TSM Options History — October 2023

In October 2023, TSM traded between $85.22 and $92.79. ATM implied volatility averaged 31.6%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.9% (HV 20d: 25.8%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2023-10-19: Highest Volume — 176,982 contracts
  • 2023-10-19: Largest IV drop — 10.2% change
  • 2023-10-27: Highest IV Rank — 38.7%
  • 2023-10-03: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.19$85.22$92.79$87.53$86.27
Max Pain$87.50$85.00$90.00$90.00$90.00
ATM IV31.6%28.6%34.3%31.3%30.4%
Expected Move9.1%8.2%10.8%9.5%8.8%
HV 20d25.8%21.8%31.2%23.0%29.6%
HV 60d24.7%23.4%26.1%24.3%25.5%
IV Rank29.1%17.6%38.7%22.7%33.6%
IV Percentile45.9%18.3%63.9%42.9%32.5%
Term Structure-0.5%-1.2%0.8%-0.7%-0.2%
VWIV32.4%28.9%37.0%33.2%30.2%
Skew 25d3.9%3.0%4.7%3.3%4.3%
Skew 10d7.9%5.7%10.6%6.3%8.2%
Call IV 25d29.9%26.8%32.2%29.9%28.2%
Put IV 25d33.8%30.9%36.2%33.3%32.4%
Bid-Ask Spread %2.661.557.592.141.89
Gamma HHI0.100.080.240.120.10
Net GEX-17.5M-44.5M27.8M-23.7M-33.9M
Net DEX145.0M-426.2M727.9M413.4M540.6M
Net VEX-9.3M-9.6M-9.0M-9.5M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.281.960.891.22
Total Volume39,742.13616,183176,98243,04824,470
Total OI966,738.818874,9181,068,421945,274916,628

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$87.53$90.0031.3%9.5%23.0%22.7%33.2%3.3%-0.7%-23.7M413.4M-9.5M0.892.1422,78620,262405,329539,945
2023-10-03$85.22$90.0034.3%10.8%23.2%33.3%37.0%4.0%-0.7%-34.4M727.9M-9.3M0.282.2548,10513,667415,288549,601
2023-10-04$86.60$90.0032.4%10.0%22.7%26.4%34.6%4.0%-0.7%-32.6M494.6M-9.4M0.912.3315,85014,435414,863554,347
2023-10-05$87.37$85.0032.5%9.2%21.8%27.0%29.9%3.8%-1.0%-23.7M367.9M-9.3M0.551.8310,6145,888425,628559,250
2023-10-06$89.55$85.0031.4%8.8%23.6%23.1%31.9%3.4%-0.6%-3.4M14.6M-9.5M0.551.9229,77316,490428,960561,427
2023-10-09$89.16$85.0032.4%9.0%23.6%26.4%32.7%3.4%-0.7%-13.4M98.9M-9.4M1.231.627,2588,925426,755551,338
2023-10-10$90.44$85.0031.8%8.9%23.9%24.4%32.0%3.2%-0.5%-6.9M-95.3M-9.4M0.561.8713,5357,526428,934556,361
2023-10-11$91.52$85.0031.2%9.0%24.2%22.2%32.1%3.1%0.3%-3.1M-257.8M-9.5M0.727.4311,4588,252431,667559,818
2023-10-12$92.47$85.0032.1%9.1%24.4%25.4%31.2%3.0%-0.2%154.1K-426.2M-9.2M0.591.6624,68914,502434,341561,531
2023-10-13$90.20$85.0033.6%9.5%23.9%35.0%32.9%3.6%-0.8%27.8M-52.5M-9.5M1.421.9812,27517,395437,221571,905
2023-10-16$91.31$85.0032.2%9.2%24.2%34.2%30.8%3.6%-1.2%-16.4M-126.1M-9.1M0.521.8118,0269,409420,467567,331
2023-10-17$90.77$85.0032.5%9.3%24.2%36.4%33.5%3.3%-1.1%-19.3M-39.4M-9.0M1.027.5913,27713,578423,240571,095
2023-10-18$89.38$85.0032.6%9.4%24.7%37.2%32.9%3.8%-0.4%-26.1M187.4M-9.2M1.361.8122,96931,224424,748576,274
2023-10-19$92.79$85.0029.3%8.4%26.1%20.9%34.7%4.6%0.8%-4.2M-307.7M-9.1M0.451.55121,94555,037435,571586,274
2023-10-20$91.41$90.0030.6%8.8%26.9%27.1%33.7%4.4%-0.5%-10.4M-132.4M-9.6M1.481.6028,31141,991469,458598,963
2023-10-23$91.07$90.0030.2%8.7%27.1%25.3%29.6%4.4%-0.3%-15.5M-17.9M-9.6M0.691.8924,02016,607388,012486,906
2023-10-24$91.85$90.0028.6%8.2%25.7%17.6%28.9%4.1%-0.2%-6.2M-170.0M-9.4M0.951.7810,1429,598408,026496,923
2023-10-25$87.66$90.0031.2%9.0%31.2%30.2%32.5%4.7%-0.3%-30.8M416.3M-9.4M1.253.8216,98721,197413,180501,676
2023-10-26$87.22$90.0032.2%9.3%30.8%37.1%32.3%4.4%-0.3%-32.0M426.2M-9.3M0.882.0311,92810,519419,307503,711
2023-10-27$85.97$90.0032.1%9.2%31.2%38.7%34.3%4.4%-0.5%-44.5M611.5M-9.3M1.232.7413,31716,374425,828509,285
2023-10-30$86.43$90.0031.2%9.1%31.2%35.7%32.3%4.2%-0.2%-32.0M515.9M-9.1M1.965.096,65513,061411,061499,781
2023-10-31$86.27$90.0030.4%8.8%29.6%33.6%30.2%4.3%-0.2%-33.9M540.6M-9.2M1.221.8911,00013,470414,188502,440