TSM Options History — May 2022

In May 2022, TSM traded between $86.83 and $95.85. ATM implied volatility averaged 37.8%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 1.7% (HV 20d: 39.5%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2022-05-06: Highest Volume — 76,010 contracts
  • 2022-05-18: Largest IV spike — 16.8% change
  • 2022-05-09: Highest IV Rank — 83.2%
  • 2022-05-09: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.14$86.83$95.85$93.13$95.43
Max Pain$107.86$105.00$110.00$105.00$105.00
ATM IV37.8%30.8%44.8%40.2%32.4%
Expected Move11.1%9.0%13.2%12.0%9.7%
HV 20d39.5%33.7%43.0%35.0%38.1%
HV 60d36.8%35.2%38.0%35.4%36.2%
IV Rank58.7%34.1%83.2%67.2%39.7%
IV Percentile79.6%54.4%97.2%91.7%56.7%
Term Structure-0.2%-1.8%1.8%-0.1%-0.4%
VWIV39.4%31.8%47.4%41.5%35.0%
Skew 25d6.7%5.0%8.2%7.2%5.0%
Skew 10d13.7%9.5%16.9%15.5%9.5%
Call IV 25d35.2%28.8%41.3%37.3%30.4%
Put IV 25d41.9%33.8%49.5%44.5%35.4%
Bid-Ask Spread %3.952.226.274.953.00
Gamma HHI0.090.070.310.080.07
Net GEX-25.9M-52.0M-9.9M-28.0M-12.6M
Net DEX1.61B856.0M2.09B1.58B856.0M
Net VEX-11.6M-12.8M-10.9M-12.6M-11.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.281.960.880.64
Total Volume42,244.90528,40576,01035,85737,233
Total OI931,749.381852,464995,180909,162852,980

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$93.13$105.0040.2%12.0%35.0%67.2%41.5%7.2%-0.1%-28.0M1.58B-12.6M0.884.9519,10816,749438,194470,968
2022-05-03$93.18$105.0039.2%11.7%33.7%63.7%44.1%6.4%-0.3%-27.6M1.59B-12.5M1.654.0511,28018,613444,911477,156
2022-05-04$95.85$105.0035.6%10.3%35.0%51.1%37.3%6.3%-0.1%-23.3M1.32B-12.8M1.025.6915,06115,338447,074483,435
2022-05-05$91.94$110.0039.7%11.8%37.5%65.3%42.6%8.0%0.2%-31.9M1.75B-12.1M1.115.7016,24217,996449,802484,084
2022-05-06$91.54$110.0039.0%11.7%37.5%62.9%40.0%7.4%-0.3%-35.3M1.79B-11.9M1.844.2426,79749,213453,490486,419
2022-05-09$87.28$110.0044.8%13.2%40.4%83.2%46.0%8.2%1.1%-30.4M2.07B-10.9M1.385.8021,20229,267440,460487,427
2022-05-10$88.76$110.0042.9%12.2%41.0%76.4%47.4%7.6%-0.6%-30.7M1.97B-11.3M1.966.2717,58034,514446,139493,258
2022-05-11$88.15$110.0042.4%12.1%41.0%74.8%42.9%7.4%-0.4%-34.1M2.04B-11.0M1.123.0728,28631,663449,853501,294
2022-05-12$86.83$110.0043.8%12.9%37.4%79.5%43.9%7.1%1.8%-31.8M2.09B-11.0M0.444.9028,45112,608468,696505,131
2022-05-13$90.98$110.0039.2%11.5%40.9%63.6%41.3%6.4%1.3%-21.0M1.71B-11.9M0.612.8033,02820,276488,016507,164
2022-05-16$90.58$110.0037.6%10.9%40.9%58.1%38.4%6.8%-1.5%-25.6M1.73B-11.5M0.532.5020,37410,776483,787494,707
2022-05-17$93.08$110.0033.2%9.5%42.3%42.7%34.6%6.0%0.2%-22.8M1.47B-11.8M0.284.0346,95413,135487,247496,904
2022-05-18$90.76$110.0038.8%11.1%43.0%62.2%37.2%7.2%-1.8%-27.0M1.71B-11.5M0.663.3124,85716,345487,100496,825
2022-05-19$90.69$110.0037.2%10.8%42.8%56.6%37.7%6.5%-1.8%-31.8M1.72B-11.2M0.794.0716,67413,189486,282497,519
2022-05-20$90.37$110.0036.9%10.7%42.4%55.7%38.0%7.3%-1.4%-52.0M1.75B-11.0M1.002.2225,35925,359490,921499,210
2022-05-23$91.22$105.0034.6%10.2%42.6%47.4%35.6%6.3%0.2%-18.6M1.33B-11.2M0.643.3021,74513,968411,436441,028
2022-05-24$89.20$105.0036.0%10.7%42.1%52.4%39.0%6.7%-0.0%-20.0M1.51B-10.9M1.253.4617,25921,519420,648446,948
2022-05-25$90.50$105.0035.8%10.7%41.3%51.8%37.3%6.1%-0.5%-16.6M1.39B-11.2M0.933.1619,35618,062424,548452,941
2022-05-26$90.97$105.0033.4%9.9%36.7%43.4%34.9%5.8%-0.1%-12.9M1.35B-10.9M0.613.4017,64410,761429,159454,681
2022-05-27$93.56$105.0030.8%9.0%37.5%34.1%31.8%5.0%0.5%-9.9M1.06B-11.4M0.513.0022,10811,194432,523456,372
2022-05-31$95.43$105.0032.4%9.7%38.1%39.7%35.0%5.0%-0.4%-12.6M856.0M-11.7M0.643.0022,70314,530412,543440,437