TSM Options History — April 2023

In April 2023, TSM traded between $81.84 and $92.69. ATM implied volatility averaged 32.6%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 7.5% (HV 20d: 25.2%). Max pain ranged from $70.00 to $89.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2023-04-20: Highest Volume — 127,457 contracts
  • 2023-04-20: Largest IV drop — 14.7% change
  • 2023-04-10: Highest IV Rank — 31.0%
  • 2023-04-05: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.30$81.84$92.69$92.69$84.16
Max Pain$73.53$70.00$89.00$89.00$75.00
ATM IV32.6%27.5%36.3%34.4%27.5%
Expected Move9.4%7.8%11.2%10.4%7.8%
HV 20d25.2%20.8%27.3%27.3%25.2%
HV 60d30.7%28.3%33.1%33.1%29.5%
IV Rank16.8%0.0%31.0%22.8%0.0%
IV Percentile26.5%0.0%53.6%37.7%0.0%
Term Structure-0.4%-2.0%0.5%-0.5%0.2%
VWIV33.7%27.0%39.8%35.7%27.0%
Skew 25d5.3%4.6%6.1%5.6%4.6%
Skew 10d11.0%8.7%14.1%11.0%9.9%
Call IV 25d30.5%25.4%34.0%32.2%25.4%
Put IV 25d35.8%30.0%39.6%37.7%30.0%
Bid-Ask Spread %2.161.583.112.442.02
Gamma HHI0.110.080.140.110.11
Net GEX-4.5M-24.2M19.7M19.7M-16.4M
Net DEX-351.0M-959.5M178.5M-959.5M-78.8M
Net VEX-7.5M-8.2M-7.0M-8.1M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.282.380.280.80
Total Volume53,062.42125,206127,45738,21647,340
Total OI725,858.474652,815809,002691,050715,882

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-04-03$92.69$89.0034.4%10.4%27.3%22.8%35.7%5.6%-0.5%19.7M-959.5M-8.1M0.282.4429,8008,416368,001323,049
2023-04-04$91.78$89.0035.6%11.0%27.2%28.1%39.0%5.3%-0.9%15.8M-863.5M-8.2M1.292.0915,37819,839376,429327,598
2023-04-05$89.97$89.0036.2%11.2%27.3%30.6%39.8%5.6%-0.7%-1.1M-599.9M-8.1M1.312.3417,04322,352379,984333,713
2023-04-06$90.27$70.0035.5%9.8%26.5%27.4%35.7%5.3%-0.8%-1.6M-656.8M-8.1M0.881.9817,72615,531384,252340,651
2023-04-10$88.84$70.0036.3%10.0%26.2%31.0%35.6%5.4%-1.2%1.6M-506.0M-7.8M0.871.7129,14625,442374,299334,326
2023-04-11$89.15$70.0035.5%9.8%25.9%27.5%35.2%4.8%-1.1%2.9M-551.2M-7.7M0.521.8021,95211,438380,887343,530
2023-04-12$87.19$70.0036.3%10.4%27.1%30.7%33.7%5.3%-0.1%-7.4M-288.5M-7.6M0.671.5829,70019,894386,053348,299
2023-04-13$87.53$70.0034.8%9.5%25.5%24.6%35.6%5.1%-2.0%-9.1M-335.9M-7.6M1.791.9616,26529,184388,678353,533
2023-04-14$87.19$70.0034.6%9.9%22.6%23.7%34.7%5.0%0.1%-14.1M-289.7M-7.5M1.282.5319,71325,235392,219368,300
2023-04-17$87.78$70.0032.9%9.3%22.7%16.7%35.0%5.9%0.1%1.9M-391.5M-7.5M1.912.4713,10125,030378,241358,018
2023-04-18$88.05$70.0031.9%9.1%22.6%12.4%34.3%5.4%0.3%2.2M-445.7M-7.3M1.352.5610,70314,503382,780365,779
2023-04-19$87.16$70.0033.1%9.5%20.8%17.6%36.1%5.3%-1.7%-1.1M-330.0M-7.2M1.072.2740,01842,710386,397368,686
2023-04-20$89.16$70.0028.2%8.1%22.1%0.0%29.8%5.0%0.5%9.6M-594.6M-7.3M0.783.1171,74855,709402,295389,543
2023-04-21$85.32$70.0028.8%8.2%26.2%2.4%30.1%5.1%0.3%-6.9M-10.9M-7.1M1.011.6342,29042,803406,260402,742
2023-04-24$84.48$70.0028.4%8.1%25.8%0.9%30.3%4.8%0.1%-17.5M-62.7M-7.1M1.132.3925,12928,296323,659329,156
2023-04-25$82.43$70.0031.0%9.0%26.1%11.4%30.9%6.0%0.0%-20.0M115.0M-7.0M2.382.1923,97957,134333,074335,420
2023-04-26$81.84$70.0030.8%8.8%26.1%10.5%34.2%6.1%-0.2%-24.2M178.5M-7.3M1.611.9220,03032,261340,370359,893
2023-04-27$83.66$75.0028.2%8.0%24.9%0.0%28.4%5.1%0.2%-20.5M2.1M-7.4M0.712.1224,21217,136341,939367,376
2023-04-28$84.16$75.0027.5%7.8%25.2%0.0%27.0%4.6%0.2%-16.4M-78.8M-7.4M0.802.0226,35520,985346,407369,475