TSM Options History — October 2024 In October 2024, TSM traded between $172.01 and $207.48. ATM implied volatility averaged 42.0%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 3.5% (HV 20d: 45.4%). Max pain ranged from $165.00 to $175.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.72.
Notable Days 2024-10-17 : Highest Volume — 932,500 contracts2024-10-17 : Largest IV drop — 10.2% change2024-10-07 : Highest IV Rank — 66.3%2024-10-02 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $191.28 $172.01 $207.48 $172.01 $190.87 Max Pain $172.17 $165.00 $175.00 $165.00 $175.00 ATM IV 42.0% 38.1% 46.4% 44.2% 42.0% Expected Move 12.2% 10.8% 14.1% 14.0% 13.1% HV 20d 45.4% 38.3% 52.8% 43.8% 49.4% HV 60d 46.9% 43.3% 49.3% 48.5% 43.5% IV Rank 54.2% 43.8% 66.3% 60.4% 54.3% IV Percentile 71.5% 55.2% 92.1% 84.1% 69.4% Term Structure -0.6% -2.0% 1.8% 1.4% -0.5% VWIV 43.4% 38.7% 51.0% 51.0% 46.2% Skew 25d 2.1% 0.9% 3.4% 3.4% 2.0% Skew 10d 5.2% 2.6% 7.3% 7.3% 5.9% Call IV 25d 41.1% 37.7% 45.6% 42.4% 41.3% Put IV 25d 43.2% 39.0% 48.5% 45.7% 43.3% Bid-Ask Spread % 7.01 2.15 18.13 4.10 5.56 Gamma HHI 0.08 0.07 0.13 0.07 0.08 Net GEX 110.6M 37.3M 213.6M 37.3M 64.4M Net DEX -5.60B -9.34B -2.57B -2.57B -4.41B Net VEX -25.5M -29.5M -21.2M -25.4M -29.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.33 1.16 0.87 0.57 Total Volume 165,594.348 57,713 932,500 77,661 152,345 Total OI 1,530,129.261 1,409,563 1,788,261 1,409,563 1,642,616
Daily Data (23 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 2024-10-01 $172.01 $165.00 44.2% 14.0% 43.8% 60.4% 51.0% 3.4% 1.4% 37.3M -2.57B -25.4M 0.87 4.10 41,589 36,072 582,440 827,123 2024-10-02 $176.64 $165.00 44.0% 14.1% 44.6% 59.7% 49.6% 2.8% 1.4% 72.2M -3.44B -26.3M 0.40 2.86 63,765 25,551 593,105 834,524 2024-10-03 $179.43 $170.00 44.6% 12.8% 44.6% 61.3% 45.2% 2.6% 1.4% 102.4M -4.14B -25.5M 0.59 12.62 64,738 38,148 606,604 842,426 2024-10-04 $180.75 $170.00 42.6% 12.2% 41.8% 56.0% 42.7% 2.7% 1.8% 111.7M -4.40B -25.1M 0.83 18.13 43,273 35,750 608,445 849,115 2024-10-07 $183.57 $170.00 46.4% 13.0% 40.8% 66.3% 45.3% 2.9% -1.3% 95.6M -4.79B -24.3M 0.79 13.43 50,002 39,518 587,705 829,661 2024-10-08 $185.97 $170.00 46.3% 12.8% 40.8% 65.9% 45.4% 2.4% -1.9% 113.9M -5.17B -24.8M 0.59 13.65 52,811 31,002 598,136 845,760 2024-10-09 $186.50 $170.00 44.2% 12.2% 38.6% 60.2% 42.6% 2.9% -1.7% 144.5M -5.42B -23.6M 0.70 10.78 43,229 30,326 622,365 857,815 2024-10-10 $185.76 $170.00 43.7% 12.2% 38.7% 58.9% 44.1% 3.2% -1.4% 134.9M -5.22B -23.8M 1.05 12.73 28,137 29,576 629,216 865,781 2024-10-11 $190.97 $170.00 41.9% 11.8% 39.5% 54.1% 41.4% 3.0% -1.2% 143.3M -6.31B -22.6M 0.52 4.81 101,502 53,132 631,938 869,385 2024-10-14 $193.11 $170.00 41.4% 11.8% 38.3% 52.8% 42.5% 1.9% -0.3% 123.4M -6.37B -21.8M 1.07 13.96 55,266 59,164 589,075 834,883 2024-10-15 $186.75 $170.00 44.8% 12.8% 40.3% 61.8% 44.6% 2.7% -1.0% 97.7M -4.99B -24.0M 1.14 4.84 75,831 86,780 598,539 860,246 2024-10-16 $186.78 $175.00 45.1% 12.9% 40.3% 62.7% 46.0% 2.2% -0.9% 78.8M -4.91B -24.0M 1.14 4.07 111,343 127,437 617,186 902,411 2024-10-17 $207.48 $175.00 40.5% 11.6% 51.5% 50.3% 42.7% 0.9% 0.7% 164.0M -9.34B -21.2M 0.52 4.33 612,345 320,155 657,230 957,464 2024-10-18 $201.18 $175.00 38.3% 10.9% 52.8% 44.4% 39.1% 1.3% 1.0% 96.4M -7.80B -25.9M 0.80 3.91 172,536 138,670 760,156 1,028,105 2024-10-21 $201.44 $175.00 38.8% 11.0% 52.8% 45.8% 40.0% 1.4% -1.6% 124.2M -6.66B -25.4M 0.59 5.03 78,638 46,153 659,116 849,726 2024-10-22 $198.88 $175.00 38.1% 10.8% 51.4% 43.8% 38.7% 1.1% -1.6% 106.0M -5.97B -27.3M 1.16 3.86 57,903 67,143 677,689 871,266 2024-10-23 $200.48 $175.00 40.0% 11.4% 51.3% 49.0% 40.5% 1.2% -1.6% 119.1M -6.35B -27.5M 0.33 4.40 129,221 42,982 690,310 903,375 2024-10-24 $198.22 $175.00 39.9% 11.7% 50.6% 48.8% 40.8% 1.5% -1.9% 97.3M -5.97B -27.0M 0.41 7.55 69,495 28,492 713,949 910,820 2024-10-25 $204.01 $175.00 39.4% 11.5% 46.9% 47.4% 40.6% 1.7% -2.0% 213.6M -7.44B -27.2M 0.51 2.33 116,861 60,149 721,484 915,947 2024-10-28 $195.41 $175.00 39.5% 12.0% 48.5% 47.6% 42.1% 1.9% -0.6% 83.6M -5.39B -27.2M 0.69 3.84 111,130 76,773 656,065 876,576 2024-10-29 $198.60 $175.00 39.1% 12.0% 48.5% 46.5% 42.2% 1.6% -0.4% 123.2M -6.30B -27.3M 0.58 2.15 68,111 39,548 693,308 905,175 2024-10-30 $194.61 $175.00 40.1% 12.5% 48.8% 49.1% 44.7% 1.6% -0.7% 95.3M -5.32B -28.7M 0.68 2.41 57,196 38,882 703,528 915,184 2024-10-31 $190.87 $175.00 42.0% 13.1% 49.4% 54.3% 46.2% 2.0% -0.5% 64.4M -4.41B -29.5M 0.57 5.56 97,191 55,154 720,030 922,586
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