TSM Options History — September 2021

In September 2021, TSM traded between $111.74 and $124.81. ATM implied volatility averaged 26.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.5% (HV 20d: 25.1%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2021-09-15: Highest Volume — 188,656 contracts
  • 2021-09-20: Largest IV spike — 15.8% change
  • 2021-09-20: Highest IV Rank — 34.8%
  • 2021-09-28: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.79$111.74$124.81$120.67$112.01
Max Pain$119.00$115.00$120.00$119.00$120.00
ATM IV26.5%22.9%31.4%22.9%28.8%
Expected Move8.0%6.1%9.3%6.1%9.0%
HV 20d25.1%20.6%27.8%25.2%22.8%
HV 60d25.1%24.3%25.6%24.9%25.5%
IV Rank16.7%2.9%34.8%2.9%25.2%
IV Percentile21.1%3.6%41.3%3.6%39.7%
Term Structure0.5%-1.1%2.3%1.0%-0.3%
VWIV29.6%22.4%36.4%22.4%31.8%
Skew 25d3.3%0.4%6.1%0.4%3.8%
Skew 10d8.0%1.2%15.6%1.2%8.8%
Call IV 25d26.0%23.3%29.1%23.3%28.2%
Put IV 25d29.4%23.6%34.5%23.6%32.0%
Bid-Ask Spread %8.074.0117.305.144.01
Gamma HHI0.110.090.190.110.12
Net GEX-1.8M-67.0M94.3M50.6M-67.0M
Net DEX-544.4M-1.88B846.1M-1.34B817.2M
Net VEX-15.1M-15.5M-14.4M-15.3M-15.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.222.820.610.71
Total Volume64,526.1929,322188,65662,71629,950
Total OI960,082.81882,7331,020,256959,957976,398

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$120.67$119.0022.9%6.1%25.2%2.9%22.4%0.4%1.0%50.6M-1.34B-15.3M0.615.1438,88323,833461,188498,769
2021-09-02$120.77$115.0023.9%7.4%25.2%6.2%28.0%0.7%0.6%38.6M-1.27B-15.3M1.287.9123,19829,710451,449506,435
2021-09-03$123.91$115.0024.1%7.6%26.5%7.2%26.8%1.0%1.0%94.3M-1.86B-15.0M0.509.3295,16647,941452,199513,528
2021-09-07$124.81$115.0024.1%7.6%26.5%7.2%27.9%1.7%2.2%41.6M-1.88B-14.7M0.8613.9843,65037,756434,016502,924
2021-09-08$122.24$115.0025.1%7.8%27.3%10.6%28.9%2.0%2.3%34.0M-1.32B-14.8M0.657.7130,76019,889446,737510,644
2021-09-09$123.02$120.0025.6%7.7%27.3%13.2%27.7%2.4%1.7%38.1M-1.41B-14.8M0.5110.1028,83814,718452,897518,950
2021-09-10$123.08$120.0025.5%7.7%27.2%12.9%27.6%1.7%2.3%48.1M-1.42B-14.7M0.6717.3039,36126,182457,573523,674
2021-09-13$123.32$120.0026.8%7.8%27.0%17.8%28.1%1.8%-0.4%34.0M-1.39B-14.4M0.5211.9135,71618,488440,508507,359
2021-09-14$122.76$120.0026.6%7.7%26.9%16.8%28.0%2.8%1.0%31.4M-1.27B-14.8M1.6110.4919,89232,089456,453523,534
2021-09-15$121.48$120.0026.5%7.6%24.5%16.7%27.0%3.3%0.6%22.2M-1.03B-14.6M0.2210.49154,81033,846471,507530,459
2021-09-16$120.94$120.0026.5%7.6%24.6%16.7%29.0%3.8%-0.1%21.6M-968.6M-15.1M1.325.1918,26324,071475,250545,006
2021-09-17$117.92$120.0027.1%7.8%26.6%18.9%30.5%5.0%0.2%-53.5M-3.1M-15.4M2.829.4025,97273,224454,004561,155
2021-09-20$114.36$120.0031.4%9.1%27.8%34.8%32.7%5.4%-1.1%-39.2M352.8M-15.3M1.146.0338,84744,383403,517479,216
2021-09-21$115.03$120.0029.8%8.6%26.4%28.7%30.7%6.1%-0.8%-43.4M333.4M-15.3M2.317.0719,64645,331410,832503,895
2021-09-22$116.06$120.0027.5%8.1%26.3%20.3%31.5%5.6%-0.3%-41.4M170.1M-15.3M1.157.1713,65815,664407,018518,387
2021-09-23$116.13$120.0026.2%7.7%20.9%15.4%27.9%4.5%-0.6%-41.0M136.6M-15.2M1.074.8720,04321,398415,905533,571
2021-09-24$115.67$120.0025.8%7.6%20.6%13.9%31.5%5.5%0.3%-44.8M248.7M-15.5M1.515.5316,95225,563422,525541,517
2021-09-27$116.23$120.0026.0%7.9%20.7%14.8%31.4%4.1%-0.1%-35.5M97.0M-15.4M1.074.8315,59616,726411,433528,085
2021-09-28$112.51$120.0028.7%9.3%23.3%24.7%36.4%3.8%-0.2%-59.9M722.9M-15.4M1.875.5819,83937,166416,142538,379
2021-09-29$111.74$120.0028.8%9.3%23.3%25.1%35.4%4.7%1.1%-66.3M846.1M-15.3M0.645.4123,21414,818421,854536,847
2021-09-30$112.01$120.0028.8%9.0%22.8%25.2%31.8%3.8%-0.3%-67.0M817.2M-15.4M0.714.0117,54912,401427,605548,793