TSM Options History — January 2024

In January 2024, TSM traded between $99.52 and $117.09. ATM implied volatility averaged 28.8%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 1.8% (HV 20d: 30.6%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2024-01-18: Highest Volume — 510,135 contracts
  • 2024-01-18: Largest IV drop — 14.7% change
  • 2024-01-12: Highest IV Rank — 62.4%
  • 2024-01-03: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.77$99.52$117.09$100.82$113.15
Max Pain$99.05$95.00$105.00$95.00$105.00
ATM IV28.8%24.4%32.4%30.5%26.3%
Expected Move8.3%7.0%9.8%9.7%7.6%
HV 20d30.6%22.3%40.1%23.2%37.6%
HV 60d28.4%25.6%31.5%27.3%29.7%
IV Rank39.7%15.2%62.4%45.3%26.0%
IV Percentile39.6%6.0%75.8%51.2%16.3%
Term Structure-0.5%-1.2%0.2%-0.6%0.0%
VWIV29.6%25.0%34.6%33.9%27.4%
Skew 25d1.1%0.1%1.9%1.9%0.7%
Skew 10d2.9%1.1%4.6%3.7%1.6%
Call IV 25d28.8%24.7%32.3%29.8%26.5%
Put IV 25d29.9%25.1%34.0%31.8%27.2%
Bid-Ask Spread %3.372.385.952.503.47
Gamma HHI0.110.090.140.110.11
Net GEX56.5M6.3M123.7M28.7M55.0M
Net DEX-1.95B-3.90B-762.7M-1.11B-2.10B
Net VEX-10.6M-12.1M-9.7M-10.2M-11.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.371.281.280.57
Total Volume110,280.47640,646510,13543,20782,231
Total OI1,027,439.238903,5951,287,417957,4541,023,824

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$100.82$95.0030.5%9.7%23.2%45.3%33.9%1.9%-0.6%28.7M-1.11B-10.2M1.282.5018,98224,225492,093465,361
2024-01-03$100.00$95.0030.3%9.8%22.3%44.4%34.6%1.6%-0.7%17.5M-925.9M-10.3M1.022.7521,24421,737496,723478,779
2024-01-04$99.75$95.0031.0%8.5%22.4%47.8%30.4%1.7%-0.8%6.3M-826.2M-10.4M1.043.0519,87620,770496,055491,118
2024-01-05$99.52$95.0030.5%8.4%22.3%46.5%30.1%1.6%-1.1%6.7M-762.7M-10.4M0.823.1225,13220,731498,556495,392
2024-01-08$102.32$95.0031.6%8.8%23.6%53.5%31.3%1.4%-0.5%41.3M-1.35B-10.2M0.772.6526,87120,656493,141488,245
2024-01-09$101.73$95.0032.2%9.0%23.6%60.8%33.7%1.8%-0.8%38.0M-1.24B-10.3M0.802.6431,96125,610501,255496,613
2024-01-10$100.55$95.0032.4%9.0%23.8%62.2%32.9%1.8%-1.0%19.5M-958.0M-10.3M0.652.5428,72918,632511,550515,166
2024-01-11$101.28$95.0031.7%8.8%23.9%57.8%30.4%1.7%-1.1%20.7M-1.09B-10.1M0.692.8748,44433,630519,420524,652
2024-01-12$101.45$95.0032.4%9.0%23.8%62.4%31.9%1.5%-1.2%25.5M-1.11B-10.4M0.692.3875,62551,966530,093539,796
2024-01-16$101.53$95.0031.4%9.0%23.2%56.0%30.9%1.8%-1.1%28.4M-1.19B-9.9M0.834.3636,07729,861535,260546,001
2024-01-17$102.98$95.0031.1%8.9%23.6%54.6%31.8%1.4%-0.8%48.9M-1.51B-9.9M0.684.22123,25683,751547,418553,935
2024-01-18$112.80$95.0026.6%7.6%40.0%27.8%26.9%0.9%-0.0%123.7M-3.83B-9.7M0.395.73366,071144,064600,841591,200
2024-01-19$114.16$100.0026.1%7.5%40.1%25.1%26.8%0.7%0.2%113.1M-3.90B-9.9M0.372.92204,57376,223632,175655,242
2024-01-22$112.68$105.0025.1%7.1%38.5%19.2%25.5%0.6%-0.1%66.5M-2.25B-10.4M1.022.5847,30548,060441,352462,243
2024-01-23$114.45$105.0024.4%7.0%38.3%15.2%25.0%0.4%-0.1%81.8M-2.52B-10.6M1.245.9541,69051,720452,898484,363
2024-01-24$116.78$105.0025.6%7.3%38.6%22.0%26.2%0.3%-0.1%101.4M-3.00B-10.5M0.483.80111,67553,776469,730507,177
2024-01-25$116.88$105.0026.5%7.6%38.5%27.2%27.8%0.3%-0.3%98.6M-2.92B-11.8M0.492.6459,70729,017493,768530,409
2024-01-26$117.09$105.0025.7%7.4%38.3%22.8%26.6%0.1%-0.0%97.7M-3.03B-11.2M0.544.1349,98927,168505,296539,238
2024-01-29$116.94$105.0026.5%7.8%38.4%27.3%28.3%0.6%-0.2%85.0M-2.77B-11.5M0.713.0834,28124,245477,804490,957
2024-01-30$116.30$105.0026.8%8.0%38.4%29.4%28.8%0.5%0.0%82.1M-2.64B-12.1M0.473.3838,36017,969493,116507,969
2024-01-31$113.15$105.0026.3%7.6%37.6%26.0%27.4%0.7%0.0%55.0M-2.10B-11.4M0.573.4752,52429,707506,357517,467