TSM Options History — September 2023

In September 2023, TSM traded between $84.18 and $94.81. ATM implied volatility averaged 28.1%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.5% (HV 20d: 23.7%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.55.

Notable Days

  • 2023-09-07: Highest Volume — 129,400 contracts
  • 2023-09-15: Largest IV spike — 6.9% change
  • 2023-09-26: Highest IV Rank — 27.2%
  • 2023-09-26: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.81$84.18$94.81$93.28$86.84
Max Pain$93.40$90.00$95.00$95.00$90.00
ATM IV28.1%25.0%32.6%25.0%30.3%
Expected Move8.6%6.9%9.6%6.9%9.0%
HV 20d23.7%21.3%26.1%22.8%22.6%
HV 60d24.4%24.0%25.6%25.2%24.4%
IV Rank11.3%0.0%27.2%0.0%19.0%
IV Percentile17.1%0.0%50.4%0.0%30.2%
Term Structure0.8%-0.7%3.9%0.6%-0.1%
VWIV30.7%24.0%38.4%24.0%30.0%
Skew 25d2.8%1.8%3.8%2.0%3.5%
Skew 10d5.7%3.4%8.6%3.7%6.7%
Call IV 25d27.0%23.8%30.8%24.1%28.9%
Put IV 25d29.8%25.7%34.4%26.0%32.4%
Bid-Ask Spread %1.981.324.632.052.06
Gamma HHI0.110.060.190.070.11
Net GEX-33.0M-56.2M-4.9M-21.6M-18.9M
Net DEX515.9M-219.3M899.2M36.0M506.4M
Net VEX-9.3M-9.7M-8.8M-9.7M-9.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.253.211.340.75
Total Volume48,465.8519,352129,40033,90119,352
Total OI918,163.45814,959978,972892,349971,175

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$93.28$95.0025.0%6.9%22.8%0.0%24.0%2.0%0.6%-21.6M36.0M-9.7M1.342.0514,47619,425436,008456,341
2023-09-05$94.81$95.0025.7%8.3%23.6%2.4%29.3%1.8%0.4%-4.9M-219.3M-9.6M0.711.6820,29114,455406,468455,237
2023-09-06$92.15$95.0026.5%8.7%25.0%5.4%30.6%2.0%0.6%-22.4M210.4M-9.5M0.921.7923,50521,577412,936461,497
2023-09-07$90.06$95.0027.4%8.8%26.1%8.7%37.3%3.2%0.1%-33.4M557.9M-9.3M2.321.7838,92790,473416,474472,128
2023-09-08$89.38$95.0026.4%8.5%26.1%5.0%30.2%2.6%0.0%-46.4M656.5M-9.3M0.971.6224,02623,307429,908528,147
2023-09-11$89.69$95.0025.5%8.2%24.3%1.9%29.5%2.2%3.1%-34.5M579.7M-9.1M1.321.7613,36617,611417,883524,647
2023-09-12$90.63$95.0025.7%8.5%24.2%2.6%28.8%2.1%3.8%-29.3M456.9M-9.3M0.661.8026,86317,828421,614534,831
2023-09-13$91.06$95.0025.3%8.3%23.4%1.0%29.9%2.1%3.9%-29.2M404.6M-9.3M0.251.3244,79211,246431,250542,729
2023-09-14$91.55$95.0025.0%8.1%23.5%0.2%28.5%1.9%3.9%-13.9M307.5M-9.3M1.221.5515,30118,609431,432547,540
2023-09-15$89.00$95.0026.8%8.3%25.5%6.3%30.6%2.3%3.2%-56.2M712.7M-9.1M1.721.5223,76140,887433,908541,718
2023-09-18$88.78$95.0028.4%8.4%25.5%12.3%29.8%3.1%-0.7%-29.8M425.4M-9.0M3.031.9216,31649,459359,687455,272
2023-09-19$88.30$95.0029.3%8.5%24.4%15.5%31.5%3.4%-0.5%-34.0M498.3M-9.0M1.741.8412,87822,398369,912485,548
2023-09-20$87.60$95.0028.9%8.3%24.3%14.1%30.0%3.0%-0.3%-40.5M588.6M-9.1M2.772.4611,40931,633371,967493,359
2023-09-21$85.53$93.0030.6%8.8%22.5%20.0%29.6%3.5%-0.4%-46.3M845.3M-8.8M3.214.6317,52556,179377,651503,332
2023-09-22$85.63$90.0030.1%8.7%21.8%18.3%30.6%3.5%-0.7%-53.9M839.8M-9.1M2.142.0618,42439,437386,204523,091
2023-09-25$85.91$90.0030.9%9.0%21.7%21.2%38.4%3.6%-0.2%-41.2M762.4M-9.3M0.781.8724,47119,143380,309530,465
2023-09-26$84.18$90.0032.6%9.6%21.8%27.2%32.8%3.6%-0.5%-43.7M899.2M-9.1M1.361.8920,99228,630398,444540,750
2023-09-27$85.22$90.0031.7%9.4%21.3%23.9%30.6%3.8%-0.3%-35.0M734.4M-9.4M2.751.969,42425,923409,275544,552
2023-09-28$86.56$90.0030.5%9.0%22.6%19.9%31.6%3.3%-0.3%-25.3M515.7M-9.5M0.931.9812,94312,055413,245546,335
2023-09-29$86.84$90.0030.3%9.0%22.6%19.0%30.0%3.5%-0.1%-18.9M506.4M-9.6M0.752.0611,0548,298419,954551,221