8%1.7%24.2%2.1%0.9%-41.6M122.7M-14.2M1.253.1217,73022,154398,869493,640
2021-08-13$115.19$120.0022.0%6.4%14.9%0.0%23.1%2.2%0.6%-52.9M251.8M-13.9M0.902.5326,80224,164403,057496,852
2021-08-16$114.28$120.0022.3%6.4%15.2%0.9%23.6%2.0%0.4%-58.7M452.5M-13.7M1.312.5220,06526,252390,997490,670
2021-08-17$110.94$120.0024.9%7.2%17.6%9.6%25.6%3.2%-0.5%-73.9M1.10B-13.6M1.313.7937,48849,112397,188498,653
2021-08-18$111.03$120.0024.8%7.1%17.2%9.2%24.7%2.8%0.4%-75.5M1.09B-13.7M0.9314.4525,03823,350402,052504,791
2021-08-19$110.33$120.0026.9%7.7%17.0%16.4%27.1%3.7%-0.3%-86.8M1.24B-14.1M0.6611.0963,50742,073411,001523,025
2021-08-20$107.90$120.0025.9%7.4%18.3%12.9%27.0%3.0%0.7%-68.7M1.65B-13.5M1.573.4050,39379,285417,449526,685
2021-08-23$110.81$120.0024.3%6.9%20.9%7.5%24.7%2.2%0.5%-49.5M778.5M-14.0M0.593.7849,13929,038385,137445,038
2021-08-24$112.08$120.0024.5%7.0%20.4%8.4%24.6%1.8%-0.0%-29.7M409.1M-14.8M0.172.7770,07412,091422,201483,338
2021-08-25$117.17$120.0025.8%7.2%25.1%12.5%26.1%0.0%0.8%16.9M-677.9M-15.8M0.283.58201,86056,126440,481493,678
2021-08-26$118.16$116.0025.9%7.2%25.2%12.8%25.5%1.3%-0.1%28.0M-1.01B-15.9M0.293.8862,31417,981454,696496,789
2021-08-27$118.57$119.0023.9%6.7%25.2%6.5%23.8%0.7%1.0%41.9M-1.02B-15.6M0.444.1748,87321,340471,522509,566
2021-08-30$119.31$119.0023.6%6.5%25.2%5.5%22.9%1.3%0.9%30.9M-1.03B-15.5M0.563.8032,47218,026452,002490,607
2021-08-31$119.26$119.0023.6%6.4%24.9%5.4%23.4%0.9%0.6%33.7M-1.04B-15.5M0.414.7644,94818,438462,225494,598