TSM Options History — July 2023

In July 2023, TSM traded between $97.47 and $105.52. ATM implied volatility averaged 30.8%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 6.0% (HV 20d: 24.8%). Max pain ranged from $75.00 to $100.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2023-07-20: Highest Volume — 142,977 contracts
  • 2023-07-20: Largest IV drop — 18.1% change
  • 2023-07-19: Highest IV Rank — 31.3%
  • 2023-07-05: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.10$97.47$105.52$102.81$99.09
Max Pain$86.05$75.00$100.00$90.00$98.00
ATM IV30.8%26.8%34.7%31.3%27.8%
Expected Move8.7%7.2%10.0%9.6%7.6%
HV 20d24.8%20.9%28.1%24.1%28.1%
HV 60d36.9%35.8%37.2%36.7%37.1%
IV Rank16.7%1.5%31.3%18.3%5.2%
IV Percentile26.2%0.8%59.1%25.4%5.2%
Term Structure-0.7%-1.4%-0.1%-0.9%-0.2%
VWIV31.1%26.0%35.7%33.8%27.0%
Skew 25d0.4%-0.8%1.0%0.8%1.0%
Skew 10d0.8%-2.2%1.9%1.6%1.9%
Call IV 25d31.2%26.9%35.8%30.9%27.8%
Put IV 25d31.6%27.6%35.5%31.8%28.8%
Bid-Ask Spread %1.901.462.211.962.07
Gamma HHI0.100.070.160.090.09
Net GEX23.1M-47.3M56.7M46.2M14.0M
Net DEX-1.15B-1.86B-524.2M-1.49B-734.4M
Net VEX-9.7M-10.7M-9.0M-9.3M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.331.170.480.69
Total Volume68,401.324,927142,97732,16045,113
Total OI838,795.25777,640986,649784,342807,274

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$102.81$90.0031.3%9.6%24.1%18.3%33.8%0.8%-0.9%46.2M-1.49B-9.3M0.481.9621,68310,477419,941364,401
2023-07-05$101.22$91.0031.6%10.0%24.8%19.5%35.7%0.5%-0.6%32.3M-1.26B-9.1M0.612.0026,65516,350425,824371,033
2023-07-06$99.35$75.0032.2%8.8%25.3%22.0%31.9%0.9%-0.9%14.5M-992.1M-9.2M1.171.7520,09623,517430,457380,259
2023-07-07$100.40$75.0032.2%8.8%25.5%21.9%31.2%0.5%-1.1%24.7M-1.14B-9.2M0.391.9045,96418,152435,841388,310
2023-07-10$99.63$75.0032.6%8.9%25.6%23.3%32.3%0.8%-1.1%20.6M-1.07B-9.0M0.971.5317,71717,256424,284376,614
2023-07-11$101.00$75.0032.4%9.0%24.9%22.7%31.8%0.8%-1.0%27.5M-1.24B-9.1M0.731.6414,42910,498425,563382,352
2023-07-12$103.78$75.0032.8%9.1%20.9%24.2%32.1%0.1%-1.0%47.0M-1.65B-9.1M0.421.6456,50423,804429,981386,869
2023-07-13$105.52$75.0033.6%9.4%21.9%27.1%34.0%-0.1%-0.8%54.8M-1.86B-9.3M0.461.8632,00414,864430,515394,662
2023-07-14$105.16$75.0033.5%9.3%21.8%26.6%34.5%-0.8%-1.4%56.7M-1.85B-9.3M0.361.9961,89922,487439,968398,724
2023-07-17$104.69$75.0034.4%9.8%21.4%30.3%34.9%-0.6%-1.0%43.7M-1.72B-9.1M0.671.9441,19827,527435,986387,042
2023-07-18$103.37$80.0034.7%9.9%21.7%31.2%34.8%0.7%-1.0%39.3M-1.54B-9.7M0.721.9659,41542,915456,167404,762
2023-07-19$102.75$90.0034.7%10.0%21.6%31.3%35.7%-0.6%-1.2%33.8M-1.44B-10.0M0.382.1794,92135,748474,494433,401
2023-07-20$97.94$90.0028.4%8.1%26.7%7.5%29.9%0.4%-0.2%-21.5M-554.2M-9.8M0.571.4691,26551,712519,437456,408
2023-07-21$97.47$90.0027.6%7.9%26.4%4.4%28.6%0.2%-0.4%-47.3M-524.2M-9.8M0.841.8551,72843,262521,764464,885
2023-07-24$98.13$95.0028.2%7.9%26.5%6.5%28.1%0.6%-0.4%-2.9M-555.7M-9.9M0.331.9681,48826,797400,708376,932
2023-07-25$100.34$100.0027.4%7.6%27.6%3.5%27.3%0.4%-0.1%19.2M-889.1M-10.5M0.891.9646,75541,419417,965393,859
2023-07-26$99.60$99.0027.0%7.4%27.1%2.1%26.3%0.6%-0.3%17.7M-788.7M-10.6M0.732.1316,83412,208428,851401,318
2023-07-27$98.97$99.0027.5%7.5%26.8%3.9%26.7%1.0%-0.1%12.3M-698.4M-10.6M0.622.2138,97724,040431,705405,576
2023-07-28$100.75$99.0026.8%7.2%27.6%1.5%26.0%0.7%-0.1%29.4M-994.7M-10.7M0.642.0224,62615,722441,259410,514
2023-07-31$99.09$98.0027.8%7.6%28.1%5.2%27.0%1.0%-0.2%14.0M-734.4M-10.6M0.692.0726,72118,392418,281388,993