TSM Options History — March 2022

In March 2022, TSM traded between $99.23 and $109.74. ATM implied volatility averaged 40.5%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 0.8% (HV 20d: 39.7%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.95.

Notable Days

2022-03-29: Highest Volume — 110,739 contracts
2022-03-16: Largest IV drop — 11.0% change
2022-03-01: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$105.26	$99.23	$109.74	$107.53	$104.57
Max Pain	$112.65	$110.00	$120.00	$120.00	$110.00
ATM IV	40.5%	32.7%	49.6%	45.8%	33.5%
Expected Move	11.8%	9.2%	16.2%	14.2%	9.3%
HV 20d	39.7%	34.2%	42.9%	34.2%	38.7%
HV 60d	41.2%	39.1%	42.5%	39.2%	39.5%
IV Rank	70.2%	40.9%	100.0%	100.0%	43.7%
IV Percentile	88.7%	67.1%	100.0%	100.0%	70.2%
Term Structure	0.1%	-2.0%	3.1%	1.2%	-0.4%
VWIV	42.2%	31.6%	55.7%	53.4%	34.7%
Skew 25d	6.8%	2.1%	10.3%	9.7%	2.1%
Skew 10d	13.8%	4.4%	20.5%	16.7%	4.4%
Call IV 25d	38.0%	31.9%	46.0%	41.9%	32.8%
Put IV 25d	44.8%	34.2%	55.7%	51.6%	34.9%
Bid-Ask Spread %	8.03	4.17	14.13	4.90	6.20
Gamma HHI	0.09	0.07	0.14	0.09	0.09
Net GEX	-28.8M	-43.3M	-9.7M	-32.0M	-37.7M
Net DEX	996.4M	259.5M	1.71B	976.4M	937.9M
Net VEX	-13.8M	-14.4M	-12.5M	-13.7M	-13.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.27	2.27	1.14	0.80
Total Volume	73,146	45,626	110,739	101,114	65,931
Total OI	878,402.13	784,744	950,867	823,376	899,048

Daily Data (23 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
2022-03-01	$107.53	$120.00	45.8%	14.2%	34.2%	100.0%	53.4%	9.7%	1.2%	-32.0M	976.4M	-13.7M	1.14	4.90	47,182	53,932	371,944	451,432
2022-03-02	$109.74	$120.00	41.1%	12.3%	35.2%	81.1%	41.5%	8.0%	0.6%	-30.4M	785.7M	-13.9M	0.52	5.04	51,501	26,790	380,372	457,349
2022-03-03	$108.45	$117.00	42.4%	12.8%	34.7%	86.5%	46.7%	7.1%	0.1%	-32.0M	899.8M	-13.8M	0.68	4.55	37,817	25,761	397,370	461,759
2022-03-04	$104.20	$117.00	46.7%	14.2%	35.6%	100.0%	51.4%	10.2%	-0.9%	-41.3M	1.37B	-13.5M	1.16	4.35	50,968	59,135	410,816	467,456
2022-03-07	$99.23	$117.00	49.6%	16.2%	37.9%	100.0%	55.7%	9.7%	-0.1%	-39.5M	1.71B	-12.5M	1.49	4.76	38,651	57,715	405,438	462,611
2022-03-08	$100.25	$115.00	47.5%	15.6%	37.7%	92.7%	55.3%	8.5%	0.8%	-40.3M	1.65B	-13.0M	0.87	5.47	45,036	39,313	416,825	480,871
2022-03-09	$105.27	$115.00	43.0%	13.4%	42.9%	76.8%	48.3%	8.1%	1.5%	-31.2M	1.15B	-13.8M	0.69	4.17	36,521	25,238	433,017	485,813
2022-03-10	$103.85	$115.00	43.6%	13.8%	42.1%	79.0%	49.4%	7.0%	2.7%	-27.2M	1.30B	-13.5M	0.56	7.05	60,261	33,477	446,997	490,852
2022-03-11	$101.68	$115.00	45.4%	14.1%	42.2%	85.3%	50.7%	10.3%	3.1%	-41.8M	1.57B	-13.3M	1.04	5.90	38,286	39,974	449,115	501,029
2022-03-14	$99.67	$110.00	48.7%	13.0%	41.7%	96.7%	46.4%	9.8%	-1.1%	-39.6M	1.64B	-13.5M	2.27	9.64	21,615	49,016	411,681	494,466
2022-03-15	$101.65	$110.00	46.9%	12.6%	42.9%	90.6%	45.1%	8.4%	-2.0%	-43.3M	1.49B	-13.8M	1.33	9.68	25,400	33,885	416,415	512,005
2022-03-16	$105.26	$110.00	41.8%	11.4%	42.2%	72.7%	42.3%	7.7%	-1.0%	-37.9M	1.08B	-14.3M	0.60	13.14	46,736	28,021	422,429	514,731
2022-03-17	$106.35	$110.00	39.2%	11.0%	42.7%	63.6%	39.3%	7.5%	-1.4%	-35.4M	930.8M	-14.4M	0.94	12.39	25,161	23,600	430,466	512,831
2022-03-18	$106.47	$110.00	37.6%	10.4%	42.2%	58.0%	36.5%	6.9%	0.4%	-17.8M	901.9M	-14.2M	1.80	8.35	33,540	60,399	434,567	516,300
2022-03-21	$106.40	$110.00	37.4%	10.3%	42.2%	57.3%	36.4%	6.5%	-0.3%	-19.3M	651.7M	-14.1M	0.86	7.96	31,944	27,440	357,087	427,657
2022-03-22	$107.20	$110.00	35.4%	9.9%	42.1%	50.2%	35.2%	6.3%	-0.6%	-16.7M	573.0M	-14.1M	1.04	10.33	25,361	26,444	364,086	436,404
2022-03-23	$106.20	$110.00	35.5%	9.9%	42.1%	50.8%	35.0%	5.1%	-0.3%	-21.1M	699.8M	-13.9M	1.04	14.13	28,373	29,496	371,428	450,247
2022-03-24	$107.59	$110.00	35.4%	9.7%	40.2%	50.4%	34.4%	4.2%	-0.6%	-10.4M	485.1M	-14.3M	0.39	13.64	42,481	16,635	379,719	458,150
2022-03-25	$106.76	$110.00	34.9%	9.9%	40.3%	48.4%	34.3%	4.0%	-0.5%	-17.9M	591.6M	-14.3M	0.60	8.79	28,591	17,035	391,379	462,594
2022-03-28	$106.44	$110.00	34.5%	9.7%	37.0%	47.1%	35.3%	4.0%	0.2%	-21.2M	626.3M	-14.0M	1.23	9.80	24,971	30,630	381,323	449,723
2022-03-29	$109.36	$110.00	32.9%	9.2%	38.0%	41.7%	32.5%	3.4%	0.6%	-9.7M	259.5M	-14.2M	0.27	8.50	87,096	23,643	388,408	464,757
2022-03-30	$106.76	$110.00	32.7%	9.2%	38.2%	40.9%	31.6%	2.3%	-0.2%	-19.7M	621.9M	-14.1M	0.42	6.08	43,225	18,131	409,605	474,677
2022-03-31	$104.57	$110.00	33.5%	9.3%	38.7%	43.7%	34.7%	2.1%	-0.4%	-37.7M	937.9M	-13.8M	0.80	6.20	36,674	29,257	417,012	482,036