TSM Options History — November 2024 In November 2024, TSM traded between $180.67 and $201.52. ATM implied volatility averaged 36.7%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 3.9% (HV 20d: 40.6%). Max pain ranged from $175.00 to $185.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.63.
Notable Days 2024-11-11 : Highest Volume — 210,305 contracts2024-11-06 : Largest IV drop — 8.5% change2024-11-01 : Highest IV Rank — 51.8%2024-11-01 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $190.11 $180.67 $201.52 $193.86 $185.25 Max Pain $182.25 $175.00 $185.00 $175.00 $185.00 ATM IV 36.7% 31.7% 41.0% 41.0% 31.7% Expected Move 10.6% 9.5% 12.9% 12.9% 9.5% HV 20d 40.6% 29.4% 52.7% 49.6% 30.5% HV 60d 42.5% 41.4% 43.3% 42.2% 41.7% IV Rank 40.0% 26.4% 51.8% 51.8% 26.4% IV Percentile 45.8% 21.0% 65.1% 65.1% 21.0% Term Structure -0.4% -1.6% 0.8% -0.7% 0.1% VWIV 37.8% 33.5% 45.4% 45.4% 33.7% Skew 25d 0.3% -1.0% 1.9% 1.6% -0.5% Skew 10d 3.1% 0.0% 6.7% 3.7% 0.0% Call IV 25d 37.1% 32.2% 40.8% 40.8% 32.2% Put IV 25d 37.3% 31.7% 42.4% 42.4% 31.7% Bid-Ask Spread % 3.01 2.50 3.44 3.40 2.54 Gamma HHI 0.09 0.07 0.14 0.14 0.08 Net GEX 80.9M -54.8M 193.4M 127.1M 55.1M Net DEX -4.16B -7.26B -1.70B -5.38B -3.01B Net VEX -28.2M -29.5M -25.5M -28.3M -28.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.33 0.83 0.61 0.54 Total Volume 134,081.1 84,369 210,305 140,108 107,874 Total OI 1,633,658.55 1,528,083 1,771,986 1,662,661 1,684,725
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 2024-11-01 $193.86 $175.00 41.0% 12.9% 49.6% 51.8% 45.4% 1.6% -0.7% 127.1M -5.38B -28.3M 0.61 3.40 87,073 53,035 729,774 932,887 2024-11-04 $191.65 $175.00 40.7% 11.4% 49.6% 50.9% 40.4% 1.5% -0.3% 91.6M -4.86B -27.6M 0.77 3.44 50,138 38,500 679,102 887,190 2024-11-05 $195.17 $175.00 40.0% 11.2% 49.8% 49.1% 39.8% 1.9% -0.3% 115.0M -5.73B -27.0M 0.67 3.32 58,777 39,194 691,333 899,334 2024-11-06 $193.91 $175.00 36.6% 10.5% 49.9% 39.9% 37.1% 1.2% -0.0% 114.3M -5.32B -27.2M 0.73 2.99 113,540 82,987 699,325 910,237 2024-11-07 $201.26 $180.00 36.1% 10.4% 51.4% 38.5% 36.5% 0.1% 0.4% 187.2M -7.18B -26.7M 0.46 3.27 114,979 52,878 715,078 952,870 2024-11-08 $201.52 $180.00 34.8% 10.1% 50.6% 34.8% 36.1% 0.1% 0.8% 193.4M -7.26B -25.5M 0.61 2.94 106,024 64,694 720,415 959,835 2024-11-11 $193.57 $180.00 36.4% 10.4% 52.7% 39.4% 37.0% 0.4% 0.0% 87.8M -5.12B -26.5M 0.83 2.99 114,845 95,460 670,761 927,451 2024-11-12 $191.14 $185.00 38.3% 11.0% 51.5% 44.4% 38.8% -0.3% -0.2% 74.4M -4.48B -28.5M 0.80 3.21 83,760 67,062 699,983 955,805 2024-11-13 $187.64 $185.00 37.9% 10.9% 51.9% 43.4% 38.8% -0.2% 0.0% 43.6M -3.74B -28.5M 0.73 3.00 97,132 71,233 730,130 989,317 2024-11-14 $188.10 $185.00 37.3% 10.7% 34.2% 41.7% 38.2% -0.3% -0.1% 56.7M -3.85B -29.1M 0.54 3.12 80,394 43,447 752,204 1,008,540 2024-11-15 $185.34 $185.00 39.0% 11.2% 33.0% 46.2% 40.1% 0.7% -0.1% -54.8M -3.20B -29.3M 0.81 3.08 73,342 59,481 756,135 1,015,851 2024-11-18 $187.22 $185.00 38.3% 11.0% 33.4% 44.5% 39.5% -1.0% -1.5% 47.8M -2.98B -29.5M 0.59 3.03 52,942 31,427 620,061 908,022 2024-11-19 $189.69 $185.00 37.6% 10.8% 33.7% 42.6% 39.0% -0.8% -1.5% 75.6M -3.61B -29.1M 0.33 2.74 71,252 23,523 631,205 921,327 2024-11-20 $187.18 $185.00 38.7% 11.1% 33.7% 45.5% 39.2% 0.1% -1.6% 62.3M -3.11B -29.5M 0.63 2.95 63,230 39,819 654,992 928,829 2024-11-21 $191.06 $185.00 36.5% 10.5% 34.6% 39.5% 37.7% 0.4% -1.3% 122.1M -3.96B -29.4M 0.51 3.04 88,324 45,094 668,626 944,161 2024-11-22 $189.98 $185.00 34.8% 10.1% 32.6% 35.1% 36.0% 0.5% -1.3% 146.6M -3.76B -28.7M 0.64 2.96 67,119 42,674 675,373 942,454 2024-11-25 $184.81 $185.00 33.6% 9.9% 30.6% 31.7% 35.3% 0.2% 0.2% 53.5M -2.67B -27.7M 0.64 2.50 63,032 40,243 646,472 914,446 2024-11-26 $183.18 $185.00 32.2% 9.5% 29.8% 27.6% 33.5% -0.3% -0.1% 31.8M -2.26B -28.1M 0.53 2.66 90,534 47,961 660,881 935,326 2024-11-27 $180.67 $185.00 31.8% 9.5% 29.4% 26.6% 33.6% 0.0% 0.0% -13.5M -1.70B -28.5M 0.68 3.10 94,684 63,915 695,553 957,161 2024-11-29 $185.25 $185.00 31.7% 9.5% 30.5% 26.4% 33.7% -0.5% 0.1% 55.1M -3.01B -28.8M 0.54 2.54 70,138 37,736 706,579 978,146
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