TSM Options History — August 2022

In August 2022, TSM traded between $82.84 and $91.80. ATM implied volatility averaged 33.4%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 0.3% (HV 20d: 33.2%). Max pain ranged from $85.00 to $100.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.77.

Notable Days

2022-08-01: Highest Volume — 209,283 contracts
2022-08-10: Largest IV drop — 8.6% change
2022-08-02: Highest IV Rank — 58.6%
2022-08-02: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.15	$82.84	$91.80	$86.17	$83.82
Max Pain	$94.35	$85.00	$100.00	$85.00	$95.00
ATM IV	33.4%	30.9%	37.8%	37.0%	34.7%
Expected Move	9.7%	8.9%	11.4%	11.1%	10.2%
HV 20d	33.2%	29.3%	39.0%	39.0%	31.7%
HV 60d	36.8%	36.2%	38.6%	38.6%	36.7%
IV Rank	43.5%	34.6%	58.6%	55.9%	47.8%
IV Percentile	48.5%	34.5%	74.6%	69.4%	56.3%
Term Structure	-0.1%	-1.1%	1.5%	-0.9%	0.4%
VWIV	35.9%	31.0%	46.8%	46.8%	35.6%
Skew 25d	5.8%	4.7%	10.1%	10.1%	5.8%
Skew 10d	11.8%	8.9%	19.3%	19.3%	11.8%
Call IV 25d	31.1%	28.7%	34.3%	32.8%	32.6%
Put IV 25d	37.0%	33.6%	42.9%	42.9%	38.4%
Bid-Ask Spread %	2.22	1.39	4.64	2.58	2.52
Gamma HHI	0.10	0.08	0.13	0.11	0.12
Net GEX	-24.9M	-45.4M	-9.4M	-21.1M	-32.4M
Net DEX	731.3M	164.1M	1.32B	767.1M	1.20B
Net VEX	-10.0M	-10.6M	-8.9M	-9.7M	-9.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	0.29	4.96	4.96	1.61
Total Volume	63,773.217	18,601	209,283	209,283	47,209
Total OI	990,307.087	876,883	1,078,556	876,883	919,111

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
2022-08-01	$86.17	$85.00	37.0%	11.1%	39.0%	55.9%	46.8%	10.1%	-0.9%	-21.1M	767.1M	-9.7M	4.96	2.58	35,144	174,139	402,803	474,080
2022-08-02	$86.39	$85.00	37.8%	11.4%	38.2%	58.6%	44.9%	8.1%	-1.1%	-38.3M	827.5M	-10.3M	2.71	2.74	41,455	112,356	415,912	583,857
2022-08-03	$86.51	$85.00	34.9%	10.3%	38.2%	48.7%	42.9%	7.5%	-0.7%	-37.1M	796.6M	-10.3M	3.66	2.31	23,801	87,137	423,285	601,039
2022-08-04	$88.03	$100.00	34.5%	9.6%	32.7%	47.1%	36.4%	6.0%	-0.5%	-23.5M	539.7M	-10.4M	1.11	2.14	47,724	52,829	428,488	614,480
2022-08-05	$89.60	$100.00	32.7%	9.4%	32.9%	40.8%	42.2%	5.3%	-0.6%	-18.7M	289.3M	-10.6M	1.69	2.44	39,425	66,658	435,271	621,201
2022-08-08	$87.82	$100.00	33.3%	9.4%	31.9%	42.9%	36.1%	5.7%	-0.5%	-28.3M	608.2M	-10.3M	1.64	1.39	24,101	39,607	418,656	611,479
2022-08-09	$85.22	$95.00	34.6%	10.0%	34.1%	47.6%	39.1%	5.6%	0.6%	-45.4M	997.9M	-10.0M	2.65	2.15	13,934	36,911	420,292	624,389
2022-08-10	$88.49	$95.00	31.6%	9.0%	35.3%	37.2%	34.0%	5.2%	-0.5%	-22.7M	499.7M	-10.1M	2.08	1.61	20,690	42,943	423,314	630,656
2022-08-11	$89.34	$95.00	32.5%	9.4%	34.0%	40.3%	35.6%	5.3%	0.2%	-9.7M	320.2M	-10.3M	2.69	1.76	24,837	66,710	428,100	611,478
2022-08-12	$90.84	$95.00	30.9%	9.1%	33.8%	34.6%	33.1%	4.9%	1.5%	-9.4M	193.9M	-10.6M	1.39	1.82	15,218	21,143	425,191	641,873
2022-08-15	$91.80	$95.00	31.5%	9.2%	32.3%	36.7%	31.0%	4.9%	-1.1%	-10.0M	164.1M	-10.4M	0.62	1.92	30,961	19,112	409,461	615,448
2022-08-16	$89.83	$95.00	31.0%	8.9%	31.8%	35.1%	31.0%	4.7%	0.3%	-16.3M	406.2M	-10.4M	0.88	1.59	18,115	16,002	424,022	624,658
2022-08-17	$89.46	$95.00	31.4%	9.0%	31.9%	36.4%	31.5%	5.0%	0.8%	-16.0M	472.0M	-10.3M	1.04	4.30	27,213	28,361	429,550	630,698
2022-08-18	$89.47	$95.00	31.1%	8.9%	31.7%	35.4%	32.0%	4.8%	0.6%	-17.1M	395.7M	-10.5M	1.01	1.45	24,380	24,674	431,496	633,961
2022-08-19	$87.19	$95.00	32.7%	9.5%	32.5%	40.8%	32.8%	5.0%	-1.1%	-32.9M	748.3M	-10.0M	0.95	1.67	14,850	14,078	437,380	641,176
2022-08-22	$85.06	$95.00	34.7%	10.0%	33.7%	47.8%	35.4%	5.9%	-0.2%	-28.6M	1.07B	-9.8M	1.11	1.93	14,018	15,500	368,545	524,189
2022-08-23	$86.05	$95.00	33.8%	9.7%	33.0%	44.8%	35.2%	5.3%	0.0%	-26.7M	978.2M	-9.8M	0.97	2.03	11,801	11,425	371,545	526,121
2022-08-24	$85.49	$95.00	33.7%	9.7%	29.3%	44.4%	32.1%	5.4%	0.0%	-26.5M	1.03B	-9.6M	0.29	1.88	24,969	7,315	373,275	525,894
2022-08-25	$87.26	$95.00	31.5%	9.0%	30.2%	36.7%	31.1%	5.3%	0.2%	-19.9M	827.9M	-9.9M	0.85	2.04	10,048	8,553	390,970	528,923
2022-08-26	$84.70	$95.00	33.9%	9.8%	31.9%	44.9%	34.9%	5.8%	0.0%	-28.1M	1.11B	-9.4M	2.52	2.20	10,058	25,377	394,570	530,079
2022-08-29	$83.03	$95.00	34.8%	10.2%	31.3%	48.1%	36.4%	6.1%	-0.0%	-29.4M	1.25B	-8.9M	1.77	1.86	15,849	28,003	386,323	511,327
2022-08-30	$82.84	$95.00	34.7%	10.1%	31.3%	47.8%	36.5%	6.1%	0.4%	-34.7M	1.32B	-8.9M	2.63	4.64	8,854	23,297	389,359	523,138
2022-08-31	$83.82	$95.00	34.7%	10.2%	31.7%	47.8%	35.6%	5.8%	0.4%	-32.4M	1.20B	-9.1M	1.61	2.52	18,057	29,152	391,139	527,972