TSM Options History — July 2022

In July 2022, TSM traded between $75.83 and $88.45. ATM implied volatility averaged 36.3%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 6.7% (HV 20d: 43.0%). Max pain ranged from $84.00 to $90.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2022-07-14: Highest Volume — 151,320 contracts
  • 2022-07-14: Largest IV drop — 11.6% change
  • 2022-07-05: Highest IV Rank — 78.1%
  • 2022-07-01: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.22$75.83$88.45$77.04$88.45
Max Pain$86.20$84.00$90.00$90.00$85.00
ATM IV36.3%31.6%43.4%42.2%31.6%
Expected Move10.3%8.9%13.1%13.1%8.9%
HV 20d43.0%36.5%45.5%36.8%44.1%
HV 60d38.6%36.4%39.9%36.4%38.7%
IV Rank53.6%37.2%78.1%74.2%37.2%
IV Percentile65.9%40.9%95.2%93.7%40.9%
Term Structure-0.3%-1.6%0.4%-1.2%0.4%
VWIV37.1%33.2%46.4%46.4%35.1%
Skew 25d6.1%5.2%8.5%8.1%6.8%
Skew 10d12.1%10.2%17.3%17.0%15.9%
Call IV 25d33.8%29.1%39.8%39.3%29.1%
Put IV 25d39.9%34.9%48.4%47.4%35.9%
Bid-Ask Spread %2.191.673.472.053.47
Gamma HHI0.090.070.140.120.08
Net GEX-13.2M-23.0M418.9K-21.8M-4.0M
Net DEX956.4M401.8M1.75B1.73B412.0M
Net VEX-9.1M-10.0M-7.1M-7.2M-10.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.492.501.902.41
Total Volume69,614.5520,321151,32097,05989,802
Total OI839,403.7780,888932,386780,888873,246

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$77.04$90.0042.2%13.1%36.8%74.2%46.4%8.1%-1.2%-21.8M1.73B-7.2M1.902.0533,46663,593375,016405,872
2022-07-05$75.83$90.0043.4%12.0%36.5%78.1%39.6%8.5%-0.8%-23.0M1.75B-7.1M0.571.9861,06434,810372,997418,751
2022-07-06$75.88$90.0041.3%11.5%36.7%70.9%39.7%7.4%-0.7%-20.6M1.65B-7.5M0.981.6719,12418,766387,351425,955
2022-07-07$80.65$90.0039.4%11.0%44.4%64.2%37.9%6.1%-0.8%-17.8M1.28B-8.7M0.502.2148,41024,409392,432429,178
2022-07-08$81.69$90.0037.7%10.8%44.9%58.5%37.7%5.6%-0.5%-19.3M1.20B-8.9M0.801.9942,59433,960399,641436,282
2022-07-11$79.38$85.0040.1%11.0%45.2%66.8%40.0%5.9%-1.6%-19.3M1.42B-8.4M0.571.9132,95918,921398,566433,329
2022-07-12$79.06$85.0041.9%11.6%44.8%73.1%39.8%6.5%-1.4%-19.1M1.45B-8.4M0.741.9736,26426,964405,268443,613
2022-07-13$81.17$85.0040.7%11.5%44.3%68.7%40.7%5.5%-0.5%-17.6M1.24B-9.0M0.511.9383,32842,210416,845452,406
2022-07-14$83.73$85.0036.0%10.2%45.5%52.3%39.0%6.0%-0.4%-7.8M967.7M-9.4M0.522.1799,87651,444448,331467,445
2022-07-15$85.46$85.0034.2%9.8%45.4%46.1%34.4%5.3%0.1%-16.6M647.1M-9.5M0.492.0168,55733,365462,051470,335
2022-07-18$83.44$85.0035.8%10.2%42.3%51.6%35.0%5.5%-0.0%-12.6M884.8M-9.4M0.802.6936,76629,307384,951414,978
2022-07-19$86.22$85.0033.9%9.7%43.8%45.1%36.5%5.3%-0.1%-5.3M597.8M-9.8M0.752.0829,25622,035396,335423,817
2022-07-20$86.52$84.0033.2%9.5%43.3%42.5%33.2%5.4%0.3%-4.9M518.2M-9.8M0.652.2227,87218,253402,570428,647
2022-07-21$87.53$85.0031.9%9.1%42.7%38.1%34.0%5.2%0.0%418.9K401.8M-9.9M0.832.6115,94113,175412,210434,785
2022-07-22$86.05$85.0032.6%9.3%43.0%40.6%33.5%5.3%0.4%-9.4M569.4M-9.7M1.142.1533,35437,961413,445438,148
2022-07-25$86.02$85.0032.9%9.3%42.6%41.4%33.6%5.4%0.0%-11.7M659.2M-9.7M2.172.059,17519,874392,154425,717
2022-07-26$84.16$85.0034.5%9.8%43.3%47.3%36.2%5.8%-0.1%-15.2M847.4M-9.4M1.041.989,95610,365394,214429,442
2022-07-27$87.77$85.0031.8%9.0%45.4%37.7%33.3%6.1%0.2%-8.3M478.8M-9.8M2.502.6119,68349,277396,080432,795
2022-07-28$88.43$85.0031.7%9.1%45.3%37.5%35.7%5.9%-0.3%-9.2M414.4M-9.9M1.332.0519,84026,315399,799453,077
2022-07-29$88.45$85.0031.6%8.9%44.1%37.2%35.1%6.8%0.4%-4.0M412.0M-10.0M2.413.4726,34563,457408,594464,652