TSM Options History — August 2024

In August 2024, TSM traded between $146.56 and $174.52. ATM implied volatility averaged 43.0%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 13.0% (HV 20d: 56.0%). Max pain ranged from $145.00 to $160.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2024-08-02: Highest Volume — 180,074 contracts
2024-08-05: Largest IV spike — 15.5% change
2024-08-02: Highest IV Rank — 100.0%
2024-08-05: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$166.32	$146.56	$174.52	$157.90	$170.27
Max Pain	$156.77	$145.00	$160.00	$145.00	$160.00
ATM IV	43.0%	36.2%	58.9%	47.1%	36.2%
Expected Move	12.2%	10.4%	15.9%	13.9%	10.4%
HV 20d	56.0%	38.8%	64.6%	53.4%	38.8%
HV 60d	45.0%	41.5%	45.9%	41.5%	43.5%
IV Rank	58.8%	38.8%	100.0%	87.1%	38.8%
IV Percentile	81.1%	66.3%	100.0%	96.0%	66.3%
Term Structure	-0.6%	-2.4%	2.4%	-2.4%	-0.1%
VWIV	43.0%	36.1%	54.0%	48.7%	36.1%
Skew 25d	4.6%	2.5%	10.9%	4.0%	2.9%
Skew 10d	10.4%	6.1%	25.7%	8.5%	6.2%
Call IV 25d	40.7%	35.1%	50.6%	45.9%	35.1%
Put IV 25d	45.3%	38.0%	61.5%	49.8%	38.0%
Bid-Ask Spread %	8.08	2.99	24.91	3.62	3.77
Gamma HHI	0.09	0.06	0.18	0.06	0.10
Net GEX	71.7M	-29.1M	153.2M	16.3M	96.9M
Net DEX	-3.46B	-6.56B	205.5M	-1.84B	-3.18B
Net VEX	-30.6M	-34.0M	-27.6M	-31.7M	-28.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.46	1.27	0.99	0.68
Total Volume	104,771.364	52,626	180,074	121,942	71,748
Total OI	1,753,699.273	1,574,763	1,917,060	1,821,554	1,655,992

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
2024-08-01	$157.90	$145.00	47.1%	13.9%	53.4%	87.1%	48.7%	4.0%	-2.4%	16.3M	-1.84B	-31.7M	0.99	3.62	61,355	60,587	842,099	979,455
2024-08-02	$150.04	$149.00	51.0%	15.4%	54.7%	100.0%	54.0%	5.8%	-1.6%	-29.1M	-59.4M	-31.1M	0.82	12.12	98,766	81,308	850,271	990,791
2024-08-05	$146.56	$155.00	58.9%	15.9%	54.4%	100.0%	52.0%	10.9%	-0.5%	-10.5M	205.5M	-31.1M	0.54	12.11	100,246	53,681	807,648	971,631
2024-08-06	$156.81	$155.00	50.0%	13.8%	61.3%	76.0%	48.5%	7.8%	0.1%	36.7M	-2.00B	-32.9M	0.73	7.52	80,088	58,804	852,663	978,255
2024-08-07	$155.63	$155.00	50.6%	13.9%	59.4%	77.7%	48.3%	7.6%	2.4%	30.9M	-1.79B	-33.1M	0.93	7.18	55,376	51,628	873,039	1,004,505
2024-08-08	$164.33	$155.00	47.7%	13.2%	63.2%	69.7%	47.7%	6.7%	-0.9%	82.7M	-3.93B	-34.0M	0.89	6.48	56,894	50,503	887,122	1,014,528
2024-08-09	$167.09	$155.00	45.9%	12.8%	63.3%	64.9%	45.1%	6.5%	-1.3%	112.7M	-4.70B	-33.3M	0.63	4.20	83,365	52,674	896,047	1,021,013
2024-08-12	$167.08	$155.00	44.4%	12.5%	63.3%	60.7%	45.0%	6.5%	-0.5%	91.5M	-4.37B	-32.2M	1.27	16.86	36,346	46,065	861,433	980,596
2024-08-13	$172.31	$155.00	42.7%	11.9%	64.6%	56.2%	43.1%	5.4%	-0.9%	127.0M	-5.77B	-31.8M	0.50	13.26	78,207	39,171	868,526	996,783
2024-08-14	$169.66	$155.00	40.8%	11.4%	58.6%	51.3%	39.4%	5.3%	-0.9%	129.0M	-5.17B	-31.3M	0.57	24.91	52,294	29,688	888,284	999,729
2024-08-15	$174.52	$155.00	38.8%	10.9%	59.5%	45.8%	38.5%	3.7%	-0.9%	153.2M	-6.56B	-30.9M	0.46	13.70	105,101	48,012	890,169	1,003,866
2024-08-16	$174.14	$160.00	37.3%	10.6%	57.7%	41.8%	38.0%	3.2%	-0.6%	139.6M	-6.38B	-30.0M	0.53	6.16	61,991	32,614	887,768	1,009,309
2024-08-19	$174.01	$160.00	37.2%	10.6%	57.2%	41.4%	37.6%	2.8%	-0.0%	96.2M	-4.45B	-29.2M	0.59	8.36	58,317	34,652	684,102	890,661
2024-08-20	$172.38	$160.00	38.8%	11.1%	57.3%	45.7%	39.2%	2.8%	-0.3%	87.2M	-4.05B	-29.2M	0.60	5.63	57,486	34,593	695,153	910,851
2024-08-21	$170.98	$160.00	38.2%	11.0%	53.9%	44.1%	38.4%	2.5%	-2.1%	73.0M	-3.57B	-30.1M	0.63	4.59	45,484	28,877	696,791	925,426
2024-08-22	$166.24	$160.00	40.9%	11.7%	55.0%	51.4%	40.6%	2.9%	0.5%	35.7M	-2.59B	-29.4M	0.59	5.80	69,918	41,567	706,880	937,922
2024-08-23	$170.42	$160.00	39.3%	11.3%	55.6%	47.2%	40.5%	2.5%	-0.6%	61.5M	-3.45B	-29.5M	0.75	2.99	53,650	40,482	702,504	948,386
2024-08-26	$168.83	$160.00	40.8%	11.9%	55.7%	51.0%	42.4%	2.7%	-0.7%	53.7M	-2.98B	-28.9M	0.97	4.80	26,735	25,891	667,392	923,066
2024-08-27	$170.30	$160.00	39.8%	11.7%	53.7%	48.6%	41.3%	2.5%	-0.5%	64.9M	-3.29B	-28.2M	0.91	5.03	37,876	34,455	674,679	934,664
2024-08-28	$170.06	$160.00	41.1%	12.1%	47.8%	51.9%	43.7%	3.1%	-0.7%	66.2M	-3.15B	-28.7M	1.15	4.63	36,760	42,309	680,059	948,857
2024-08-29	$169.50	$160.00	37.6%	10.9%	43.9%	42.5%	38.3%	2.8%	-0.3%	63.0M	-3.07B	-27.6M	0.85	3.99	48,275	41,131	688,911	953,558
2024-08-30	$170.27	$160.00	36.2%	10.4%	38.8%	38.8%	36.1%	2.9%	-0.1%	96.9M	-3.18B	-28.4M	0.68	3.77	42,722	29,026	695,286	960,706