TSM Options History — February 2024

In February 2024, TSM traded between $113.94 and $133.61. ATM implied volatility averaged 31.7%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 8.0% (HV 20d: 39.8%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2024-02-08: Highest Volume — 485,408 contracts
  • 2024-02-08: Largest IV spike — 15.4% change
  • 2024-02-15: Highest IV Rank — 79.6%
  • 2024-02-20: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$126.42$113.94$133.61$113.94$128.39
Max Pain$104.75$100.00$110.00$100.00$110.00
ATM IV31.7%25.5%35.4%25.5%30.0%
Expected Move9.1%7.3%10.3%7.3%8.8%
HV 20d39.8%36.2%46.8%37.2%37.8%
HV 60d32.0%29.6%33.5%29.6%33.2%
IV Rank58.3%21.7%79.6%21.7%48.2%
IV Percentile64.7%11.5%92.5%11.5%47.2%
Term Structure-0.5%-1.3%0.3%0.1%-1.3%
VWIV32.7%26.0%37.2%26.0%31.4%
Skew 25d-0.5%-2.7%0.7%0.4%-0.3%
Skew 10d0.1%-5.3%3.7%2.4%-0.1%
Call IV 25d32.7%25.9%36.6%25.9%31.0%
Put IV 25d32.2%26.3%36.1%26.3%30.7%
Bid-Ask Spread %6.223.549.425.946.38
Gamma HHI0.090.070.120.110.08
Net GEX94.3M60.9M124.8M60.9M89.2M
Net DEX-4.16B-6.29B-2.31B-2.31B-3.82B
Net VEX-13.8M-15.6M-10.8M-11.2M-15.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.251.110.780.40
Total Volume124,83061,301485,40867,43184,407
Total OI1,206,046.65998,2341,381,4731,039,1511,262,876

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$113.94$100.0025.5%7.3%37.2%21.7%26.0%0.4%0.1%60.9M-2.31B-11.2M0.785.9437,84729,584512,956526,195
2024-02-02$115.81$100.0025.7%7.5%37.2%22.9%26.5%0.3%0.3%74.4M-2.65B-11.8M0.436.8446,13219,900513,948533,658
2024-02-05$118.63$100.0027.9%7.9%37.5%35.8%28.4%0.3%-0.2%98.5M-3.09B-11.4M0.383.5457,11221,705484,258513,976
2024-02-06$118.84$100.0027.2%7.7%36.9%31.4%28.1%0.7%-0.2%113.8M-3.11B-12.0M0.793.6951,99741,192513,631531,060
2024-02-07$124.88$100.0028.9%8.1%39.4%41.6%29.4%-0.5%-0.7%123.0M-4.26B-10.8M0.454.36174,67377,739518,220548,087
2024-02-08$133.61$100.0033.4%9.3%43.4%67.7%33.1%-2.5%-0.9%87.9M-5.79B-11.2M0.254.76386,90098,508572,458570,939
2024-02-09$132.99$100.0033.0%9.3%43.8%65.8%33.6%-2.7%-0.7%124.8M-6.29B-13.5M0.597.26116,82568,777677,947617,748
2024-02-12$130.91$105.0033.8%9.6%44.9%70.2%34.9%-1.5%-0.2%111.1M-5.44B-13.8M0.425.5092,80738,528656,528617,003
2024-02-13$127.59$105.0034.8%9.9%46.8%76.3%35.2%-1.5%-0.4%103.8M-4.70B-15.2M0.519.3077,84639,599676,985636,562
2024-02-14$129.44$105.0034.4%9.9%46.8%74.1%35.7%-0.5%-0.7%102.1M-5.07B-14.9M0.759.3259,76144,904684,789650,349
2024-02-15$129.45$105.0035.4%10.2%36.2%79.6%36.1%-0.7%-0.3%89.5M-5.02B-15.3M0.419.3560,29724,866687,722675,682
2024-02-16$126.77$105.0035.2%10.1%37.4%78.5%36.8%-0.4%-0.6%65.4M-4.51B-15.2M0.609.4268,65341,025698,255683,218
2024-02-20$125.38$105.0035.0%10.3%37.3%77.5%37.2%0.5%-1.1%78.0M-3.34B-15.2M0.626.5350,24631,037586,069578,144
2024-02-21$124.83$105.0034.7%10.1%37.2%75.5%35.9%-0.0%-0.7%70.5M-3.26B-15.0M1.117.0734,84438,794598,518593,713
2024-02-22$129.72$110.0034.3%9.8%38.8%73.1%35.7%-0.6%-0.6%102.7M-4.22B-14.7M0.334.35142,16646,197613,210611,271
2024-02-23$129.34$110.0031.8%8.9%38.9%58.5%32.1%-0.3%-0.7%101.3M-4.19B-14.9M0.586.2258,78534,279653,622627,760
2024-02-26$130.89$110.0031.9%9.3%38.9%59.1%32.9%-0.4%-0.8%104.1M-4.32B-14.8M0.394.1251,52319,858617,954591,994
2024-02-27$129.20$110.0031.4%9.1%39.4%56.3%32.3%-0.3%-0.6%96.0M-3.98B-15.6M1.034.4530,24231,059626,408603,022
2024-02-28$127.81$110.0030.6%8.8%39.7%51.6%31.7%-0.3%-0.5%89.9M-3.79B-14.9M0.705.9738,92527,061631,589622,609
2024-02-29$128.39$110.0030.0%8.8%37.8%48.2%31.4%-0.3%-1.3%89.2M-3.82B-15.4M0.406.3860,09424,313631,471631,405