TSM Options History — February 2022

In February 2022, TSM traded between $106.09 and $125.10. ATM implied volatility averaged 37.1%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 2.6% (HV 20d: 39.7%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.24.

Notable Days

  • 2022-02-24: Highest Volume — 148,302 contracts
  • 2022-02-11: Largest IV spike — 16.9% change
  • 2022-02-24: Highest IV Rank — 100.0%
  • 2022-02-28: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.68$106.09$125.10$122.59$106.09
Max Pain$120.11$120.00$121.00$121.00$120.00
ATM IV37.1%31.7%43.9%33.6%43.7%
Expected Move10.8%9.3%13.6%9.8%13.6%
HV 20d39.7%34.6%47.9%47.9%37.6%
HV 60d38.4%37.9%39.1%37.9%39.1%
IV Rank70.2%46.8%100.0%55.1%99.1%
IV Percentile82.7%65.1%100.0%69.0%99.6%
Term Structure0.1%-0.7%1.3%-0.3%0.2%
VWIV38.9%33.1%49.7%35.6%49.7%
Skew 25d6.2%3.9%8.2%5.3%6.2%
Skew 10d13.0%7.0%18.0%11.2%16.5%
Call IV 25d35.0%30.3%42.8%31.8%42.8%
Put IV 25d41.2%34.5%49.0%37.1%49.0%
Bid-Ask Spread %7.543.7515.364.167.40
Gamma HHI0.070.060.100.070.09
Net GEX-3.4M-39.5M29.4M7.0M-33.8M
Net DEX-148.8M-951.6M1.13B-426.1M1.13B
Net VEX-13.8M-14.3M-12.7M-14.0M-12.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.412.540.841.85
Total Volume64,507.73732,158148,30241,900138,014
Total OI783,464.105703,764848,379762,572772,258

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-02-01$122.59$121.0033.6%9.8%47.9%55.1%35.6%5.3%-0.3%7.0M-426.1M-14.0M0.844.1622,81619,084375,254387,318
2022-02-02$123.84$121.0033.4%9.7%45.8%54.2%34.0%4.0%-0.4%14.5M-644.1M-14.1M0.743.7524,26418,017382,055393,919
2022-02-03$119.88$120.0037.0%10.6%44.9%70.1%38.5%6.0%-0.6%-4.4M-77.5M-14.1M0.909.6521,13618,936384,503398,969
2022-02-04$121.10$120.0035.1%10.1%45.1%61.6%36.4%5.7%0.0%-3.1M-250.5M-14.0M0.869.0817,65215,181388,828403,627
2022-02-07$122.60$120.0034.1%9.7%44.4%57.1%34.6%4.6%-0.1%7.3M-447.0M-13.9M0.625.7324,40915,080371,420388,802
2022-02-08$123.28$120.0033.5%9.6%44.5%54.6%34.4%4.6%-0.2%13.6M-556.4M-13.8M0.536.4427,64814,551376,595392,164
2022-02-09$125.10$120.0031.7%9.3%42.8%46.8%33.1%4.1%0.8%26.8M-951.6M-13.8M0.415.3743,13717,882392,704396,720
2022-02-10$124.77$120.0034.0%9.8%41.4%56.6%35.5%3.9%0.4%29.4M-908.5M-14.0M0.697.4961,31542,589397,934400,317
2022-02-11$121.01$120.0039.7%11.5%36.0%81.7%41.3%6.5%0.7%-1.7M-224.4M-14.3M2.5415.3626,07466,356402,829406,456
2022-02-14$119.31$120.0040.3%11.5%36.0%84.3%42.4%8.1%-0.1%-11.2M61.2M-14.3M1.5111.2223,75735,947386,028420,102
2022-02-15$124.19$120.0035.4%10.2%36.3%63.0%37.3%7.3%0.7%8.7M-644.6M-14.3M0.769.8422,25917,020395,865428,074
2022-02-16$123.83$120.0034.7%9.9%36.0%59.7%38.2%6.2%0.8%12.2M-634.4M-14.2M1.807.7811,48620,672402,699429,775
2022-02-17$120.59$120.0037.9%10.9%36.6%73.6%38.3%7.5%-0.3%-5.8M-91.5M-14.0M1.079.4817,85419,099403,802435,465
2022-02-18$119.77$120.0037.5%10.8%34.9%71.9%41.5%7.9%-0.5%-12.3M107.0M-13.9M1.905.4428,92755,086407,128441,251
2022-02-22$117.41$120.0038.9%11.4%35.5%78.0%40.6%6.8%-0.4%-19.3M128.8M-13.4M1.686.0119,60632,943327,017376,747
2022-02-23$116.13$120.0040.3%11.9%35.5%84.3%41.1%7.1%-0.7%-20.9M198.7M-13.3M1.706.7817,30329,462334,140376,190
2022-02-24$111.50$120.0043.9%13.0%37.9%100.0%46.9%7.7%1.3%-32.2M680.6M-13.3M1.577.9057,65490,648338,691390,397
2022-02-25$110.92$120.0040.0%11.4%34.6%82.7%40.5%8.2%1.1%-39.5M726.4M-13.4M1.484.4336,94154,842358,824420,951
2022-02-28$106.09$120.0043.7%13.6%37.6%99.1%49.7%6.2%0.2%-33.8M1.13B-12.7M1.857.4048,36789,647355,134417,124