TSM Options History — June 2024

In June 2024, TSM traded between $152.03 and $179.95. ATM implied volatility averaged 40.0%, placing in the 65.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 5.1% (HV 20d: 34.9%). Max pain ranged from $125.00 to $155.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.70.

Notable Days

2024-06-12: Highest Volume — 561,147 contracts
2024-06-14: Largest IV spike — 12.4% change
2024-06-18: Highest IV Rank — 100.0%
2024-06-18: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$169.09	$152.03	$179.95	$154.24	$173.89
Max Pain	$146.05	$125.00	$155.00	$125.00	$155.00
ATM IV	40.0%	32.3%	50.7%	32.3%	44.9%
Expected Move	12.1%	9.7%	14.7%	9.7%	13.3%
HV 20d	34.9%	28.9%	38.4%	28.9%	36.4%
HV 60d	32.4%	31.6%	33.5%	32.1%	32.9%
IV Rank	65.4%	39.5%	100.0%	39.5%	79.6%
IV Percentile	86.7%	67.9%	100.0%	67.9%	93.7%
Term Structure	0.9%	-1.4%	6.3%	0.4%	-1.1%
VWIV	42.7%	33.7%	53.8%	34.1%	46.9%
Skew 25d	-1.2%	-3.3%	0.8%	0.2%	-2.1%
Skew 10d	-1.1%	-4.4%	2.6%	2.6%	-3.1%
Call IV 25d	41.1%	32.1%	53.8%	32.1%	46.8%
Put IV 25d	39.9%	32.3%	50.7%	32.3%	44.7%
Bid-Ask Spread %	5.96	2.67	13.38	3.47	3.12
Gamma HHI	0.09	0.07	0.21	0.09	0.09
Net GEX	125.0M	71.3M	205.8M	97.5M	126.4M
Net DEX	-6.60B	-8.66B	-4.66B	-5.24B	-6.19B
Net VEX	-22.2M	-26.5M	-18.8M	-19.3M	-25.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.28	1.21	0.41	0.92
Total Volume	185,837.158	80,802	561,147	131,618	97,636
Total OI	1,643,852.632	1,517,613	1,828,173	1,551,070	1,617,182

Daily Data (19 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
2024-06-03	$154.24	$125.00	32.3%	9.7%	28.9%	39.5%	34.1%	0.2%	0.4%	97.5M	-5.24B	-19.3M	0.41	3.47	93,362	38,256	680,814	870,256
2024-06-04	$152.03	$125.00	32.3%	9.7%	29.7%	39.6%	33.7%	0.8%	0.5%	95.8M	-4.66B	-19.5M	1.06	3.59	43,229	45,810	692,617	887,631
2024-06-05	$162.14	$125.00	33.5%	10.1%	36.4%	44.1%	35.9%	-0.8%	0.2%	156.3M	-6.94B	-19.3M	0.47	3.95	168,634	79,377	699,292	909,193
2024-06-06	$162.24	$145.00	33.7%	10.8%	36.4%	44.8%	38.2%	-0.5%	0.6%	155.4M	-7.07B	-19.6M	0.77	12.33	76,835	59,428	724,617	925,687
2024-06-07	$164.14	$145.00	32.7%	10.6%	36.2%	41.0%	37.3%	-0.7%	0.7%	205.8M	-7.58B	-18.8M	0.55	6.64	130,114	72,144	743,148	952,796
2024-06-10	$167.94	$145.00	33.8%	11.0%	34.2%	45.2%	38.7%	-0.6%	4.2%	126.6M	-7.66B	-19.6M	0.40	10.64	117,719	46,870	696,486	917,810
2024-06-11	$165.84	$145.00	34.3%	11.2%	34.0%	47.2%	39.4%	-0.4%	4.5%	134.2M	-7.43B	-20.1M	0.75	8.41	56,505	42,515	739,583	931,605
2024-06-12	$171.97	$145.00	34.0%	11.0%	34.5%	45.8%	38.6%	-0.1%	4.3%	144.1M	-8.66B	-19.3M	0.28	5.53	439,119	122,028	747,110	949,097
2024-06-13	$173.08	$145.00	35.7%	11.3%	33.8%	52.5%	40.1%	-0.9%	4.4%	140.0M	-6.70B	-21.0M	0.52	13.38	86,708	45,465	647,929	994,534
2024-06-14	$172.37	$145.00	40.2%	12.7%	32.9%	69.2%	44.6%	-0.6%	6.3%	148.0M	-6.61B	-21.4M	0.90	3.43	66,602	60,172	667,566	1,006,655
2024-06-17	$177.85	$150.00	44.7%	13.3%	33.8%	86.5%	46.6%	-1.6%	-0.7%	126.1M	-7.48B	-21.2M	0.43	5.27	127,494	54,706	656,323	993,067
2024-06-18	$179.95	$150.00	50.2%	14.7%	33.8%	100.0%	51.7%	-3.3%	-1.0%	133.7M	-7.73B	-23.8M	0.41	5.40	316,469	129,044	681,999	1,012,018
2024-06-20	$177.07	$155.00	50.7%	14.6%	34.7%	100.0%	53.8%	-2.7%	-0.4%	128.7M	-7.31B	-25.8M	0.58	5.30	176,555	102,871	743,936	1,039,675
2024-06-21	$174.05	$155.00	47.8%	13.8%	35.7%	89.8%	49.0%	-2.4%	-1.4%	104.8M	-6.66B	-24.5M	0.99	8.48	89,529	88,267	775,112	1,053,061
2024-06-24	$168.31	$155.00	45.2%	13.1%	38.3%	80.7%	47.0%	-1.6%	-0.5%	71.3M	-4.74B	-26.4M	1.12	5.48	79,633	88,882	694,002	823,611
2024-06-25	$171.84	$155.00	43.6%	12.6%	38.4%	75.4%	44.1%	-2.3%	-0.8%	87.3M	-5.55B	-25.7M	1.21	3.18	52,411	63,428	712,645	860,567
2024-06-26	$171.86	$155.00	45.5%	13.2%	38.2%	81.8%	46.6%	-1.8%	-1.0%	93.5M	-5.58B	-26.5M	0.73	3.08	46,755	34,047	728,402	854,479
2024-06-27	$171.82	$155.00	44.7%	13.1%	36.8%	79.2%	45.8%	-1.8%	-1.2%	99.0M	-5.71B	-25.3M	0.82	2.67	50,718	41,569	745,340	857,355
2024-06-28	$173.89	$155.00	44.9%	13.3%	36.4%	79.6%	46.9%	-2.1%	-1.1%	126.4M	-6.19B	-25.5M	0.92	3.12	50,870	46,766	757,324	859,858