TSM Options History — February 2023

In February 2023, TSM traded between $86.72 and $98.02. ATM implied volatility averaged 32.7%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 2.3% (HV 20d: 35.1%). Max pain ranged from $70.00 to $90.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2023-02-15: Highest Volume — 185,251 contracts
  • 2023-02-09: Largest IV spike — 10.5% change
  • 2023-02-21: Highest IV Rank — 25.6%
  • 2023-02-21: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.32$86.72$98.02$95.50$87.44
Max Pain$76.05$70.00$90.00$85.00$90.00
ATM IV32.7%29.0%35.0%29.0%33.4%
Expected Move9.5%8.7%10.1%8.7%9.8%
HV 20d35.1%30.2%37.9%33.0%37.8%
HV 60d36.9%32.5%42.1%41.7%33.8%
IV Rank16.0%0.4%25.6%0.4%18.8%
IV Percentile22.2%0.8%40.1%0.8%26.2%
Term Structure0.0%-1.2%1.3%0.1%-0.3%
VWIV34.0%30.5%43.6%30.5%34.2%
Skew 25d4.2%3.2%5.2%3.7%4.5%
Skew 10d7.9%6.0%10.2%6.3%8.2%
Call IV 25d31.0%27.2%33.0%27.2%31.5%
Put IV 25d35.2%30.9%38.1%30.9%35.9%
Bid-Ask Spread %2.291.605.122.682.04
Gamma HHI0.100.060.320.100.07
Net GEX8.0M-48.2M29.7M26.7M-8.6M
Net DEX-1.08B-1.79B-369.3M-1.59B-379.0M
Net VEX-8.1M-9.0M-7.1M-7.1M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.321.800.600.58
Total Volume75,36017,263185,25159,97117,263
Total OI784,575702,354878,655702,354820,720

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$95.50$85.0029.0%8.7%33.0%0.4%30.5%3.7%0.1%26.7M-1.59B-7.1M0.602.6837,57622,395361,464340,890
2023-02-02$96.28$70.0030.2%8.8%32.8%5.5%30.8%3.5%-0.1%28.2M-1.69B-7.3M0.442.8662,69427,346370,796349,898
2023-02-03$94.58$70.0030.1%8.8%34.2%4.9%31.1%3.3%-0.1%10.6M-1.42B-7.6M1.072.1233,95936,235386,085358,713
2023-02-06$91.93$70.0031.6%9.4%36.1%11.1%32.4%4.0%1.3%10.3M-1.12B-7.5M1.081.6028,08130,194370,999348,643
2023-02-07$94.31$70.0030.2%8.7%36.0%5.3%31.4%3.5%0.1%18.8M-1.40B-7.7M0.402.1032,82913,165383,375361,686
2023-02-08$94.62$70.0030.4%9.0%36.1%6.4%31.9%3.2%0.6%22.5M-1.44B-7.9M0.871.9722,72219,704389,128365,968
2023-02-09$96.28$70.0033.6%9.9%36.2%19.8%33.9%3.3%0.9%25.8M-1.61B-8.0M0.512.3897,72349,447389,554373,045
2023-02-10$95.66$70.0033.7%9.9%30.4%19.9%35.4%3.7%1.1%24.8M-1.53B-8.4M0.691.8825,20317,455416,030389,073
2023-02-13$96.06$70.0034.4%9.9%30.4%23.0%35.1%4.5%-0.8%22.3M-1.56B-8.3M1.591.7817,51027,823399,803375,801
2023-02-14$98.02$70.0032.7%9.4%30.2%15.8%34.5%4.0%0.6%29.7M-1.79B-8.3M0.631.9253,72733,941404,618391,974
2023-02-15$92.50$70.0034.1%9.8%37.5%21.7%33.1%4.5%-1.2%-2.6M-1.05B-8.2M0.832.10101,21184,040424,576400,689
2023-02-16$91.10$75.0033.5%9.6%37.8%19.3%33.6%4.4%-0.5%-3.9M-849.3M-8.4M0.861.6543,13337,227445,589418,255
2023-02-17$89.87$75.0032.9%9.4%37.4%16.6%33.3%4.4%0.2%-13.6M-674.2M-8.3M1.361.9325,48734,695453,878424,777
2023-02-21$87.66$75.0035.0%10.1%33.8%25.6%35.9%5.2%-0.2%-3.3M-454.7M-8.1M0.915.1230,97228,334391,362360,066
2023-02-22$86.72$75.0034.9%10.1%33.8%24.9%43.6%5.0%-0.1%-4.3M-372.4M-8.3M0.322.61120,52338,808406,891370,259
2023-02-23$90.27$90.0033.9%9.8%36.8%20.7%34.0%4.5%-0.2%22.2M-839.5M-9.0M1.262.2640,53251,153427,357385,047
2023-02-24$87.73$90.0034.4%9.9%37.9%22.9%36.0%4.9%-0.4%-48.2M-369.3M-8.9M1.802.3819,56035,193432,457404,178
2023-02-27$87.62$90.0033.9%9.9%37.8%20.9%35.5%4.8%-0.3%-5.1M-421.6M-8.7M0.832.1318,60015,380420,174393,107
2023-02-28$87.44$90.0033.4%9.8%37.8%18.8%34.2%4.5%-0.3%-8.6M-379.0M-8.7M0.582.0410,9246,339422,414398,306