TSM Options History — December 2022

In December 2022, TSM traded between $73.07 and $82.91. ATM implied volatility averaged 35.3%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 3.9% (HV 20d: 39.1%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2022-12-14: Highest Volume — 135,618 contracts
  • 2022-12-12: Largest IV spike — 9.3% change
  • 2022-12-28: Highest IV Rank — 46.3%
  • 2022-12-28: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.03$73.07$82.91$82.91$74.32
Max Pain$74.52$70.00$75.00$75.00$70.00
ATM IV35.3%30.4%39.6%30.4%39.1%
Expected Move10.6%9.5%11.7%9.8%11.7%
HV 20d39.1%25.5%56.4%54.5%26.2%
HV 60d46.6%45.8%47.5%47.4%45.8%
IV Rank29.0%9.2%46.3%9.4%44.2%
IV Percentile39.2%4.4%72.2%4.8%67.5%
Term Structure0.7%-1.1%4.5%0.9%-0.4%
VWIV37.5%33.8%44.2%34.7%41.9%
Skew 25d4.2%2.9%5.3%3.3%5.3%
Skew 10d8.1%5.2%10.4%6.6%9.8%
Call IV 25d33.5%29.3%37.2%30.1%36.7%
Put IV 25d37.7%32.3%42.3%33.3%42.0%
Bid-Ask Spread %1.981.395.802.472.11
Gamma HHI0.090.060.140.070.09
Net GEX-367.0K-12.3M20.1M20.1M-4.7M
Net DEX-304.1M-992.5M181.5M-992.5M-31.9M
Net VEX-6.7M-7.6M-6.0M-7.6M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.204.970.351.23
Total Volume52,35829,800135,61869,13237,015
Total OI908,842.286791,1771,015,905993,708811,835

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$82.91$75.0030.4%9.8%54.5%9.4%34.7%3.3%0.9%20.1M-992.5M-7.6M0.352.4751,16617,966532,480461,228
2022-12-02$81.59$75.0030.4%9.5%55.0%9.2%33.8%2.9%-0.7%-414.4K-782.2M-7.5M0.572.3225,28014,335537,884466,052
2022-12-05$81.38$75.0031.4%10.3%55.1%13.2%36.3%3.5%3.2%8.4M-726.8M-7.4M0.292.0248,11714,000506,293446,553
2022-12-06$79.66$75.0032.8%10.5%56.4%19.1%37.8%3.8%3.1%5.1M-487.2M-7.5M0.421.9043,23218,137527,609454,140
2022-12-07$79.43$75.0033.5%10.6%55.8%21.8%39.0%4.2%3.7%5.1M-444.0M-7.4M1.261.7423,38829,394533,391458,562
2022-12-08$80.66$75.0032.8%10.5%55.7%19.0%38.2%3.8%4.0%10.9M-636.1M-7.3M0.531.4430,02615,929535,943470,713
2022-12-09$81.03$75.0033.2%10.5%49.5%20.4%37.0%3.6%4.5%18.3M-715.6M-7.2M0.531.7738,30220,411540,614475,291
2022-12-12$80.06$75.0036.3%10.7%47.4%32.9%38.7%4.1%0.3%-977.6K-499.5M-7.0M0.935.8022,26220,794508,579449,893
2022-12-13$80.47$75.0034.9%10.2%46.9%27.6%35.6%4.0%0.3%-2.3M-549.5M-6.9M0.631.8225,91516,348515,329460,625
2022-12-14$80.09$75.0034.4%10.0%30.6%25.2%35.0%3.8%0.5%-8.0M-477.2M-6.7M0.201.55113,21922,399520,180464,368
2022-12-15$77.65$75.0035.9%10.1%32.1%31.6%37.8%4.5%-0.6%-12.3M33.4M-6.6M1.181.4020,38324,103500,175469,828
2022-12-16$76.75$75.0036.2%10.6%30.9%32.8%36.4%4.3%1.4%-10.9M124.3M-6.5M1.341.3919,85326,579502,377471,200
2022-12-19$75.91$75.0036.4%10.5%30.5%33.7%36.3%4.3%-0.9%-4.9M-47.6M-6.2M1.081.5714,33015,470452,380338,797
2022-12-20$75.97$75.0036.6%10.5%29.2%34.5%36.8%4.0%-1.0%-4.6M-46.7M-6.3M0.681.7919,65013,269457,168344,425
2022-12-21$77.18$75.0035.6%10.2%27.9%30.4%35.6%3.9%-0.5%478.9K-189.9M-6.3M2.011.7018,07636,245463,579344,521
2022-12-22$75.18$75.0038.5%11.1%29.1%41.9%38.9%4.5%-1.1%-7.8M11.4M-6.3M1.591.7523,37137,137470,526348,371
2022-12-23$74.70$75.0036.9%10.6%29.1%35.4%38.6%4.6%-0.7%-5.6M56.0M-6.3M1.831.7914,07525,756475,516356,297
2022-12-27$74.59$75.0038.0%11.2%26.9%39.9%44.2%5.1%-0.0%-5.5M32.4M-6.1M1.301.6714,76919,217450,804346,993
2022-12-28$73.07$75.0039.6%11.7%27.5%46.3%34.5%5.1%-0.2%-9.1M181.5M-6.1M4.971.8112,04259,869456,819353,140
2022-12-29$75.95$70.0038.0%11.3%25.5%39.8%40.4%5.0%-0.3%939.7K-198.0M-6.2M1.651.6514,22023,469458,873346,337
2022-12-30$74.32$70.0039.1%11.7%26.2%44.2%41.9%5.3%-0.4%-4.7M-31.9M-6.0M1.232.1116,57020,445462,648349,187