TSM Options History — December 2023

In December 2023, TSM traded between $96.72 and $104.97. ATM implied volatility averaged 26.3%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.4% (HV 20d: 22.0%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2023-12-13: Highest Volume — 159,284 contracts
  • 2023-12-18: Largest IV spike — 7.7% change
  • 2023-12-20: Highest IV Rank — 43.4%
  • 2023-12-26: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.55$96.72$104.97$98.50$104.25
Max Pain$95.00$95.00$95.00$95.00$95.00
ATM IV26.3%22.0%30.1%22.0%29.2%
Expected Move8.2%6.7%9.0%6.7%8.8%
HV 20d22.0%16.8%28.6%27.5%19.7%
HV 60d26.9%26.3%27.5%27.1%26.3%
IV Rank23.4%0.7%43.4%0.7%38.3%
IV Percentile19.4%0.4%44.4%0.4%37.7%
Term Structure0.9%-1.7%4.7%0.1%-0.6%
VWIV29.9%23.6%33.5%23.6%33.5%
Skew 25d0.9%-0.0%2.2%1.2%1.2%
Skew 10d2.9%0.8%4.9%3.9%3.6%
Call IV 25d26.4%21.5%30.6%21.5%29.5%
Put IV 25d27.3%22.7%32.1%22.7%30.7%
Bid-Ask Spread %2.501.893.352.712.92
Gamma HHI0.120.090.290.120.14
Net GEX51.8M-8.1M111.2M10.5M62.7M
Net DEX-1.50B-1.94B-588.2M-858.2M-1.76B
Net VEX-10.5M-11.3M-9.2M-9.5M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.191.280.540.96
Total Volume60,138.0531,324159,28434,93831,324
Total OI1,003,739926,0261,077,617984,223978,450

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$98.50$95.0022.0%6.7%27.5%0.7%23.6%1.2%0.1%10.5M-858.2M-9.5M0.542.7122,70612,232458,830525,393
2023-12-04$96.72$95.0023.6%8.0%28.3%9.3%27.7%1.1%1.0%-8.1M-588.2M-9.2M0.192.7183,06016,125440,229518,339
2023-12-05$96.84$95.0023.6%8.0%28.3%9.2%28.0%0.6%1.1%6.8M-735.7M-10.5M0.323.3528,8249,126499,986524,204
2023-12-06$97.63$95.0023.5%7.8%28.4%8.5%28.5%0.7%0.9%23.0M-944.9M-10.4M0.762.3921,69816,584512,443527,857
2023-12-07$99.26$95.0024.4%8.1%28.6%13.4%29.1%0.4%1.0%45.7M-1.25B-10.6M0.482.4055,03426,647517,254531,927
2023-12-08$100.19$95.0022.9%7.9%28.5%5.8%27.9%0.8%1.1%111.2M-1.55B-10.3M0.372.6249,81518,226531,675537,103
2023-12-11$101.06$95.0024.0%8.1%19.2%11.2%29.0%0.4%3.8%48.4M-1.54B-10.3M0.572.3126,63915,099505,740527,196
2023-12-12$101.44$95.0023.8%8.0%18.6%10.3%28.3%0.7%4.1%57.6M-1.66B-10.3M0.312.3335,21611,065510,712528,561
2023-12-13$102.07$95.0023.8%8.1%16.8%10.3%29.7%0.3%4.3%70.8M-1.82B-10.3M0.542.77103,56655,718525,289531,160
2023-12-14$103.44$95.0024.9%8.1%17.3%16.3%32.6%-0.0%4.2%76.1M-1.83B-11.0M1.051.8934,76636,514512,828561,146
2023-12-15$102.50$95.0025.7%8.2%17.8%20.3%28.9%0.0%4.7%64.4M-1.72B-10.7M0.622.1031,60119,719518,252559,365
2023-12-18$103.10$95.0027.7%8.2%17.8%30.6%30.6%0.7%-0.8%54.8M-1.78B-10.5M0.262.3580,66320,665486,340439,686
2023-12-19$103.60$95.0028.0%8.2%17.7%32.2%29.2%0.4%-0.8%67.4M-1.85B-11.0M0.292.3057,15916,443501,135445,581
2023-12-20$100.48$95.0030.1%8.6%20.0%43.4%31.5%2.2%-1.7%43.1M-1.25B-11.2M0.823.2747,99739,467508,720449,597
2023-12-21$102.55$95.0030.1%8.7%21.1%43.2%31.1%1.5%-0.9%49.7M-1.57B-11.3M1.282.1316,01220,566507,008471,835
2023-12-22$103.09$95.0029.6%8.6%20.7%40.7%30.9%1.8%-0.8%56.3M-1.67B-11.1M0.832.4517,20514,272508,706477,343
2023-12-26$104.88$95.0030.1%9.0%21.0%43.3%31.8%1.5%-0.7%63.3M-1.94B-10.6M0.402.1926,01410,339496,221463,096
2023-12-27$104.48$95.0029.9%9.0%21.1%41.9%31.8%1.4%-0.5%63.7M-1.85B-10.6M0.612.4620,30512,412496,791467,650
2023-12-28$104.97$95.0029.4%8.9%20.9%39.6%33.4%1.1%-0.4%68.0M-1.90B-10.5M1.052.2920,46121,477497,401473,731
2023-12-29$104.25$95.0029.2%8.8%19.7%38.3%33.5%1.2%-0.6%62.7M-1.76B-10.6M0.962.9215,96015,364502,866475,584