TSM Options History — September 2022

In September 2022, TSM traded between $68.80 and $82.01. ATM implied volatility averaged 38.7%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 11.2% (HV 20d: 27.5%). Max pain ranged from $78.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2022-09-28: Highest Volume — 91,746 contracts
  • 2022-09-13: Largest IV spike — 11.2% change
  • 2022-09-29: Highest IV Rank — 85.4%
  • 2022-09-29: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.15$68.80$82.01$81.41$68.80
Max Pain$83.48$78.00$95.00$95.00$78.00
ATM IV38.7%32.3%45.5%37.0%43.0%
Expected Move11.3%10.1%13.5%11.1%12.7%
HV 20d27.5%24.9%32.3%32.3%25.5%
HV 60d35.0%31.0%37.1%37.1%31.0%
IV Rank61.9%39.4%85.4%55.8%77.0%
IV Percentile74.9%34.9%97.6%68.3%93.7%
Term Structure-0.0%-1.3%2.6%0.0%-0.2%
VWIV39.3%34.2%46.2%38.9%44.7%
Skew 25d7.0%4.9%9.4%6.9%8.5%
Skew 10d13.7%9.9%18.7%13.7%17.0%
Call IV 25d35.9%29.9%41.2%34.3%39.7%
Put IV 25d42.9%34.9%50.6%41.2%48.2%
Bid-Ask Spread %2.401.853.742.152.18
Gamma HHI0.130.100.170.130.10
Net GEX-30.5M-40.9M-20.7M-39.6M-29.8M
Net DEX1.34B901.5M1.61B1.50B1.44B
Net VEX-7.5M-8.7M-6.1M-8.7M-6.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.264.934.931.48
Total Volume48,246.76223,87591,74665,11447,922
Total OI882,409.19769,131955,968939,240864,705

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$81.41$95.0037.0%11.1%32.3%55.8%38.9%6.9%0.0%-39.6M1.50B-8.7M4.932.1510,97854,136398,285540,955
2022-09-02$80.76$95.0035.8%10.3%31.3%51.7%36.8%7.1%-0.0%-39.7M1.56B-8.5M1.192.0522,97127,441400,662549,209
2022-09-06$80.21$90.0036.6%11.0%30.8%54.5%38.8%6.4%1.4%-39.2M1.56B-8.2M1.972.2817,32834,149398,174538,687
2022-09-07$80.11$85.0034.7%10.6%29.3%47.9%37.1%5.4%2.4%-40.9M1.53B-7.9M1.153.0517,34019,923403,384531,762
2022-09-08$79.81$85.0034.1%10.3%25.0%45.7%36.5%5.3%2.3%-40.6M1.56B-7.7M1.191.9811,75413,956409,598532,642
2022-09-09$81.53$85.0032.3%10.1%26.2%39.4%35.9%4.9%2.6%-32.8M1.33B-7.9M1.231.8512,21014,998413,553533,389
2022-09-12$82.01$85.0034.0%10.3%25.3%45.5%34.2%5.9%1.6%-28.0M1.22B-7.7M0.582.8815,0728,803399,051513,029
2022-09-13$78.58$85.0037.8%10.8%27.9%58.8%39.2%7.0%-0.3%-30.5M1.54B-7.5M1.062.4523,44324,752406,098516,225
2022-09-14$79.70$85.0036.8%10.6%28.4%55.2%35.8%6.3%0.0%-30.2M1.44B-7.6M0.603.2117,45810,479409,757523,925
2022-09-15$78.11$85.0037.7%10.5%28.9%58.4%39.4%6.4%-1.3%-33.4M1.61B-7.3M1.063.7433,42235,424413,543527,807
2022-09-16$77.64$80.0037.9%10.6%28.7%58.9%39.4%6.4%-1.3%-20.7M1.39B-7.6M1.212.1017,93521,659436,485519,483
2022-09-19$77.98$80.0038.0%10.9%28.1%59.5%36.7%6.9%-0.9%-22.4M972.5M-7.4M0.262.1243,22711,298349,824419,307
2022-09-20$78.31$80.0039.1%11.2%27.4%63.3%38.3%6.9%-1.2%-22.9M901.5M-7.6M0.412.5520,8858,513353,891420,200
2022-09-21$77.24$80.0039.9%11.4%26.9%65.9%38.4%7.0%-0.8%-23.5M988.3M-7.5M4.672.5412,63358,993363,799423,584
2022-09-22$76.23$80.0040.0%11.5%27.1%66.5%38.6%6.9%-1.3%-27.0M1.09B-7.3M0.912.0914,38713,114368,777448,137
2022-09-23$73.92$80.0042.4%12.3%26.6%74.9%41.9%7.5%-1.0%-26.5M1.23B-7.0M2.032.5221,92344,546372,208444,823
2022-09-26$73.35$80.0043.8%12.9%25.4%79.7%45.5%8.6%-0.5%-26.4M1.24B-6.9M1.362.1222,22430,160370,441453,990
2022-09-27$72.97$80.0044.1%13.0%24.9%80.6%46.2%8.6%-1.1%-26.5M1.24B-7.0M1.662.2618,29830,289381,907466,031
2022-09-28$72.13$80.0042.7%12.6%24.9%75.9%37.3%8.5%-0.2%-28.9M1.31B-6.8M3.842.1118,96572,781385,994468,797
2022-09-29$69.28$80.0045.5%13.5%26.5%85.4%45.1%9.4%-0.6%-30.5M1.45B-6.2M1.392.2723,99933,394391,674466,801
2022-09-30$68.80$78.0043.0%12.7%25.5%77.0%44.7%8.5%-0.2%-29.8M1.44B-6.1M1.482.1819,35728,565401,062463,643