TSM Options History — May 2023

In May 2023, TSM traded between $82.82 and $103.60. ATM implied volatility averaged 29.2%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 2.3% (HV 20d: 31.5%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2023-05-25: Highest Volume — 168,685 contracts
  • 2023-05-25: Largest IV spike — 16.4% change
  • 2023-05-25: Highest IV Rank — 28.8%
  • 2023-05-30: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.37$82.82$103.60$84.15$98.32
Max Pain$84.64$75.00$90.00$75.00$90.00
ATM IV29.2%26.4%34.0%27.8%31.9%
Expected Move8.6%7.6%10.6%7.9%10.0%
HV 20d31.5%24.9%52.7%25.0%52.7%
HV 60d29.5%25.9%37.7%29.4%37.7%
IV Rank8.3%0.0%28.8%1.2%20.7%
IV Percentile9.3%0.0%42.9%0.4%27.4%
Term Structure0.0%-1.7%1.6%-0.0%-0.8%
VWIV31.5%27.6%39.6%28.3%37.0%
Skew 25d3.7%-1.2%5.5%4.9%-0.1%
Skew 10d7.9%-1.8%12.0%10.7%0.5%
Call IV 25d27.9%25.6%35.8%25.6%32.8%
Put IV 25d31.7%30.0%34.6%30.5%32.8%
Bid-Ask Spread %2.071.204.812.384.81
Gamma HHI0.100.070.120.110.07
Net GEX3.1M-25.3M45.6M-16.1M26.9M
Net DEX-675.6M-2.39B71.9M-72.1M-1.50B
Net VEX-7.8M-10.0M-6.9M-7.3M-10.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.132.530.940.57
Total Volume51,803.63613,927168,68521,11576,760
Total OI743,500.136684,268888,278695,353888,278

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$84.15$75.0027.8%7.9%25.0%1.2%28.3%4.9%-0.0%-16.1M-72.1M-7.3M0.942.3810,90610,209331,971363,382
2023-05-02$82.93$75.0029.0%8.3%25.2%6.0%29.6%5.2%-0.1%-20.8M67.3M-7.3M0.762.1513,38410,133336,423368,280
2023-05-03$82.82$75.0029.4%8.4%25.2%7.5%30.1%5.3%0.3%-21.7M71.9M-7.3M1.022.528,2578,396338,124370,059
2023-05-04$83.38$85.0030.7%9.0%24.9%12.5%31.6%5.5%0.3%-18.5M4.7M-7.3M0.531.5321,16711,197341,123372,126
2023-05-05$85.23$85.0028.0%8.5%26.4%1.9%29.8%4.6%0.6%-10.2M-242.3M-7.4M0.591.5624,18014,245349,288374,658
2023-05-08$85.34$85.0028.2%8.6%26.0%3.0%29.6%4.3%1.6%-10.0M-256.1M-7.2M1.021.509,96410,195342,295368,247
2023-05-09$84.81$85.0028.5%8.6%25.9%4.1%31.9%4.8%1.4%-12.5M-172.9M-7.3M2.531.565,80914,678345,096372,786
2023-05-10$85.03$85.0027.7%8.4%24.9%0.8%30.7%4.5%1.5%-11.7M-194.1M-7.2M0.571.3511,8866,772346,863378,586
2023-05-11$83.34$85.0028.6%8.3%25.7%4.5%31.4%4.8%-0.0%-25.3M31.2M-7.0M0.921.2015,78414,558346,279380,109
2023-05-12$83.41$85.0028.4%8.3%25.7%3.5%31.6%4.7%0.7%-23.2M17.8M-7.1M1.151.2110,23111,731351,458383,603
2023-05-15$85.53$85.0028.3%8.2%27.3%3.2%29.5%4.9%-0.9%-13.4M-269.0M-6.9M0.701.4220,16814,084344,105375,833
2023-05-16$86.02$85.0028.6%8.3%27.4%4.6%29.9%5.1%-1.2%-5.3M-334.9M-7.1M0.131.35103,22713,559355,270383,538
2023-05-17$91.05$85.0028.5%8.2%34.0%4.1%29.2%2.8%-1.7%20.5M-969.7M-7.8M0.541.6873,76139,597365,151389,514
2023-05-18$92.81$85.0026.8%7.7%33.7%0.0%30.1%4.1%0.1%31.3M-1.24B-7.9M0.551.5147,25726,000383,072400,019
2023-05-19$92.56$85.0026.4%7.6%29.1%0.0%27.6%4.3%0.4%19.9M-1.21B-7.8M0.621.3823,13114,269386,229408,756
2023-05-22$91.78$85.0027.4%8.0%29.0%3.6%29.3%4.2%0.1%18.0M-896.5M-7.8M0.942.0511,94811,279343,265341,003
2023-05-23$90.55$85.0028.1%8.3%27.8%6.4%30.9%4.8%0.1%12.2M-741.4M-7.9M0.701.9413,0289,078346,119347,002
2023-05-24$89.78$88.0029.2%8.7%27.9%10.6%30.6%4.9%0.1%8.9M-656.5M-7.9M1.002.936,9766,951350,385354,934
2023-05-25$101.31$89.0034.0%10.3%49.7%28.8%37.5%-1.2%-0.5%28.1M-1.88B-8.1M0.403.24120,27548,410355,652361,295
2023-05-26$103.60$90.0033.4%10.0%49.8%26.3%36.7%-0.3%-0.3%44.9M-2.39B-9.7M0.293.26107,91131,185454,733402,316
2023-05-30$102.30$90.0034.0%10.6%50.4%28.5%39.6%-0.2%-0.6%45.6M-2.03B-10.0M0.502.9651,31725,827471,304388,474
2023-05-31$98.32$90.0031.9%10.0%52.7%20.7%37.0%-0.1%-0.8%26.9M-1.50B-10.0M0.574.8148,95527,805489,153399,125