TSM Options History — January 2022

In January 2022, TSM traded between $116.76 and $140.25. ATM implied volatility averaged 37.7%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 6.2% (HV 20d: 43.9%). Max pain ranged from $115.00 to $125.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2022-01-13: Highest Volume — 538,877 contracts
2022-01-04: Largest IV spike — 15.4% change
2022-01-24: Highest IV Rank — 72.5%
2022-01-05: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$127.63	$116.76	$140.25	$128.30	$121.74
Max Pain	$120.20	$115.00	$125.00	$115.00	$122.00
ATM IV	37.7%	32.0%	41.3%	32.0%	34.4%
Expected Move	10.9%	9.5%	12.2%	9.5%	10.1%
HV 20d	43.9%	32.9%	53.1%	32.9%	53.1%
HV 60d	33.9%	28.7%	38.4%	28.7%	38.4%
IV Rank	59.9%	39.2%	72.5%	39.2%	52.7%
IV Percentile	82.7%	65.9%	95.6%	65.9%	72.6%
Term Structure	-0.7%	-2.2%	0.2%	-0.7%	0.2%
VWIV	39.1%	35.1%	45.5%	35.1%	37.0%
Skew 25d	1.8%	-1.8%	6.7%	-1.3%	5.8%
Skew 10d	4.5%	-2.3%	13.3%	-2.3%	11.1%
Call IV 25d	38.0%	32.3%	41.4%	33.6%	32.3%
Put IV 25d	39.8%	32.3%	45.1%	32.3%	38.1%
Bid-Ask Spread %	7.83	2.50	18.86	3.12	5.10
Gamma HHI	0.08	0.06	0.20	0.08	0.07
Net GEX	35.9M	-22.7M	135.9M	48.1M	1.4M
Net DEX	-1.47B	-4.10B	516.9M	-1.91B	-301.8M
Net VEX	-13.9M	-14.9M	-12.8M	-12.8M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.33	1.27	0.46	0.52
Total Volume	154,138.7	53,336	538,877	231,769	59,657
Total OI	955,315.2	724,453	1,148,139	883,092	748,161

Daily Data (20 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
2022-01-03	$128.30	$115.00	32.0%	9.5%	32.9%	39.2%	35.1%	-1.3%	-0.7%	48.1M	-1.91B	-12.8M	0.46	3.12	158,602	73,167	409,936	473,156
2022-01-04	$133.17	$117.00	36.9%	11.9%	35.0%	56.8%	43.7%	-1.8%	0.1%	73.2M	-2.72B	-13.5M	0.33	4.40	220,381	72,656	454,512	490,846
2022-01-05	$127.68	$117.00	39.0%	12.2%	38.1%	64.1%	45.5%	0.1%	-2.2%	34.9M	-1.56B	-14.6M	0.79	8.54	76,257	60,419	485,489	511,921
2022-01-06	$127.47	$120.00	39.1%	10.8%	38.1%	64.8%	38.2%	-0.1%	-2.1%	39.4M	-1.59B	-14.8M	0.58	18.86	79,612	46,499	503,174	516,277
2022-01-07	$124.01	$120.00	39.4%	10.8%	39.1%	65.6%	38.9%	-0.1%	-1.1%	9.5M	-988.9M	-14.9M	0.57	13.63	80,466	45,551	524,673	524,241
2022-01-10	$124.38	$120.00	38.9%	10.8%	38.9%	63.9%	38.9%	1.2%	-1.0%	24.1M	-1.17B	-14.6M	0.46	14.66	67,674	31,084	506,576	504,904
2022-01-11	$128.93	$120.00	38.4%	10.6%	39.9%	62.3%	37.4%	0.1%	-1.3%	52.1M	-1.97B	-14.2M	0.39	15.47	82,093	32,358	501,674	512,350
2022-01-12	$132.53	$120.00	36.9%	10.3%	40.5%	56.8%	37.0%	-0.0%	-0.8%	78.1M	-2.67B	-13.9M	0.57	9.19	130,196	74,763	519,961	521,859
2022-01-13	$140.17	$120.00	36.5%	10.4%	43.6%	55.2%	36.9%	-1.7%	-0.2%	135.9M	-4.10B	-13.3M	0.46	8.22	367,918	170,959	541,687	545,482
2022-01-14	$140.25	$120.00	34.9%	9.9%	42.2%	49.8%	35.4%	-1.4%	-0.8%	121.0M	-3.79B	-13.5M	0.73	4.98	184,071	133,491	561,676	586,463
2022-01-18	$133.42	$120.00	37.0%	10.6%	47.0%	57.1%	38.0%	1.1%	-0.4%	54.5M	-2.27B	-13.9M	0.63	5.36	86,240	54,000	522,260	534,489
2022-01-19	$131.42	$120.00	35.2%	10.1%	47.1%	50.8%	36.5%	1.8%	-0.5%	41.8M	-1.94B	-13.8M	0.53	2.50	60,025	31,939	540,243	542,155
2022-01-20	$129.04	$120.00	35.6%	10.3%	47.7%	52.1%	37.1%	1.5%	-1.1%	26.5M	-1.54B	-13.9M	0.61	2.89	61,179	37,482	546,106	547,917
2022-01-21	$124.84	$120.00	38.0%	10.9%	48.0%	60.8%	39.5%	2.9%	-0.4%	20.4M	-835.7M	-13.9M	1.27	5.27	52,335	66,257	562,332	551,884
2022-01-24	$124.90	$120.00	41.3%	12.0%	48.0%	72.5%	42.9%	5.3%	-0.3%	-538.6K	-456.1M	-14.0M	0.94	8.84	39,359	36,822	363,071	361,382
2022-01-25	$123.47	$123.00	41.3%	12.2%	48.1%	72.5%	43.1%	5.5%	-0.3%	-2.7M	-319.5M	-14.0M	0.80	7.87	29,606	23,730	371,017	370,673
2022-01-26	$122.86	$120.00	40.2%	11.7%	48.1%	68.5%	40.9%	5.2%	-0.4%	-3.0M	-264.2M	-14.0M	0.98	6.86	38,547	37,738	380,124	377,791
2022-01-27	$117.29	$125.00	40.6%	12.0%	50.8%	71.2%	40.8%	6.7%	-0.3%	-22.7M	428.6M	-13.7M	1.21	5.46	41,683	50,294	391,006	390,637
2022-01-28	$116.76	$125.00	37.7%	11.2%	50.8%	60.7%	38.4%	6.5%	-0.4%	-13.5M	516.9M	-13.7M	0.81	5.42	48,438	39,226	408,964	399,235
2022-01-31	$121.74	$122.00	34.4%	10.1%	53.1%	52.7%	37.0%	5.8%	0.2%	1.4M	-301.8M	-13.9M	0.52	5.10	39,259	20,398	365,778	382,383