TSM Options History — November 2022

In November 2022, TSM traded between $60.44 and $83.22. ATM implied volatility averaged 36.2%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 10.4% (HV 20d: 46.6%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2022-11-15: Highest Volume — 286,452 contracts
2022-11-15: Largest IV spike — 11.6% change
2022-11-03: Highest IV Rank — 56.0%
2022-11-01: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.76	$60.44	$83.22	$61.77	$83.22
Max Pain	$71.43	$65.00	$75.00	$65.00	$75.00
ATM IV	36.2%	30.7%	39.9%	39.2%	30.7%
Expected Move	10.8%	9.5%	11.9%	11.9%	9.8%
HV 20d	46.6%	34.0%	55.1%	45.2%	55.1%
HV 60d	42.0%	34.8%	47.4%	36.2%	47.4%
IV Rank	36.0%	10.4%	56.0%	55.3%	10.4%
IV Percentile	46.5%	6.3%	73.8%	70.2%	6.3%
Term Structure	0.0%	-2.0%	2.3%	0.1%	0.8%
VWIV	38.3%	33.3%	45.4%	42.3%	35.8%
Skew 25d	4.6%	2.9%	7.0%	7.0%	2.9%
Skew 10d	9.2%	5.6%	14.4%	14.4%	5.8%
Call IV 25d	34.5%	30.8%	40.2%	36.1%	30.8%
Put IV 25d	39.1%	33.6%	43.2%	43.1%	33.6%
Bid-Ask Spread %	2.28	1.61	3.27	1.97	2.31
Gamma HHI	0.08	0.05	0.13	0.09	0.08
Net GEX	1.7M	-23.7M	30.3M	-15.2M	18.0M
Net DEX	-198.0M	-1.22B	953.5M	865.7M	-992.7M
Net VEX	-6.5M	-7.8M	-4.9M	-5.2M	-7.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.48	1.64	1.32	0.59
Total Volume	86,194.143	18,753	286,452	33,918	63,366
Total OI	997,548.333	938,726	1,204,502	957,696	977,500

Daily Data (21 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
2022-11-01	$61.77	$65.00	39.2%	11.9%	45.2%	55.3%	42.3%	7.0%	0.1%	-15.2M	865.7M	-5.2M	1.32	1.97	14,640	19,278	398,142	559,554
2022-11-02	$60.89	$65.00	39.3%	11.8%	43.1%	55.2%	45.4%	6.9%	-0.0%	-19.4M	941.3M	-5.0M	1.14	2.50	19,437	22,100	401,119	562,708
2022-11-03	$60.44	$70.00	39.5%	11.8%	43.0%	56.0%	40.7%	6.5%	-0.3%	-23.7M	953.5M	-4.9M	0.94	1.87	22,678	21,364	409,115	565,524
2022-11-04	$62.27	$70.00	37.9%	11.9%	40.5%	45.7%	37.4%	6.6%	-0.1%	-11.7M	763.4M	-5.2M	0.57	2.24	27,113	15,356	416,238	565,864
2022-11-07	$62.81	$70.00	37.9%	11.0%	39.2%	44.9%	38.8%	6.1%	0.1%	-8.1M	713.6M	-5.1M	0.62	1.61	19,037	11,798	405,699	544,394
2022-11-08	$65.21	$70.00	37.0%	11.1%	34.2%	40.4%	37.0%	6.0%	1.4%	-2.1M	486.8M	-5.4M	1.26	2.22	33,182	41,785	410,865	546,122
2022-11-09	$65.17	$70.00	38.3%	11.5%	34.0%	45.3%	39.0%	5.7%	1.7%	-1.8M	496.7M	-5.4M	1.64	2.45	21,201	34,826	415,737	556,740
2022-11-10	$70.53	$70.00	35.3%	10.7%	40.9%	34.0%	39.8%	5.0%	2.3%	-2.4M	-6.8M	-5.9M	0.62	2.54	59,173	36,965	419,039	563,046
2022-11-11	$74.04	$70.00	35.5%	10.5%	40.4%	34.8%	39.7%	4.4%	1.4%	-1.1M	-378.5M	-6.2M	0.87	2.16	42,686	37,203	431,568	567,168
2022-11-14	$73.02	$70.00	35.7%	10.3%	41.0%	35.4%	37.0%	5.5%	-0.1%	-1.8M	-139.3M	-6.1M	0.99	2.08	23,230	23,080	415,807	557,126
2022-11-15	$80.72	$70.00	39.9%	11.5%	51.7%	50.2%	41.5%	3.0%	-1.4%	4.8M	-819.5M	-6.8M	0.66	2.37	172,669	113,783	421,274	561,378
2022-11-16	$79.63	$70.00	37.6%	10.8%	52.3%	41.6%	39.8%	3.8%	-1.2%	1.3M	-767.6M	-7.1M	0.66	2.77	95,634	63,349	492,521	605,010
2022-11-17	$81.58	$70.00	38.2%	11.0%	52.3%	43.5%	39.8%	3.1%	-1.9%	19.6M	-1.07B	-7.7M	0.52	2.25	146,388	75,449	532,018	615,052
2022-11-18	$82.50	$75.00	36.9%	10.7%	52.1%	35.6%	37.6%	3.6%	-2.0%	30.3M	-1.22B	-7.8M	0.80	2.17	68,103	54,499	564,187	640,315
2022-11-21	$80.22	$75.00	35.3%	10.3%	51.1%	29.2%	37.3%	3.7%	-0.6%	1.8M	-567.0M	-7.6M	0.79	2.35	52,339	41,364	502,225	436,501
2022-11-22	$82.44	$75.00	34.0%	9.9%	51.0%	23.7%	35.2%	3.0%	-0.0%	19.5M	-909.5M	-7.8M	0.53	1.92	75,687	39,871	514,078	454,297
2022-11-23	$82.13	$75.00	32.6%	9.7%	51.0%	18.1%	34.7%	3.7%	0.2%	19.3M	-846.3M	-7.7M	0.78	3.27	48,093	37,731	528,636	469,432
2022-11-25	$81.88	$75.00	32.4%	9.5%	51.3%	17.1%	33.3%	3.4%	0.2%	11.0M	-795.9M	-7.6M	0.48	2.39	12,641	6,112	535,871	479,723
2022-11-28	$79.13	$75.00	33.4%	10.3%	54.1%	21.3%	36.4%	3.7%	0.4%	-975.2K	-423.3M	-7.5M	0.76	2.27	31,425	23,985	504,169	441,862
2022-11-29	$79.38	$75.00	32.9%	10.2%	54.0%	19.4%	36.2%	3.4%	0.3%	-2.4M	-446.3M	-7.5M	0.67	2.13	24,826	16,631	509,724	451,167
2022-11-30	$83.22	$75.00	30.7%	9.8%	55.1%	10.4%	35.8%	2.9%	0.8%	18.0M	-992.7M	-7.6M	0.59	2.31	39,968	23,398	520,717	456,783