TSM Options History — October 2022

In October 2022, TSM traded between $61.02 and $74.80. ATM implied volatility averaged 43.9%, placing in the 73.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 0.8% (HV 20d: 44.7%). Max pain ranged from $65.00 to $78.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.65.

Notable Days

  • 2022-10-13: Highest Volume — 248,870 contracts
  • 2022-10-24: Largest IV spike — 11.6% change
  • 2022-10-11: Highest IV Rank — 100.0%
  • 2022-10-11: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.49$61.02$74.80$69.36$61.87
Max Pain$71.05$65.00$78.00$78.00$65.00
ATM IV43.9%39.7%52.8%43.5%39.7%
Expected Move12.7%11.5%14.2%13.1%11.8%
HV 20d44.7%26.2%50.4%26.2%49.2%
HV 60d35.7%30.9%38.0%30.9%36.3%
IV Rank73.8%57.2%100.0%78.5%57.2%
IV Percentile90.4%73.0%100.0%94.0%73.0%
Term Structure-0.8%-2.8%0.7%-0.5%-0.2%
VWIV47.0%40.7%57.8%45.1%40.7%
Skew 25d8.2%6.7%9.8%8.6%7.7%
Skew 10d16.6%12.8%20.5%17.3%16.3%
Call IV 25d40.8%36.2%48.6%39.3%36.2%
Put IV 25d49.0%43.9%58.4%47.9%43.9%
Bid-Ask Spread %2.161.652.871.652.13
Gamma HHI0.110.080.140.110.09
Net GEX-20.5M-26.8M-10.5M-26.8M-15.8M
Net DEX1.19B764.8M1.60B1.34B899.1M
Net VEX-5.6M-7.1M-5.0M-6.1M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.563.301.370.71
Total Volume99,699.90542,897248,87042,89752,445
Total OI915,875.476770,8471,026,618843,942950,925

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$69.36$78.0043.5%13.1%26.2%78.5%45.1%8.6%-0.5%-26.8M1.34B-6.1M1.371.6518,06524,832385,847458,095
2022-10-04$72.71$77.0040.9%12.3%32.6%69.4%44.9%7.8%-0.4%-24.2M1.02B-6.7M0.991.9124,79424,539393,086460,397
2022-10-05$74.80$77.0040.4%12.5%34.7%67.7%45.4%7.0%-0.6%-21.6M764.8M-7.0M1.361.9723,83232,459397,610462,515
2022-10-06$74.54$75.0041.1%11.5%34.7%70.4%41.1%7.3%-0.6%-21.6M773.9M-7.1M1.892.4015,39029,034404,372469,178
2022-10-07$69.96$75.0044.6%12.5%39.4%82.6%44.8%8.1%-0.9%-26.2M1.28B-6.4M1.702.4226,93945,869409,499475,925
2022-10-10$67.53$75.0047.9%12.9%40.2%94.0%47.2%8.3%-2.6%-23.9M1.41B-5.8M1.892.8720,88539,400405,706462,109
2022-10-11$63.20$75.0052.8%14.2%43.5%100.0%50.8%9.8%-2.8%-21.9M1.60B-5.1M2.291.9863,295145,007415,128464,236
2022-10-12$63.88$75.0049.7%13.6%43.3%90.3%48.4%9.1%-2.2%-21.8M1.51B-5.3M1.182.8351,83560,963442,168478,625
2022-10-13$66.97$70.0046.2%13.4%47.8%79.2%47.3%6.9%0.7%-15.4M1.27B-5.9M0.761.91141,731107,139465,352495,598
2022-10-14$64.19$70.0045.6%12.8%49.3%77.4%44.9%6.7%-1.4%-20.2M1.52B-5.5M1.212.8446,34356,103477,602513,348
2022-10-17$65.06$70.0043.4%12.4%49.8%70.3%46.4%7.0%-0.9%-21.8M1.39B-5.4M0.561.8748,93127,510445,875470,372
2022-10-18$63.74$70.0043.5%12.4%49.7%70.6%47.4%8.4%-0.3%-21.7M1.44B-5.2M0.681.8757,16639,143459,090469,216
2022-10-19$63.56$70.0043.3%12.4%49.7%70.1%48.7%8.3%-0.8%-22.7M1.31B-5.3M3.301.8132,806108,340474,818456,450
2022-10-20$63.60$70.0042.1%12.1%49.8%66.3%51.5%7.9%-0.8%-20.1M1.25B-5.3M1.741.9729,21150,811484,831483,398
2022-10-21$63.62$70.0040.8%11.7%49.3%61.8%43.4%8.1%-0.6%-18.6M1.25B-5.2M1.211.6531,19037,837487,809497,252
2022-10-24$61.30$70.0045.6%13.5%50.4%76.8%52.7%9.6%-0.5%-15.9M1.02B-5.0M3.112.5649,515153,994356,484414,363
2022-10-25$61.21$65.0044.4%13.1%50.4%72.8%57.8%9.6%-0.3%-19.4M998.9M-5.2M2.332.4127,51364,171386,054503,954
2022-10-26$61.02$65.0043.5%13.0%50.4%69.9%53.5%9.3%-0.4%-20.5M999.0M-5.3M2.711.8834,67194,023393,552540,254
2022-10-27$61.30$65.0042.4%12.6%49.2%66.4%43.9%8.8%-0.1%-19.6M964.1M-5.3M2.442.4425,26861,685403,554592,120
2022-10-28$61.82$65.0040.0%11.8%49.4%58.5%41.7%8.0%0.1%-10.5M907.5M-5.3M1.101.9632,78636,228408,397618,221
2022-10-31$61.87$65.0039.7%11.8%49.2%57.2%40.7%7.7%-0.2%-15.8M899.1M-5.2M0.712.1330,71321,732391,609559,316