TSM Options History — January 2023

In January 2023, TSM traded between $74.16 and $95.10. ATM implied volatility averaged 33.2%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 0.2% (HV 20d: 33.0%). Max pain ranged from $70.00 to $85.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2023-01-12: Highest Volume — 225,975 contracts
  • 2023-01-12: Largest IV drop — 12.1% change
  • 2023-01-03: Highest IV Rank — 52.2%
  • 2023-01-04: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.70$74.16$95.10$74.16$92.18
Max Pain$78.75$70.00$85.00$70.00$85.00
ATM IV33.2%28.9%41.0%41.0%30.5%
Expected Move9.7%8.5%12.8%12.8%9.2%
HV 20d33.0%25.9%37.3%25.9%32.3%
HV 60d41.6%39.5%45.8%45.8%41.4%
IV Rank15.9%0.0%52.2%52.2%6.5%
IV Percentile24.0%0.0%81.3%81.3%5.2%
Term Structure-0.3%-1.1%1.1%-0.7%-0.1%
VWIV34.5%29.7%45.0%45.0%32.4%
Skew 25d3.9%2.7%5.1%5.1%4.1%
Skew 10d7.3%5.0%9.7%9.7%7.9%
Call IV 25d31.4%27.5%38.4%38.4%28.6%
Put IV 25d35.4%30.6%43.5%43.5%32.7%
Bid-Ask Spread %2.121.832.532.212.22
Gamma HHI0.110.070.310.090.08
Net GEX17.3M-4.5M58.4M-4.5M11.1M
Net DEX-1.12B-1.83B-29.0M-29.0M-1.21B
Net VEX-6.5M-7.2M-5.9M-5.9M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.462.141.660.75
Total Volume76,821.136,008225,97537,16636,008
Total OI792,988.1593,613946,735792,539691,779

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$74.16$70.0041.0%12.8%25.9%52.2%45.0%5.1%-0.7%-4.5M-29.0M-5.9M1.662.2113,96523,201449,224343,315
2023-01-04$75.94$70.0040.5%12.8%27.8%45.5%45.0%4.8%-1.1%-581.7K-218.4M-6.0M1.932.1118,71936,171454,250352,083
2023-01-05$75.97$75.0040.2%11.1%27.0%44.0%38.5%4.6%-1.1%376.2K-226.1M-6.0M1.741.8314,08124,556460,925359,454
2023-01-06$78.32$75.0038.0%10.3%29.4%34.3%37.1%4.5%-1.0%6.0M-498.6M-6.2M0.981.8633,87333,160466,043365,749
2023-01-09$80.45$75.0038.8%10.8%30.5%38.0%38.7%4.2%-0.7%6.8M-672.1M-6.2M0.811.8535,97729,038460,142359,519
2023-01-10$81.31$75.0037.5%10.6%30.7%32.4%38.8%4.2%-0.4%9.7M-763.9M-6.2M0.562.1123,84313,279472,444367,973
2023-01-11$81.53$75.0035.9%10.2%30.4%25.0%36.5%3.9%-0.2%11.4M-793.2M-6.3M0.741.8989,41266,325478,848373,007
2023-01-12$86.73$75.0031.5%9.2%37.3%5.8%33.5%3.0%0.8%32.7M-1.40B-6.4M0.682.53134,42391,552490,409402,283
2023-01-13$87.00$75.0029.3%8.6%37.2%0.0%31.0%2.7%1.1%58.4M-1.48B-6.5M0.722.1245,09732,462514,664426,826
2023-01-17$89.02$80.0030.0%8.6%35.3%2.9%31.2%3.5%0.1%31.6M-1.58B-6.4M0.602.0459,15835,214491,450387,908
2023-01-18$89.73$80.0030.0%8.6%34.6%2.9%31.6%3.4%-0.5%30.9M-1.72B-6.3M2.141.9343,53793,372505,099401,646
2023-01-19$88.85$80.0030.4%8.7%34.5%4.6%32.2%4.0%0.1%21.4M-1.56B-6.5M0.692.0534,94124,201510,622421,578
2023-01-20$90.73$80.0030.0%8.7%34.7%2.8%30.4%3.7%-1.0%30.0M-1.83B-6.6M0.462.2351,83923,950518,486428,249
2023-01-23$95.10$80.0030.3%8.8%37.2%4.1%32.0%3.6%-0.1%21.5M-1.55B-6.6M0.652.2861,71840,092300,332293,281
2023-01-24$94.20$85.0030.6%9.0%35.5%5.5%31.5%3.9%-0.5%18.0M-1.47B-6.7M0.742.1928,43521,025318,032311,773
2023-01-25$92.53$85.0030.9%9.1%36.4%6.5%32.3%4.0%-0.3%13.1M-1.26B-7.2M0.802.2634,87127,833329,234323,146
2023-01-26$93.16$85.0029.0%8.5%36.2%0.0%29.7%3.6%-0.2%15.7M-1.33B-7.1M0.492.3727,41213,403337,699334,262
2023-01-27$93.59$85.0028.9%8.6%34.3%0.0%30.8%3.6%0.2%17.1M-1.38B-7.2M0.662.2241,03627,077347,041340,483
2023-01-30$93.45$85.0030.4%9.1%33.2%6.0%32.0%3.9%-0.3%14.8M-1.35B-7.2M0.692.1330,82621,340342,123328,381
2023-01-31$92.18$85.0030.5%9.2%32.3%6.5%32.4%4.1%-0.1%11.1M-1.21B-7.2M0.752.2220,57715,431355,691336,088