TSM Options History — December 2021

In December 2021, TSM traded between $114.89 and $122.70. ATM implied volatility averaged 31.2%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 0.1% (HV 20d: 31.2%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.83.

Notable Days

2021-12-15: Highest Volume — 206,686 contracts
2021-12-21: Largest IV drop — 13.4% change
2021-12-03: Highest IV Rank — 58.4%
2021-12-03: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.65	$114.89	$122.70	$121.82	$120.54
Max Pain	$115.68	$115.00	$120.00	$120.00	$115.00
ATM IV	31.2%	28.1%	37.4%	34.9%	28.1%
Expected Move	9.2%	8.1%	11.8%	10.8%	8.1%
HV 20d	31.2%	27.0%	34.0%	31.7%	27.0%
HV 60d	25.8%	24.6%	26.4%	24.9%	26.1%
IV Rank	36.6%	25.5%	58.4%	49.5%	25.5%
IV Percentile	59.1%	46.0%	74.2%	65.1%	46.0%
Term Structure	0.2%	-1.1%	3.1%	-0.0%	-0.4%
VWIV	33.3%	28.7%	42.6%	37.7%	28.7%
Skew 25d	2.3%	0.9%	6.5%	1.4%	1.9%
Skew 10d	4.9%	1.6%	13.3%	2.7%	3.9%
Call IV 25d	31.1%	27.1%	35.4%	34.8%	28.5%
Put IV 25d	33.3%	29.1%	41.8%	36.2%	30.3%
Bid-Ask Spread %	5.14	2.52	8.25	6.03	3.12
Gamma HHI	0.08	0.06	0.13	0.07	0.07
Net GEX	9.5M	-34.8M	70.3M	29.8M	8.0M
Net DEX	-666.8M	-1.16B	52.6M	-1.14B	-749.4M
Net VEX	-13.9M	-15.8M	-13.0M	-15.8M	-13.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.18	2.13	0.45	1.16
Total Volume	80,885.773	44,618	206,686	121,926	46,667
Total OI	950,519.182	839,238	1,035,892	1,022,692	904,750

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-12-01	$121.82	$120.00	34.9%	10.8%	31.7%	49.5%	37.7%	1.4%	-0.0%	29.8M	-1.14B	-15.8M	0.45	6.03	83,904	38,022	496,905	525,787
2021-12-02	$122.01	$120.00	34.0%	10.5%	31.6%	46.4%	36.5%	2.9%	-0.5%	31.5M	-1.14B	-15.7M	0.38	6.06	56,700	21,560	501,711	534,181
2021-12-03	$118.44	$120.00	37.4%	11.8%	32.3%	58.4%	42.6%	6.5%	-0.4%	-15.0M	-381.2M	-15.6M	1.28	6.04	30,585	39,110	492,006	535,762
2021-12-06	$119.10	$115.00	33.1%	9.8%	32.3%	43.1%	37.0%	5.6%	1.9%	-4.6M	-480.3M	-14.8M	0.92	6.57	29,548	27,052	463,304	517,679
2021-12-07	$121.97	$115.00	30.4%	9.3%	32.0%	33.7%	33.7%	3.4%	1.4%	25.3M	-1.05B	-14.3M	0.59	8.25	44,575	26,086	466,951	517,189
2021-12-08	$121.90	$115.00	29.4%	9.1%	32.0%	30.2%	31.9%	2.0%	2.2%	31.9M	-1.07B	-13.9M	0.69	3.56	26,390	18,228	476,241	524,266
2021-12-09	$120.05	$115.00	29.5%	8.9%	30.7%	30.3%	32.5%	2.5%	0.9%	8.9M	-697.8M	-13.9M	0.82	5.75	45,509	37,381	480,203	528,541
2021-12-10	$118.88	$115.00	28.4%	8.4%	30.9%	26.5%	30.1%	2.1%	3.1%	-10.3M	-546.3M	-13.9M	1.14	7.75	28,210	32,038	479,826	533,136
2021-12-13	$116.87	$115.00	28.9%	8.6%	31.5%	28.3%	30.8%	2.1%	0.3%	-28.8M	-230.8M	-13.4M	1.01	4.05	28,200	28,566	462,411	512,257
2021-12-14	$116.29	$115.00	30.6%	8.8%	31.5%	34.2%	31.6%	2.0%	-0.0%	-34.8M	-106.5M	-13.5M	2.13	3.92	23,343	49,699	465,861	517,842
2021-12-15	$119.51	$115.00	31.4%	9.0%	33.1%	37.1%	32.7%	0.9%	-1.1%	2.6M	-698.2M	-13.7M	0.18	8.24	174,952	31,734	471,391	522,389
2021-12-16	$116.76	$115.00	33.9%	9.4%	34.0%	46.0%	34.7%	1.4%	-1.0%	-28.5M	-69.7M	-14.1M	0.45	4.92	78,365	34,921	464,642	524,311
2021-12-17	$116.52	$115.00	33.4%	9.4%	31.3%	44.1%	34.6%	1.1%	-1.1%	-10.3M	-74.1M	-13.8M	0.83	7.95	62,976	52,125	468,458	527,095
2021-12-20	$114.89	$115.00	34.8%	9.8%	31.4%	49.3%	36.4%	2.7%	-0.2%	-18.8M	52.6M	-13.8M	0.36	6.12	54,740	19,871	397,992	441,246
2021-12-21	$116.97	$115.00	30.1%	8.6%	31.8%	32.7%	31.7%	2.1%	0.3%	-8.4M	-284.0M	-13.2M	0.44	5.36	45,828	20,284	401,890	445,505
2021-12-22	$121.23	$115.00	30.5%	8.7%	32.0%	33.8%	31.2%	2.0%	-0.7%	31.8M	-946.5M	-13.3M	0.77	2.96	70,504	54,469	407,659	448,542
2021-12-23	$121.09	$115.00	29.4%	8.4%	31.9%	30.0%	30.9%	0.9%	0.3%	70.3M	-1.01B	-13.2M	1.22	2.52	32,830	39,937	430,400	469,154
2021-12-27	$122.50	$115.00	30.5%	8.8%	30.5%	33.8%	32.2%	1.3%	-0.2%	37.0M	-1.12B	-13.3M	0.92	3.10	30,321	27,772	416,467	463,198
2021-12-28	$122.70	$115.00	30.6%	8.8%	29.8%	34.3%	32.7%	2.0%	-0.1%	43.6M	-1.16B	-13.3M	0.77	4.64	49,934	38,236	422,258	464,985
2021-12-29	$121.62	$115.00	29.3%	8.5%	29.5%	29.6%	32.4%	1.3%	-0.7%	31.3M	-957.1M	-13.1M	1.33	3.23	21,144	28,025	423,010	465,551
2021-12-30	$120.71	$115.00	28.9%	8.3%	27.0%	28.3%	30.8%	1.7%	-0.5%	17.0M	-798.9M	-13.0M	0.52	2.86	32,356	16,790	427,574	470,896
2021-12-31	$120.54	$115.00	28.1%	8.1%	27.0%	25.5%	28.7%	1.9%	-0.4%	8.0M	-749.4M	-13.0M	1.16	3.12	21,560	25,107	429,005	475,745