TSM Options History — July 2024

In July 2024, TSM traded between $154.76 and $190.86. ATM implied volatility averaged 44.7%, placing in the 79.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 6.7% (HV 20d: 38.0%). Max pain ranged from $140.00 to $155.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.64.

Notable Days

2024-07-18: Highest Volume — 621,223 contracts
2024-07-18: Largest IV drop — 10.8% change
2024-07-17: Highest IV Rank — 100.0%
2024-07-17: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$174.24	$154.76	$190.86	$171.81	$166.01
Max Pain	$145.41	$140.00	$155.00	$155.00	$145.00
ATM IV	44.7%	38.5%	50.8%	44.7%	42.3%
Expected Move	12.9%	11.2%	14.6%	13.6%	12.3%
HV 20d	38.0%	29.4%	52.0%	36.0%	52.0%
HV 60d	35.2%	31.9%	40.1%	32.9%	40.1%
IV Rank	79.0%	57.5%	100.0%	78.9%	70.4%
IV Percentile	90.9%	79.0%	100.0%	92.5%	82.5%
Term Structure	-1.0%	-2.5%	1.0%	-0.5%	-1.3%
VWIV	45.2%	39.4%	51.3%	48.0%	42.6%
Skew 25d	0.6%	-2.7%	4.4%	-1.4%	2.4%
Skew 10d	2.4%	-3.9%	9.3%	-1.5%	5.8%
Call IV 25d	44.6%	37.3%	50.7%	45.6%	41.2%
Put IV 25d	45.2%	39.9%	51.5%	44.2%	43.6%
Bid-Ask Spread %	5.18	2.58	15.22	3.02	4.14
Gamma HHI	0.08	0.06	0.11	0.08	0.07
Net GEX	89.5M	-529.4K	176.8M	103.6M	70.9M
Net DEX	-5.54B	-9.48B	-1.09B	-5.61B	-3.76B
Net VEX	-27.4M	-31.7M	-23.3M	-26.4M	-31.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.36	0.97	0.97	0.52
Total Volume	192,753.455	59,954	621,223	81,716	167,079
Total OI	1,707,375.636	1,538,156	1,974,297	1,538,156	1,782,417

Daily Data (22 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
2024-07-01	$171.81	$155.00	44.7%	13.6%	36.0%	78.9%	48.0%	-1.4%	-0.5%	103.6M	-5.61B	-26.4M	0.97	3.02	41,580	40,136	721,267	816,889
2024-07-02	$176.31	$155.00	43.5%	13.5%	36.1%	75.0%	46.9%	-1.2%	-0.3%	134.2M	-6.56B	-25.6M	0.83	3.64	69,316	57,222	730,199	841,402
2024-07-03	$180.96	$155.00	43.0%	13.7%	35.8%	73.4%	48.3%	-2.3%	-0.6%	155.3M	-7.73B	-23.7M	0.71	4.07	80,484	57,313	741,869	853,079
2024-07-05	$184.27	$140.00	44.6%	12.2%	29.5%	78.8%	42.8%	-2.3%	-1.2%	161.4M	-8.39B	-23.3M	0.67	8.66	84,092	56,157	750,865	859,863
2024-07-08	$185.92	$140.00	46.7%	12.8%	29.4%	86.0%	45.2%	-2.7%	-1.5%	133.6M	-8.31B	-24.6M	0.51	8.44	140,387	71,566	732,017	834,407
2024-07-09	$184.72	$140.00	47.1%	12.9%	29.8%	87.2%	45.2%	-2.5%	-1.9%	132.8M	-8.04B	-25.5M	0.39	6.25	132,061	51,269	763,627	857,854
2024-07-10	$190.86	$140.00	46.5%	12.8%	30.7%	85.4%	45.0%	-2.6%	-1.9%	176.8M	-9.48B	-24.5M	0.45	7.83	149,609	67,615	787,025	876,485
2024-07-11	$185.35	$140.00	47.2%	13.0%	32.6%	87.7%	46.0%	-1.8%	-2.3%	126.8M	-8.07B	-25.6M	0.54	7.09	110,393	59,658	796,184	894,589
2024-07-12	$187.62	$140.00	47.4%	13.2%	30.6%	88.4%	46.7%	-1.9%	-2.1%	155.2M	-8.56B	-26.1M	0.45	8.03	117,050	52,534	808,543	910,707
2024-07-15	$185.51	$140.00	48.0%	13.6%	31.1%	90.4%	48.0%	-1.8%	-1.7%	119.9M	-7.99B	-24.5M	0.65	3.15	90,235	58,407	769,121	881,966
2024-07-16	$185.91	$145.00	47.5%	13.5%	31.0%	88.9%	47.7%	-1.7%	-1.9%	121.9M	-8.05B	-26.4M	0.58	3.33	60,078	35,097	797,201	913,256
2024-07-17	$171.94	$145.00	50.8%	14.6%	40.9%	100.0%	51.3%	0.8%	-2.5%	68.6M	-4.79B	-27.3M	0.86	3.44	229,443	197,535	812,432	928,666
2024-07-18	$171.88	$145.00	45.4%	13.1%	40.6%	81.1%	46.1%	3.5%	-1.7%	69.9M	-4.74B	-28.1M	0.81	15.22	343,997	277,226	878,447	994,253
2024-07-19	$165.50	$145.00	45.7%	13.3%	42.2%	82.2%	46.6%	4.4%	-1.8%	-529.4K	-3.22B	-29.3M	0.96	3.62	123,914	119,079	935,061	1,039,236
2024-07-22	$169.48	$150.00	41.4%	12.1%	43.0%	67.5%	42.5%	3.4%	0.2%	68.8M	-3.96B	-28.7M	0.43	3.27	116,494	50,336	768,991	906,365
2024-07-23	$170.02	$150.00	38.5%	11.2%	41.2%	57.5%	39.4%	2.6%	1.0%	86.8M	-4.21B	-28.5M	0.70	3.84	63,636	44,726	794,060	918,767
2024-07-24	$161.30	$145.00	42.4%	12.3%	44.6%	70.9%	42.2%	3.8%	0.8%	23.6M	-2.10B	-28.7M	0.36	2.71	263,426	94,618	802,659	934,625
2024-07-25	$161.06	$145.00	42.1%	12.3%	44.6%	70.0%	42.9%	3.5%	1.0%	14.9M	-2.31B	-31.4M	0.60	3.66	126,919	75,536	852,952	960,490
2024-07-26	$161.41	$145.00	42.1%	12.3%	44.6%	70.0%	42.6%	3.9%	0.8%	19.3M	-2.46B	-31.7M	0.84	4.87	53,698	45,113	855,515	966,191
2024-07-29	$160.74	$145.00	42.3%	12.4%	44.2%	70.7%	42.4%	3.6%	-1.5%	25.8M	-2.35B	-31.1M	0.58	3.19	37,961	21,993	798,571	938,600
2024-07-30	$154.76	$149.00	44.2%	13.1%	45.8%	77.2%	45.3%	3.8%	-1.7%	-99.2K	-1.09B	-29.9M	0.67	2.58	63,237	42,351	806,376	949,175
2024-07-31	$166.01	$145.00	42.3%	12.3%	52.0%	70.4%	42.6%	2.4%	-1.3%	70.9M	-3.76B	-31.7M	0.52	4.14	109,614	57,465	821,406	961,011