TSM Options History — October 2021

In October 2021, TSM traded between $108.73 and $116.76. ATM implied volatility averaged 24.5%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.1% (HV 20d: 21.3%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2021-10-14: Highest Volume — 146,678 contracts
  • 2021-10-14: Largest IV drop — 12.3% change
  • 2021-10-04: Highest IV Rank — 32.0%
  • 2021-10-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.62$108.73$116.76$111.42$113.49
Max Pain$115.24$115.00$120.00$120.00$115.00
ATM IV24.5%21.0%30.6%27.8%22.1%
Expected Move7.0%6.0%9.0%9.0%6.4%
HV 20d21.3%19.0%24.0%22.7%20.8%
HV 60d23.1%22.0%25.5%25.5%22.9%
IV Rank10.9%0.0%32.0%21.3%3.9%
IV Percentile15.3%0.0%44.0%31.3%4.4%
Term Structure0.1%-0.8%1.9%-0.4%0.4%
VWIV25.0%21.6%31.4%31.4%22.8%
Skew 25d2.4%0.6%4.2%3.5%1.6%
Skew 10d6.2%3.8%10.0%9.9%4.5%
Call IV 25d24.0%20.6%29.4%27.3%21.7%
Put IV 25d26.4%22.9%33.6%30.8%23.3%
Bid-Ask Spread %4.552.569.403.483.35
Gamma HHI0.120.080.160.130.11
Net GEX-37.2M-78.2M7.1M-63.2M-33.9M
Net DEX449.5M-474.0M1.26B949.9M190.3M
Net VEX-14.6M-15.2M-14.2M-15.2M-14.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.511.651.461.20
Total Volume71,560.66736,874146,67845,75766,409
Total OI951,768.524849,6381,074,869985,199901,524

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$111.42$120.0027.8%9.0%22.7%21.3%31.4%3.5%-0.4%-63.2M949.9M-15.2M1.463.4818,56627,191433,907551,292
2021-10-04$109.08$115.0030.6%8.4%20.6%32.0%31.0%4.2%-0.8%-71.8M1.23B-14.8M1.657.7826,31343,506422,937540,778
2021-10-05$109.41$115.0029.0%8.0%20.2%25.8%28.9%3.9%-0.7%-76.3M1.23B-14.7M0.705.5921,69315,181427,945548,746
2021-10-06$109.23$115.0029.3%8.1%19.6%27.1%28.9%3.6%-0.7%-78.2M1.26B-14.8M0.865.6130,40626,296436,209563,043
2021-10-07$111.22$115.0027.6%7.8%20.9%20.6%27.5%2.9%-0.5%-60.6M880.2M-14.9M0.806.7136,26629,148443,124567,002
2021-10-08$110.23$115.0026.9%7.6%20.9%18.2%26.6%1.9%-0.7%-61.8M1.05B-14.8M0.559.4038,79221,514451,919576,304
2021-10-11$110.65$115.0027.0%7.7%21.0%18.3%27.5%2.0%0.1%-67.3M914.9M-14.7M0.795.5732,22025,367443,990562,960
2021-10-12$108.73$115.0028.6%7.9%21.4%24.5%27.9%1.9%-0.6%-76.4M1.23B-14.5M0.634.8935,85922,525453,116570,900
2021-10-13$109.76$115.0026.5%7.6%22.0%16.7%27.0%0.6%-0.3%-68.3M1.06B-14.7M0.666.7262,56541,571452,942578,759
2021-10-14$111.93$115.0023.2%6.7%23.7%4.6%23.4%1.7%0.4%-40.4M597.5M-14.6M0.513.7097,00949,669463,654578,591
2021-10-15$114.44$115.0021.2%6.1%24.0%0.0%22.3%2.9%0.1%7.1M27.5M-14.5M0.822.8960,27849,468484,161590,708
2021-10-18$115.06$115.0021.5%6.2%21.5%1.0%22.6%2.9%0.0%-8.6M-132.4M-14.6M0.713.2528,20620,040384,822464,816
2021-10-19$116.76$115.0021.1%6.0%22.0%0.0%22.3%2.2%0.7%5.8M-474.0M-14.7M0.543.2831,50817,126392,435481,472
2021-10-20$115.71$115.0021.0%6.0%22.0%0.0%21.6%2.5%0.1%3.0M-239.0M-14.8M1.152.6744,23051,066403,010489,517
2021-10-21$115.95$115.0021.4%6.1%22.0%1.4%21.7%2.3%0.6%5.9M-290.9M-14.8M0.774.1744,99534,643405,736496,857
2021-10-22$114.45$115.0021.4%6.1%22.5%1.4%22.1%2.1%0.1%-8.0M-42.9M-14.5M0.892.9652,74246,883410,410486,231
2021-10-25$113.72$115.0021.6%6.2%22.5%2.3%22.1%2.2%0.3%-26.2M105.5M-14.2M1.432.5628,10340,242391,520473,319
2021-10-26$114.20$115.0021.7%6.4%19.2%2.6%22.5%1.3%1.9%-27.2M32.9M-14.3M1.174.4928,05232,685396,543482,482
2021-10-27$113.98$115.0022.3%6.5%19.0%4.7%22.9%1.7%1.1%-26.8M75.6M-14.3M1.163.0929,12233,781401,863485,182
2021-10-28$115.62$115.0021.9%6.4%19.6%3.4%22.6%1.8%0.5%-7.2M-225.6M-14.3M1.173.4428,32733,211406,746489,667
2021-10-29$113.49$115.0022.1%6.4%20.8%3.9%22.8%1.6%0.4%-33.9M190.3M-14.2M1.203.3530,15336,256409,293492,231