TSM Options History — March 2023

In March 2023, TSM traded between $86.52 and $94.38. ATM implied volatility averaged 35.2%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 4.4% (HV 20d: 30.8%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.97.

Notable Days

2023-03-15: Highest Volume — 106,386 contracts
2023-03-09: Largest IV spike — 10.3% change
2023-03-15: Highest IV Rank — 41.6%
2023-03-15: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.38	$86.52	$94.38	$88.47	$92.81
Max Pain	$87.00	$85.00	$90.00	$90.00	$89.00
ATM IV	35.2%	31.0%	38.9%	33.3%	34.1%
Expected Move	10.3%	9.3%	11.2%	9.8%	10.1%
HV 20d	30.8%	23.9%	38.0%	38.0%	27.3%
HV 60d	33.8%	33.1%	34.3%	33.8%	33.1%
IV Rank	26.4%	8.8%	41.6%	18.2%	21.7%
IV Percentile	44.2%	9.9%	73.8%	25.8%	36.1%
Term Structure	0.0%	-1.5%	2.2%	-0.3%	0.0%
VWIV	36.3%	32.9%	39.5%	34.0%	36.2%
Skew 25d	5.2%	3.7%	6.9%	4.3%	5.5%
Skew 10d	10.2%	7.0%	14.5%	8.6%	10.3%
Call IV 25d	33.0%	29.3%	36.1%	31.5%	31.9%
Put IV 25d	38.1%	33.0%	43.0%	35.8%	37.4%
Bid-Ask Spread %	2.35	1.62	4.39	2.04	2.29
Gamma HHI	0.08	0.06	0.13	0.06	0.11
Net GEX	11.6M	-9.6M	32.2M	-2.9M	31.8M
Net DEX	-753.4M	-1.26B	-207.1M	-544.8M	-995.8M
Net VEX	-8.5M	-8.8M	-8.2M	-8.7M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.33	1.96	1.36	0.76
Total Volume	46,083.783	26,269	106,386	33,434	31,920
Total OI	775,191.826	655,415	875,946	825,095	721,025

Daily Data (23 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
2023-03-01	$88.47	$90.00	33.3%	9.8%	38.0%	18.2%	34.0%	4.3%	-0.3%	-2.9M	-544.8M	-8.7M	1.36	2.04	14,158	19,276	426,537	398,558
2023-03-02	$89.28	$90.00	32.6%	9.6%	35.6%	15.4%	35.1%	4.3%	-0.3%	-424.2K	-644.8M	-8.7M	1.32	2.70	13,993	18,407	429,612	403,596
2023-03-03	$89.81	$90.00	31.5%	9.3%	35.5%	11.0%	33.9%	4.0%	-0.2%	-8.3M	-724.7M	-8.6M	1.21	4.39	20,390	24,735	431,511	406,312
2023-03-06	$89.69	$85.00	31.0%	9.4%	35.1%	8.8%	33.1%	4.0%	2.2%	4.9M	-719.1M	-8.3M	1.08	1.62	18,835	20,393	408,104	390,217
2023-03-07	$88.77	$85.00	31.5%	9.5%	33.9%	10.7%	33.8%	3.7%	2.1%	-2.3M	-573.2M	-8.2M	0.74	1.82	19,349	14,252	410,641	396,105
2023-03-08	$90.66	$85.00	31.2%	9.5%	33.5%	9.6%	32.9%	3.8%	2.2%	14.4M	-863.3M	-8.3M	1.03	2.34	17,593	18,147	419,866	397,294
2023-03-09	$89.06	$85.00	34.4%	10.1%	33.9%	23.1%	35.1%	4.5%	1.5%	3.6M	-615.1M	-8.5M	1.66	2.98	21,587	35,794	425,625	405,180
2023-03-10	$87.34	$85.00	36.3%	10.8%	33.5%	30.8%	36.0%	5.0%	1.9%	-9.6M	-325.4M	-8.5M	1.17	2.66	28,159	32,849	434,297	420,520
2023-03-13	$88.28	$85.00	36.8%	10.2%	33.9%	32.8%	38.6%	5.8%	-1.5%	3.9M	-477.1M	-8.4M	0.90	2.79	20,695	18,571	425,076	412,885
2023-03-14	$88.75	$85.00	35.8%	10.0%	33.9%	28.8%	34.9%	5.3%	-1.4%	6.3M	-547.4M	-8.4M	0.54	2.13	22,842	12,310	430,520	417,585
2023-03-15	$86.52	$85.00	38.9%	11.2%	33.5%	41.6%	38.3%	6.9%	0.3%	-1.9M	-207.1M	-8.3M	0.33	2.14	80,096	26,290	441,935	421,165
2023-03-16	$89.34	$85.00	36.9%	10.3%	30.1%	33.4%	37.2%	5.5%	-1.1%	12.6M	-585.8M	-8.4M	0.67	2.05	44,899	29,862	428,397	426,994
2023-03-17	$89.68	$85.00	38.1%	10.8%	29.8%	38.4%	38.3%	5.4%	-0.8%	8.6M	-718.9M	-8.5M	1.10	2.19	28,431	31,297	445,483	430,463
2023-03-20	$90.32	$85.00	37.2%	10.6%	29.5%	34.7%	37.3%	6.0%	-1.2%	16.2M	-773.9M	-8.3M	0.99	2.44	14,993	14,809	357,006	298,409
2023-03-21	$92.45	$85.00	36.3%	10.4%	29.0%	30.7%	35.8%	5.7%	-0.7%	24.6M	-1.03B	-8.3M	0.42	2.09	41,670	17,307	363,279	305,937
2023-03-22	$93.63	$88.00	35.8%	10.3%	28.7%	28.7%	36.6%	5.2%	-0.7%	32.2M	-1.21B	-8.5M	0.72	3.01	43,870	31,591	375,957	312,888
2023-03-23	$94.38	$89.00	37.7%	10.8%	25.4%	36.6%	37.7%	5.6%	-0.9%	31.4M	-1.26B	-8.8M	0.47	2.89	31,292	14,778	382,059	324,304
2023-03-24	$92.78	$89.00	37.6%	10.9%	23.9%	36.3%	39.5%	6.2%	-0.9%	22.5M	-1.02B	-8.8M	1.96	1.84	12,893	25,206	382,499	329,793
2023-03-27	$90.78	$89.00	36.8%	10.7%	25.4%	32.9%	37.3%	5.9%	0.1%	12.8M	-754.6M	-8.5M	0.59	2.30	21,062	12,352	367,252	317,630
2023-03-28	$90.41	$89.00	36.4%	10.7%	25.5%	31.1%	37.8%	5.6%	0.1%	13.1M	-718.7M	-8.5M	1.29	1.81	11,491	14,778	374,676	322,192
2023-03-29	$93.13	$89.00	35.0%	10.3%	27.1%	25.4%	36.0%	5.5%	-0.0%	27.6M	-1.07B	-8.4M	0.53	1.67	21,048	11,055	378,239	323,977
2023-03-30	$92.34	$89.00	35.3%	10.5%	27.3%	26.5%	39.2%	5.3%	0.0%	25.1M	-961.0M	-8.3M	1.48	1.86	13,931	20,671	380,857	326,955
2023-03-31	$92.81	$89.00	34.1%	10.1%	27.3%	21.7%	36.2%	5.5%	0.0%	31.8M	-995.8M	-8.4M	0.76	2.29	18,121	13,799	384,233	336,792