TSM Options History — November 2021

In November 2021, TSM traded between $113.68 and $125.60. ATM implied volatility averaged 28.4%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.5% (HV 20d: 22.9%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2021-11-22: Highest Volume — 327,275 contracts
  • 2021-11-22: Largest IV spike — 15.3% change
  • 2021-11-26: Highest IV Rank — 49.8%
  • 2021-11-30: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.91$113.68$125.60$113.68$117.67
Max Pain$116.67$115.00$120.00$115.00$120.00
ATM IV28.4%22.3%34.9%22.3%33.8%
Expected Move8.3%6.5%10.3%6.5%10.3%
HV 20d22.9%19.0%29.4%19.0%29.4%
HV 60d23.3%22.0%24.3%22.8%23.9%
IV Rank26.4%4.6%49.8%4.6%45.8%
IV Percentile39.4%5.2%65.5%5.2%62.7%
Term Structure0.2%-1.2%1.6%0.3%-0.9%
VWIV30.7%23.0%36.8%23.0%36.8%
Skew 25d-0.3%-3.4%2.2%2.1%1.8%
Skew 10d0.1%-6.8%5.3%4.7%3.8%
Call IV 25d29.6%22.1%37.5%22.1%33.3%
Put IV 25d29.3%24.0%36.4%24.1%35.1%
Bid-Ask Spread %6.552.2018.513.575.91
Gamma HHI0.080.070.110.110.07
Net GEX14.1M-34.9M63.1M-34.9M-2.3M
Net DEX-828.6M-1.95B141.1M141.1M-385.2M
Net VEX-15.1M-15.9M-13.9M-14.2M-15.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.231.611.400.60
Total Volume113,385.61947,846327,27550,34073,162
Total OI977,486.524878,9741,046,630878,9741,014,495

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$113.68$115.0022.3%6.5%19.0%4.6%23.0%2.1%0.3%-34.9M141.1M-14.2M1.403.5720,94529,395394,823484,151
2021-11-02$113.90$115.0022.8%6.5%19.0%6.3%23.1%2.2%0.3%-31.6M134.0M-14.0M1.613.7427,07843,526398,317486,317
2021-11-03$113.83$115.0022.6%6.5%19.0%5.7%23.3%1.5%0.7%-31.9M70.5M-13.9M1.533.3520,54331,494402,896500,425
2021-11-04$117.14$115.0025.4%7.6%20.5%15.7%27.2%0.9%-1.2%4.4M-568.3M-14.4M0.3912.50126,98948,920407,486504,750
2021-11-05$117.71$115.0025.7%7.7%20.1%16.7%28.3%1.0%0.4%6.7M-789.7M-15.2M0.514.7274,92438,278441,032513,825
2021-11-08$120.86$115.0028.9%8.6%21.7%28.2%31.5%-2.0%1.2%25.9M-1.32B-15.1M0.4112.26166,13968,355430,618499,624
2021-11-09$121.46$115.0029.9%8.9%20.1%31.9%33.1%-2.9%1.6%41.6M-1.48B-15.8M0.5014.5798,88049,542463,722514,830
2021-11-10$118.04$115.0027.5%8.2%23.4%23.2%30.1%-0.5%1.2%17.1M-757.4M-15.7M0.7518.5151,21338,611472,007528,049
2021-11-11$118.00$115.0026.5%7.9%22.6%19.6%28.1%-0.8%1.1%13.9M-764.8M-15.5M1.0514.9838,42640,243473,214533,137
2021-11-12$118.62$115.0026.3%7.8%21.4%19.0%33.9%-1.4%1.1%19.3M-861.1M-15.4M0.833.1858,15448,359477,394541,927
2021-11-15$118.30$115.0027.1%7.8%21.4%21.7%31.1%-1.1%-0.3%16.3M-737.6M-15.1M0.582.4443,78425,443462,995528,902
2021-11-16$118.25$115.0026.8%7.7%20.9%20.6%28.4%-1.3%-0.7%18.8M-789.1M-14.8M0.472.2033,50815,911472,401532,612
2021-11-17$119.14$115.0027.0%7.7%20.7%21.3%27.6%-1.1%-0.4%32.5M-954.2M-14.7M0.422.7933,70914,137478,589537,945
2021-11-18$123.32$115.0029.0%8.4%23.8%28.6%30.1%-0.8%-0.6%59.9M-1.84B-14.9M0.362.71131,84046,919482,008536,535
2021-11-19$123.98$120.0029.6%8.6%23.0%30.7%33.0%-2.1%-0.7%63.1M-1.95B-15.0M0.253.00125,74431,001490,355556,275
2021-11-22$125.60$120.0034.1%9.9%22.9%46.8%36.8%-3.4%-0.6%43.6M-1.77B-15.3M0.235.78266,58260,693440,259485,979
2021-11-23$120.96$120.0033.2%9.6%27.4%43.6%36.1%-0.9%0.2%25.6M-1.02B-15.9M0.356.31100,27935,256496,455499,280
2021-11-24$120.23$120.0032.3%9.2%27.6%40.5%34.3%-1.5%-0.5%15.4M-862.6M-15.8M0.734.3445,02932,997506,113506,332
2021-11-26$117.07$120.0034.9%10.1%29.1%49.8%35.9%2.1%-0.5%-15.2M-201.4M-15.7M0.407.1053,17421,391510,417523,231
2021-11-29$119.33$120.0030.7%9.1%28.8%34.6%32.8%0.8%1.5%8.8M-697.6M-15.2M0.553.6845,56124,964484,150513,345
2021-11-30$117.67$120.0033.8%10.3%29.4%45.8%36.8%1.8%-0.9%-2.3M-385.2M-15.7M0.605.9145,85327,309494,755519,740