TSM Options History — November 2023

In November 2023, TSM traded between $87.82 and $100.13. ATM implied volatility averaged 24.8%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 6.9% (HV 20d: 31.7%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2023-11-10: Highest Volume — 152,808 contracts
  • 2023-11-22: Largest IV drop — 10.3% change
  • 2023-11-01: Highest IV Rank — 16.9%
  • 2023-11-02: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.97$87.82$100.13$87.82$97.07
Max Pain$94.76$90.00$95.00$90.00$95.00
ATM IV24.8%21.8%27.7%27.7%22.1%
Expected Move7.3%6.4%7.9%7.9%6.7%
HV 20d31.7%28.1%36.8%29.7%29.2%
HV 60d27.5%25.7%28.9%25.7%27.4%
IV Rank4.3%0.0%16.9%16.9%1.2%
IV Percentile2.8%0.0%10.7%10.7%1.2%
Term Structure0.1%-0.8%1.8%0.2%0.2%
VWIV26.0%22.9%28.4%27.8%23.5%
Skew 25d2.2%1.1%3.7%3.7%1.3%
Skew 10d5.0%2.7%8.3%7.4%2.8%
Call IV 25d24.0%21.6%26.1%26.1%21.8%
Put IV 25d26.2%23.0%29.8%29.8%23.1%
Bid-Ask Spread %4.181.4914.172.362.54
Gamma HHI0.120.080.230.100.12
Net GEX11.2M-27.7M50.5M-27.7M-7.0M
Net DEX-747.1M-1.41B326.5M326.5M-645.1M
Net VEX-9.1M-9.4M-8.8M-9.1M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.361.541.531.09
Total Volume44,824.8114,395152,80826,76722,970
Total OI970,587.429893,3641,057,116933,247978,025

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$87.82$90.0027.7%7.9%29.7%16.9%27.8%3.7%0.2%-27.7M326.5M-9.1M1.532.3610,59716,170423,715509,532
2023-11-02$90.81$95.0026.6%7.9%31.8%9.9%27.0%3.6%0.1%-9.1M-140.5M-9.2M0.801.7420,87616,691428,595520,271
2023-11-03$92.06$95.0025.9%7.9%31.0%5.4%28.4%3.2%0.1%8.2M-313.8M-9.2M1.522.2718,45728,127436,720524,134
2023-11-06$92.31$95.0026.1%7.9%30.9%6.6%27.9%3.3%1.7%-4.2M-286.7M-9.2M0.731.5820,63215,110430,893522,930
2023-11-07$92.73$95.0025.5%7.3%30.6%3.0%27.8%3.2%-0.0%-372.7K-362.6M-9.1M1.541.698,63813,328437,474527,418
2023-11-08$92.16$95.0025.8%7.9%30.5%5.1%27.2%3.3%1.8%-6.7M-267.9M-9.1M1.492.275,7778,618438,144530,349
2023-11-09$91.78$95.0026.3%7.9%30.3%8.2%27.1%3.3%1.5%-13.4M-204.6M-9.0M0.511.9734,65517,504440,086534,541
2023-11-10$97.56$95.0026.5%7.6%35.9%9.2%28.2%2.1%0.1%32.7M-1.19B-9.2M0.362.20112,36940,439450,834538,577
2023-11-13$96.45$95.0026.9%7.8%36.1%11.6%27.8%2.5%-0.8%21.3M-919.5M-9.4M0.921.4924,33222,454459,590538,562
2023-11-14$98.80$95.0025.7%7.4%36.8%4.4%26.2%2.2%-0.3%47.2M-1.34B-9.3M0.372.0040,45414,932468,497546,298
2023-11-15$98.95$95.0025.3%7.3%36.0%1.9%25.9%2.1%-0.2%50.5M-1.41B-9.2M0.908.3929,85926,960477,717553,005
2023-11-16$98.81$95.0024.8%7.1%34.0%0.0%25.1%1.8%-0.4%47.8M-1.33B-9.2M0.782.1121,74616,903483,950560,928
2023-11-17$99.38$95.0024.9%7.2%33.3%0.6%26.3%1.8%-0.5%35.9M-1.37B-9.2M0.7714.1733,08125,631485,412571,704
2023-11-20$100.13$95.0024.6%7.3%33.2%0.0%25.9%1.1%-0.3%18.4M-1.16B-8.8M0.488.1829,23214,036410,440482,924
2023-11-21$98.34$95.0025.0%7.4%34.1%2.3%25.8%1.3%-0.7%9.9M-900.3M-9.0M0.425.8038,53116,283430,640491,316
2023-11-22$98.75$95.0022.4%6.6%28.5%0.0%24.1%1.5%-0.1%14.6M-968.7M-9.1M0.708.1029,57820,568446,580500,895
2023-11-24$97.81$95.0021.8%6.4%28.8%0.0%22.9%1.1%-0.2%-1.5M-811.6M-9.0M0.725.6711,9098,589456,632510,243
2023-11-27$97.16$95.0022.4%6.8%28.2%3.1%24.2%1.3%0.2%-1.3M-686.6M-8.8M1.125.0321,81524,471434,139490,804
2023-11-28$97.70$95.0022.0%6.7%28.2%0.7%23.6%1.4%0.1%2.6M-751.6M-9.2M1.042.569,6089,996443,209506,370
2023-11-29$98.88$95.0022.0%6.7%28.1%0.9%23.8%1.4%0.1%17.0M-959.8M-9.3M1.095.5818,82920,566448,471511,772
2023-11-30$97.07$95.0022.1%6.7%29.2%1.2%23.5%1.3%0.2%-7.0M-645.1M-9.2M1.092.5410,99411,976454,834523,191