TSM Options History — August 2023

In August 2023, TSM traded between $91.13 and $98.66. ATM implied volatility averaged 29.0%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.8% (HV 20d: 25.3%). Max pain ranged from $95.00 to $98.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.82.

Notable Days

  • 2023-08-23: Highest Volume — 119,149 contracts
  • 2023-08-24: Largest IV drop — 8.9% change
  • 2023-08-23: Highest IV Rank — 20.4%
  • 2023-08-23: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.89$91.13$98.66$98.66$93.80
Max Pain$95.26$95.00$98.00$98.00$95.00
ATM IV29.0%25.3%31.8%27.9%25.4%
Expected Move8.3%7.0%9.4%7.7%7.0%
HV 20d25.3%21.3%28.5%27.4%23.1%
HV 60d32.8%25.0%37.6%37.1%25.2%
IV Rank10.3%0.0%20.4%5.7%0.3%
IV Percentile16.6%0.0%38.9%5.6%0.4%
Term Structure0.0%-0.7%1.4%-0.3%0.7%
VWIV29.6%24.5%33.5%27.6%24.9%
Skew 25d2.3%0.7%3.2%0.7%1.9%
Skew 10d4.6%1.5%6.8%1.5%4.1%
Call IV 25d28.2%24.6%31.2%28.1%24.7%
Put IV 25d30.6%26.7%33.4%28.8%26.7%
Bid-Ask Spread %2.121.348.292.051.91
Gamma HHI0.090.060.230.090.06
Net GEX-15.1M-66.6M18.3M8.9M-7.0M
Net DEX-16.0M-645.6M415.7M-645.6M-62.0M
Net VEX-10.2M-10.7M-9.7M-10.6M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.241.570.480.48
Total Volume46,432.21723,954119,14942,08245,435
Total OI874,074.826816,657928,851821,877871,446

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$98.66$98.0027.9%7.7%27.4%5.7%27.6%0.7%-0.3%8.9M-645.6M-10.6M0.482.0528,46113,621421,173400,704
2023-08-02$95.97$98.0029.5%8.2%28.5%11.5%29.2%1.5%-0.4%-10.5M-225.5M-10.5M1.142.4025,23728,780435,519407,219
2023-08-03$94.97$95.0029.0%8.4%28.1%9.7%30.1%1.9%-0.2%-22.6M-84.8M-10.4M0.912.1433,81830,613440,794417,007
2023-08-04$95.94$95.0029.1%8.5%28.1%10.1%31.0%1.8%-0.5%-13.2M-227.1M-10.7M1.001.9320,32120,329461,134431,578
2023-08-07$96.09$95.0028.1%8.3%28.0%6.5%29.3%2.3%0.9%-13.3M-237.2M-10.4M1.301.5513,54417,651436,971423,731
2023-08-08$94.45$95.0029.4%8.5%27.9%11.3%29.2%2.5%0.2%-24.4M10.4M-10.4M0.451.5932,21914,644441,698429,650
2023-08-09$94.28$95.0029.5%8.5%25.5%11.8%30.9%2.6%0.1%-25.3M32.7M-10.4M1.011.6614,22514,309441,719434,251
2023-08-10$94.75$95.0029.1%8.5%24.5%10.2%30.6%2.5%0.6%-23.0M-34.4M-10.6M0.601.8418,82411,324448,294438,191
2023-08-11$92.09$95.0029.6%8.7%25.8%12.0%30.3%2.5%1.4%-38.0M375.7M-10.1M1.571.6722,87835,883448,853440,019
2023-08-14$93.25$95.0028.9%8.3%26.7%9.2%29.1%3.2%0.6%-25.5M119.7M-10.1M0.931.9917,54816,343441,543432,767
2023-08-15$91.60$95.0030.4%8.8%26.9%15.1%30.5%2.8%-0.7%-31.2M347.6M-10.0M0.931.5012,38611,568449,110440,855
2023-08-16$91.87$95.0030.4%8.7%27.1%15.1%30.3%2.5%-0.4%-29.0M302.5M-10.1M0.591.6731,80918,812454,101444,722
2023-08-17$91.50$95.0031.6%9.1%22.0%19.4%32.7%3.2%-0.7%-30.2M347.0M-10.3M1.231.7416,19019,926465,829454,031
2023-08-18$91.13$95.0031.1%9.0%22.0%17.7%32.5%2.8%-0.6%-66.6M415.7M-10.1M0.681.3426,54418,048468,160460,691
2023-08-21$92.84$95.0031.2%9.1%23.1%18.0%32.2%2.6%-0.5%-15.9M45.2M-10.3M0.241.9242,15910,190390,919425,738
2023-08-22$91.82$95.0031.7%9.3%21.3%19.9%32.6%2.7%-0.6%-7.1M126.5M-10.1M0.451.7428,50112,731421,247429,743
2023-08-23$94.50$95.0031.8%9.4%24.3%20.4%33.5%2.2%-0.5%14.1M-325.4M-10.4M0.331.9689,54429,605432,877434,923
2023-08-24$92.56$95.0029.0%8.4%25.1%9.6%29.8%2.7%-0.0%-10.1M93.4M-10.0M0.742.1036,15126,909467,945446,432
2023-08-25$93.05$95.0027.5%7.8%24.1%4.0%27.5%2.4%-0.0%82.0K26.2M-10.0M1.422.0918,13225,712466,067450,020
2023-08-28$93.97$95.0026.5%7.5%24.0%0.2%26.7%2.4%0.6%-5.9M-129.9M-9.8M0.711.8621,09015,070405,366428,861
2023-08-29$95.48$95.0025.9%7.3%24.9%0.0%24.9%2.0%0.5%18.3M-379.6M-9.9M1.121.7823,93126,711420,793434,824
2023-08-30$94.85$95.0025.3%7.0%23.1%0.0%24.5%2.1%0.5%9.7M-258.7M-9.8M0.618.2918,78111,434419,396446,810
2023-08-31$93.80$95.0025.4%7.0%23.1%0.3%24.9%1.9%0.7%-7.0M-62.0M-9.7M0.481.9130,70014,735420,856450,590