TSM Options History — March 2024 In March 2024, TSM traded between $134.66 and $151.01. ATM implied volatility averaged 40.8%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 5.8% (HV 20d: 46.6%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.40.
Notable Days 2024-03-08 : Highest Volume — 554,287 contracts2024-03-07 : Largest IV spike — 12.3% change2024-03-06 : Highest IV Rank — 100.0%2024-03-08 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $139.63 $134.66 $151.01 $134.66 $135.96 Max Pain $120.00 $110.00 $125.00 $110.00 $125.00 ATM IV 40.8% 34.1% 48.3% 34.1% 39.6% Expected Move 12.0% 10.3% 13.9% 10.3% 11.4% HV 20d 46.6% 40.5% 49.0% 40.5% 47.5% HV 60d 39.6% 34.0% 41.5% 34.0% 40.6% IV Rank 78.0% 60.3% 100.0% 72.1% 67.1% IV Percentile 97.0% 85.3% 100.0% 85.3% 95.2% Term Structure 0.6% -1.2% 5.6% -1.1% -0.8% VWIV 44.0% 37.2% 52.9% 37.2% 41.3% Skew 25d -3.5% -7.3% -1.6% -1.9% -1.6% Skew 10d -7.9% -15.6% -2.7% -2.7% -4.8% Call IV 25d 43.7% 36.1% 53.2% 36.1% 41.3% Put IV 25d 40.1% 34.3% 46.9% 34.3% 39.8% Bid-Ask Spread % 7.98 2.50 15.02 6.27 2.50 Gamma HHI 0.09 0.06 0.15 0.15 0.09 Net GEX 106.9M 72.4M 138.5M 138.5M 85.0M Net DEX -5.50B -7.93B -3.96B -5.29B -4.22B Net VEX -20.2M -22.7M -14.5M -14.5M -22.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.23 0.62 0.23 0.38 Total Volume 178,178.85 83,329 554,287 284,603 136,203 Total OI 1,512,843.25 1,288,302 1,723,389 1,291,549 1,593,406
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2024-03-01 $134.66 $110.00 34.1% 10.3% 40.5% 72.1% 37.2% -1.9% -1.1% 138.5M -5.29B -14.5M 0.23 6.27 231,361 53,242 653,121 638,428 2024-03-04 $138.62 $115.00 38.0% 11.2% 41.1% 95.0% 41.1% -3.6% -0.6% 107.8M -5.73B -15.6M 0.24 13.51 210,319 50,349 653,660 634,642 2024-03-05 $134.71 $115.00 37.0% 11.0% 42.8% 88.9% 40.8% -2.7% 1.1% 111.3M -4.92B -17.0M 0.55 5.74 71,950 39,400 700,806 657,538 2024-03-06 $141.77 $115.00 41.0% 11.9% 45.6% 100.0% 43.8% -4.7% 0.0% 121.5M -6.36B -17.1M 0.34 9.64 148,330 50,616 717,914 672,875 2024-03-07 $151.01 $115.00 46.0% 13.5% 47.4% 100.0% 49.6% -7.3% -0.0% 110.7M -7.93B -17.6M 0.28 7.01 243,737 68,464 741,398 689,929 2024-03-08 $147.21 $115.00 48.3% 13.9% 43.6% 100.0% 52.9% -6.3% -1.2% 108.9M -7.37B -18.9M 0.24 15.02 446,268 108,019 797,257 719,266 2024-03-11 $139.47 $120.00 43.2% 13.3% 48.3% 80.8% 49.9% -6.2% 5.6% 115.1M -5.94B -21.8M 0.31 13.13 161,406 50,092 872,998 713,556 2024-03-12 $143.87 $120.00 45.2% 13.6% 48.9% 88.2% 49.8% -6.1% 2.4% 132.8M -6.90B -21.8M 0.40 10.72 131,692 52,561 908,359 732,686 2024-03-13 $141.99 $120.00 43.3% 13.1% 48.0% 80.9% 48.5% -5.6% 2.3% 124.9M -6.50B -21.9M 0.36 13.96 84,607 30,781 932,311 747,040 2024-03-14 $139.58 $120.00 41.6% 12.5% 48.5% 74.6% 48.0% -3.7% 2.7% 114.6M -5.89B -22.5M 0.43 9.57 86,894 37,701 942,071 759,540 2024-03-15 $137.31 $120.00 40.7% 12.2% 49.0% 71.4% 45.9% -3.7% 2.8% 79.8M -5.32B -22.4M 0.62 13.95 94,687 58,804 945,003 778,386 2024-03-18 $137.51 $120.00 42.0% 12.2% 48.2% 76.3% 45.7% -2.9% 0.3% 82.9M -4.42B -21.4M 0.41 3.73 75,982 31,004 792,468 658,412 2024-03-19 $135.18 $120.00 37.9% 11.0% 48.5% 60.6% 40.6% -2.1% 0.9% 72.4M -3.96B -20.2M 0.39 7.87 96,026 37,556 808,900 668,394 2024-03-20 $136.74 $125.00 37.8% 10.8% 48.5% 60.3% 38.8% -1.6% 0.3% 81.5M -4.27B -21.4M 0.53 7.69 54,440 28,889 818,734 676,583 2024-03-21 $139.57 $125.00 39.3% 11.3% 47.2% 66.0% 40.1% -2.3% 0.2% 105.5M -4.98B -20.8M 0.45 5.15 102,921 45,882 830,733 689,349 2024-03-22 $140.65 $125.00 39.4% 11.3% 47.2% 66.3% 41.4% -1.9% 0.5% 126.8M -5.29B -21.9M 0.38 3.43 83,677 32,060 849,694 700,139 2024-03-25 $141.00 $125.00 41.0% 11.8% 47.1% 72.5% 42.4% -2.5% -0.9% 119.5M -5.37B -21.4M 0.41 2.91 77,373 31,747 823,261 664,147 2024-03-26 $139.03 $125.00 40.3% 11.6% 47.2% 69.7% 41.6% -2.1% -0.9% 113.5M -4.98B -21.5M 0.56 3.03 64,520 36,342 855,810 671,877 2024-03-27 $136.83 $125.00 40.2% 11.5% 47.4% 69.2% 41.3% -1.9% -0.9% 84.3M -4.43B -21.9M 0.51 4.73 77,876 39,799 861,343 684,831 2024-03-28 $135.96 $125.00 39.6% 11.4% 47.5% 67.1% 41.3% -1.6% -0.8% 85.0M -4.22B -22.7M 0.38 2.50 98,591 37,612 890,563 702,843
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