TSM Options History — June 2023

In June 2023, TSM traded between $98.40 and $107.25. ATM implied volatility averaged 30.6%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 15.4% (HV 20d: 46.0%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2023-06-14: Highest Volume — 278,336 contracts
  • 2023-06-12: Largest IV spike — 10.6% change
  • 2023-06-12: Highest IV Rank — 30.9%
  • 2023-06-12: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.27$98.40$107.25$99.20$101.25
Max Pain$90.00$90.00$90.00$90.00$90.00
ATM IV30.6%27.6%34.6%30.7%30.8%
Expected Move9.1%8.7%10.1%9.5%9.2%
HV 20d46.0%23.6%53.1%52.6%23.6%
HV 60d37.2%36.8%37.7%37.7%36.9%
IV Rank15.8%4.4%30.9%16.2%16.6%
IV Percentile19.7%1.6%48.8%17.5%20.2%
Term Structure0.4%-0.8%2.1%-0.6%-0.7%
VWIV33.1%31.3%36.6%36.6%32.6%
Skew 25d-0.2%-2.8%1.1%-0.2%0.4%
Skew 10d-0.2%-5.1%2.2%1.1%1.0%
Call IV 25d31.3%27.9%36.8%31.9%31.3%
Put IV 25d31.1%28.2%33.9%31.7%31.7%
Bid-Ask Spread %2.191.733.162.991.88
Gamma HHI0.120.080.550.090.10
Net GEX45.4M3.0M151.0M33.8M18.6M
Net DEX-1.59B-2.60B-1.17B-1.56B-1.26B
Net VEX-9.4M-9.8M-9.1M-9.8M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.131.190.200.36
Total Volume70,827.85721,802278,33689,47540,798
Total OI845,947.048718,522969,184895,815812,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$99.20$90.0030.7%9.5%52.6%16.2%36.6%-0.2%-0.6%33.8M-1.56B-9.8M0.202.9974,56314,912490,461405,354
2023-06-02$98.73$90.0028.7%8.8%52.8%8.6%32.4%-0.5%-0.7%31.9M-1.42B-9.8M0.632.6824,39515,265495,660410,114
2023-06-05$98.40$90.0027.7%8.7%52.7%4.6%32.3%0.5%1.2%33.9M-1.34B-9.6M0.532.2831,72416,812454,077398,898
2023-06-06$99.84$90.0027.6%8.8%52.7%4.4%31.7%-0.0%2.1%40.6M-1.52B-9.2M0.302.1547,94114,406448,294407,230
2023-06-07$99.69$90.0028.0%8.8%52.6%5.8%31.7%0.2%1.2%41.2M-1.50B-9.4M0.442.3834,32115,049459,890413,335
2023-06-08$100.34$90.0028.4%8.9%52.6%7.5%32.0%-0.3%1.1%40.1M-1.56B-9.3M0.372.0915,9235,879463,560423,099
2023-06-09$102.48$90.0031.3%9.3%51.6%18.3%33.4%-2.2%1.2%60.3M-1.99B-9.3M0.343.1675,45026,017470,362426,040
2023-06-12$107.25$90.0034.6%10.1%53.0%30.9%36.1%-2.8%0.9%79.1M-2.60B-9.3M0.402.4693,77937,233488,702419,406
2023-06-13$106.86$90.0031.8%9.4%53.0%20.3%33.5%-2.0%1.2%87.9M-2.51B-9.5M0.312.2183,31326,193510,799436,732
2023-06-14$107.16$90.0031.5%9.6%53.1%19.3%34.6%-1.6%2.0%93.7M-2.54B-9.6M0.132.62246,83331,503522,657446,527
2023-06-15$105.69$90.0032.2%9.4%50.9%21.9%34.4%-0.8%1.0%66.4M-1.75B-9.6M0.611.9731,10618,975479,949454,418
2023-06-16$104.90$90.0030.1%9.0%50.9%13.9%32.2%-0.7%1.8%151.0M-1.57B-9.4M0.471.8441,79619,749485,473463,171
2023-06-20$104.02$90.0030.7%8.9%51.1%16.3%34.4%0.4%0.1%33.7M-1.48B-9.2M0.712.0632,74823,390381,100337,422
2023-06-21$102.03$90.0030.9%8.9%51.7%17.0%31.3%0.5%-0.1%22.9M-1.24B-9.2M1.191.7326,31731,411392,166348,504
2023-06-22$102.83$90.0030.7%8.8%51.2%16.3%32.5%0.5%-0.2%12.9M-1.33B-9.1M0.261.8965,38716,849393,199363,289
2023-06-23$101.94$90.0030.9%8.9%51.2%17.0%31.3%0.6%-0.2%3.0M-1.20B-9.1M0.561.8636,13020,199413,284372,062
2023-06-26$100.87$90.0031.6%9.1%28.4%19.7%32.6%1.1%-0.5%22.6M-1.17B-9.2M0.571.8217,0649,649394,277353,143
2023-06-27$102.47$90.0031.4%9.1%27.8%18.7%32.6%0.5%-0.4%30.7M-1.37B-9.2M0.542.0026,58214,457400,424358,991
2023-06-28$101.09$90.0031.6%9.3%27.8%19.7%33.6%0.8%-0.7%27.2M-1.20B-9.3M0.481.9132,35515,550410,621363,027
2023-06-29$100.73$90.0031.3%9.3%23.8%18.3%32.9%0.7%-0.8%22.5M-1.18B-9.4M0.942.0918,27017,092426,353370,433
2023-06-30$101.25$90.0030.8%9.2%23.6%16.6%32.6%0.4%-0.7%18.6M-1.26B-9.4M0.361.8829,95510,843435,737376,648