TSM Options History — September 2024 In September 2024, TSM traded between $157.19 and $187.39. ATM implied volatility averaged 41.6%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 1.6% (HV 20d: 40.0%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.73.
Notable Days 2024-09-11 : Highest Volume — 192,181 contracts2024-09-16 : Largest IV spike — 8.9% change2024-09-30 : Highest IV Rank — 60.0%2024-09-30 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $170.62 $157.19 $187.39 $160.29 $172.50 Max Pain $163.50 $160.00 $165.00 $160.00 $165.00 ATM IV 41.6% 39.1% 44.1% 41.4% 44.1% Expected Move 12.6% 12.1% 13.8% 12.4% 13.8% HV 20d 40.0% 34.9% 49.3% 44.4% 49.3% HV 60d 46.3% 45.0% 48.5% 45.2% 48.5% IV Rank 53.3% 46.6% 60.0% 52.7% 60.0% IV Percentile 75.8% 67.5% 83.7% 76.6% 83.7% Term Structure 0.6% -1.5% 5.4% -0.4% 1.8% VWIV 44.4% 42.7% 48.5% 43.5% 48.5% Skew 25d 3.4% 2.1% 4.8% 4.7% 2.9% Skew 10d 7.7% 4.9% 12.4% 9.4% 6.5% Call IV 25d 40.2% 36.5% 42.5% 39.3% 42.1% Put IV 25d 43.5% 39.4% 46.3% 44.0% 45.0% Bid-Ask Spread % 8.04 2.50 17.87 3.01 4.02 Gamma HHI 0.10 0.06 0.37 0.07 0.07 Net GEX 70.7M -27.2M 211.0M 6.8M 38.9M Net DEX -2.97B -5.47B -462.1M -1.19B -2.61B Net VEX -25.8M -27.1M -24.5M -26.8M -25.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.18 1.16 1.03 0.90 Total Volume 94,617.25 45,039 192,181 130,820 93,332 Total OI 1,557,407.8 1,319,157 1,678,581 1,578,642 1,374,593
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 2024-09-03 $160.29 $160.00 41.4% 12.4% 44.4% 52.7% 43.5% 4.7% -0.4% 6.8M -1.19B -26.8M 1.03 3.01 64,309 66,511 661,293 917,349 2024-09-04 $160.52 $160.00 40.9% 12.3% 37.6% 51.5% 43.5% 4.2% -0.1% -524.1K -1.21B -26.9M 0.73 2.95 40,794 29,715 675,719 949,683 2024-09-05 $163.04 $165.00 39.9% 12.5% 37.8% 48.7% 43.3% 4.0% -0.1% 14.6M -1.70B -27.1M 0.77 7.79 34,813 26,715 684,048 956,564 2024-09-06 $157.19 $165.00 42.6% 13.2% 34.9% 55.9% 45.0% 4.8% 0.7% -27.2M -462.1M -26.5M 0.84 9.94 65,426 55,163 689,726 960,520 2024-09-09 $162.44 $165.00 42.1% 13.0% 36.5% 54.7% 45.8% 4.7% 2.9% 23.1M -1.62B -26.4M 0.60 7.88 54,746 32,813 661,591 935,856 2024-09-10 $162.48 $160.00 40.9% 12.8% 36.5% 51.3% 46.6% 4.4% 4.2% 36.3M -1.66B -26.4M 0.62 17.87 34,869 21,510 688,210 946,366 2024-09-11 $169.57 $160.00 39.6% 12.7% 38.1% 47.8% 44.2% 3.6% 4.5% 109.1M -3.37B -26.7M 0.18 8.75 162,571 29,610 701,495 953,696 2024-09-12 $171.10 $160.00 39.4% 12.4% 37.8% 47.3% 42.7% 3.3% 4.8% 116.0M -3.45B -26.6M 0.80 11.79 46,595 37,089 683,315 960,963 2024-09-13 $172.93 $160.00 39.1% 12.2% 36.6% 46.6% 43.3% 2.9% 5.4% 116.0M -3.97B -26.4M 0.68 7.92 46,696 31,725 697,432 969,057 2024-09-16 $169.21 $165.00 42.6% 12.6% 37.3% 56.0% 43.8% 4.1% -1.0% 72.4M -2.87B -25.5M 0.76 12.62 57,274 43,594 668,703 949,496 2024-09-17 $167.06 $165.00 43.6% 12.7% 37.6% 58.8% 43.7% 3.7% -1.2% 49.3M -2.35B -25.6M 0.64 15.30 30,581 19,518 677,706 969,325 2024-09-18 $168.25 $165.00 42.6% 12.2% 37.6% 56.0% 42.7% 3.2% -0.6% 60.6M -2.66B -25.4M 0.59 13.88 38,829 22,890 683,259 974,635 2024-09-19 $177.00 $165.00 42.2% 12.2% 41.7% 54.9% 43.8% 2.4% -1.4% 146.9M -4.75B -24.8M 0.68 2.90 67,335 45,524 684,173 975,062 2024-09-20 $174.44 $165.00 42.0% 12.2% 40.7% 54.4% 43.6% 2.4% -1.3% 211.0M -4.04B -25.0M 0.55 13.53 56,850 31,436 692,246 986,335 2024-09-23 $174.81 $165.00 41.0% 12.1% 39.8% 51.8% 43.0% 2.5% -1.1% 72.4M -3.33B -24.5M 1.16 3.16 20,813 24,226 549,328 769,829 2024-09-24 $182.68 $165.00 41.4% 12.4% 42.4% 52.9% 44.5% 2.2% -1.1% 101.3M -4.64B -24.8M 0.50 5.09 78,564 39,208 557,651 783,396 2024-09-25 $181.75 $165.00 41.5% 12.4% 42.4% 52.9% 44.5% 2.1% -1.2% 107.6M -4.53B -25.3M 0.79 2.50 38,411 30,382 574,467 793,597 2024-09-26 $187.39 $165.00 42.2% 12.6% 43.5% 54.8% 45.0% 2.5% -1.4% 125.7M -5.47B -25.0M 1.07 4.14 63,021 67,195 578,523 804,799 2024-09-27 $177.82 $165.00 42.8% 13.1% 48.0% 56.6% 46.2% 3.0% -1.5% 34.0M -3.62B -25.2M 0.71 5.84 82,897 58,795 580,726 827,424 2024-09-30 $172.50 $165.00 44.1% 13.8% 49.3% 60.0% 48.5% 2.9% 1.8% 38.9M -2.61B -25.4M 0.90 4.02 49,155 44,177 563,830 810,763
« Aug 2024 | All History | Oct 2024 » Home TSM History September 2024