TSM Options History — June 2022

In June 2022, TSM traded between $81.78 and $96.02. ATM implied volatility averaged 35.8%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 2.6% (HV 20d: 33.2%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2022-06-16: Highest Volume — 57,644 contracts
  • 2022-06-13: Largest IV spike — 19.5% change
  • 2022-06-13: Highest IV Rank — 69.4%
  • 2022-06-30: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.27$81.78$96.02$95.12$81.78
Max Pain$100.71$90.00$105.00$105.00$90.00
ATM IV35.8%30.2%40.9%32.4%39.4%
Expected Move10.7%9.4%12.3%9.8%12.3%
HV 20d33.2%29.4%38.1%38.1%32.7%
HV 60d34.4%32.5%35.6%34.8%34.8%
IV Rank51.7%32.2%69.4%39.9%64.4%
IV Percentile70.9%48.8%91.7%56.7%86.5%
Term Structure0.2%-1.9%3.9%-0.6%-1.1%
VWIV37.9%33.2%42.3%34.9%41.5%
Skew 25d6.3%4.8%8.0%5.1%7.2%
Skew 10d12.3%8.7%15.0%9.9%15.0%
Call IV 25d33.3%28.2%38.6%30.6%36.6%
Put IV 25d39.7%33.1%46.0%35.7%43.8%
Bid-Ask Spread %2.642.033.742.972.10
Gamma HHI0.100.060.150.070.11
Net GEX-23.9M-33.3M-12.5M-14.2M-25.7M
Net DEX1.35B788.0M1.97B900.1M1.46B
Net VEX-10.0M-11.7M-8.4M-11.7M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.461.780.760.99
Total Volume38,015.61926,96857,64431,71341,037
Total OI846,114.952741,279924,627864,956773,271

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$95.12$105.0032.4%9.8%38.1%39.9%34.9%5.1%-0.6%-14.2M900.1M-11.7M0.762.9718,05413,659417,734447,222
2022-06-02$96.02$105.0030.9%9.6%36.9%34.6%33.2%4.8%-0.5%-12.5M788.0M-11.5M0.632.6819,35212,128421,708452,231
2022-06-03$93.64$105.0031.3%9.6%34.8%36.1%37.1%5.1%-0.5%-21.0M1.09B-11.3M0.783.2019,15914,886426,550455,135
2022-06-06$93.12$105.0031.4%9.6%34.9%36.3%37.7%5.1%2.3%-22.4M1.16B-10.9M1.223.0917,17920,994416,240449,918
2022-06-07$93.46$105.0030.3%9.4%29.8%32.5%33.7%4.9%2.6%-23.2M1.16B-11.0M0.982.2622,32421,863419,466462,091
2022-06-08$93.38$105.0030.2%9.5%29.4%32.2%36.1%4.8%2.7%-22.7M1.16B-11.2M1.012.4613,45013,518431,319473,756
2022-06-09$91.16$105.0032.5%10.2%30.7%40.2%35.1%4.8%3.9%-29.4M1.43B-10.8M1.083.0713,66614,726434,227477,973
2022-06-10$89.11$105.0034.2%10.4%31.4%46.1%36.8%5.2%3.2%-32.5M1.64B-10.4M1.442.4419,37827,817437,046481,883
2022-06-13$85.63$105.0040.9%12.0%29.8%69.4%42.3%7.4%-1.3%-30.4M1.90B-9.7M1.782.7718,64533,235429,486479,193
2022-06-14$86.93$105.0040.9%11.9%30.5%69.4%41.3%6.8%-1.9%-29.6M1.73B-10.0M0.872.7122,26019,465435,677478,242
2022-06-15$88.92$105.0036.1%10.3%29.9%52.6%36.1%6.5%0.0%-29.9M1.58B-10.2M0.463.7425,41511,757437,668483,279
2022-06-16$84.43$105.0040.0%11.5%33.8%66.5%41.4%8.0%-0.1%-33.3M1.97B-9.4M1.063.1227,99129,653438,496486,131
2022-06-17$85.15$100.0038.3%11.0%34.1%60.4%38.8%7.5%-0.7%-21.3M1.71B-9.6M0.642.0321,64013,901448,116474,145
2022-06-21$86.80$95.0036.8%10.8%35.0%55.3%36.3%6.9%0.0%-21.3M1.15B-9.7M0.712.5416,82011,969346,064395,215
2022-06-22$84.91$95.0037.8%11.0%35.4%58.7%38.1%7.2%-0.4%-22.6M1.27B-9.2M0.742.6915,81211,689352,537398,345
2022-06-23$84.12$95.0037.9%11.2%34.8%59.1%38.1%7.3%-0.2%-23.9M1.32B-8.9M0.972.3622,52721,859355,734398,294
2022-06-24$85.66$95.0036.7%10.8%35.1%55.0%37.6%6.6%-0.4%-19.1M1.19B-9.4M0.752.6022,60516,977362,704406,366
2022-06-27$85.97$95.0036.8%11.1%35.0%55.2%38.2%6.6%-0.4%-20.2M1.15B-9.4M1.102.3015,20116,745355,456399,514
2022-06-28$84.59$95.0038.3%11.7%33.3%60.3%40.0%7.2%-0.7%-21.9M1.26B-9.2M0.972.2717,49416,894358,051402,954
2022-06-29$83.84$95.0038.6%12.0%32.0%61.7%40.7%7.4%-0.7%-23.8M1.33B-8.9M0.752.1225,41519,169362,582406,395
2022-06-30$81.78$90.0039.4%12.3%32.7%64.4%41.5%7.2%-1.1%-25.7M1.46B-8.4M0.992.1020,60120,436370,145403,126