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TSM options analytics

TSM · Stock

Data as of 24 September 2026 (end of day)

TSM options are pricing a 30-day at-the-money volatility of 33.0%, a move of about ±9.5% over the next month. Its history here is 4 sessions, short of the 180 a percentile needs, so this reading is not yet ranked against its own past.

Its 25-delta puts carry 0.50 volatility points more than the calls.

Longer-dated options carry more: 90-day volatility is 5% above 30-day.

Its next earnings report is 2026-10-15, before the open.

Current readings

30-day ATM implied volatilityⓘ
32.98%

Prices a move of about ±9.5% over 30 days, or ±2.1% on a typical day.

25-delta risk reversalⓘ
+0.50

Puts carry 0.50 volatility points more than calls the same distance from the money.

25-delta butterflyⓘ
+0.39

The wings carry 0.39 volatility points more than at-the-money.

Term structure slopeⓘ
1.051

90-day volatility is 5% above 30-day.

Where 30-day implied volatility sits

Against 4 prior sessions (one-year window)

Not enough history in this window to place the current reading.

IV percentile, 1 year
—
IV rank, 1 year
—
IV percentile, 2 years
—
IV rank, 2 years
—

Rank is the position between the lowest and highest readings in the window, so a single past extreme pins everything after it near one end. Percentile is the share of sessions below the current reading and is unaffected by how far that extreme reached. Both are withheld when the window holds fewer than 180 sessions.

Session detail

Underlying close
$451.15
30-day implied forward
$451.36
60-day ATM IV
34.24%
90-day ATM IV
34.67%
180-day ATM IV
36.67%
Expirations used
15
Total open interest
1,317,068
Put / call open interest
0.90

The forward is derived from put-call parity on the strikes nearest the money, not taken from the underlying close. It is what every moneyness and delta on this page is measured against.

30-day at-the-money implied volatility

Last 4 sessions

33%33%33%33%34%2026-09-21 — 30-day ATM IV 33%2026-09-22 — 30-day ATM IV 33%2026-09-23 — 30-day ATM IV 33%2026-09-24 — 30-day ATM IV 33%21 Sep22 Sep23 Sep24 Sep
Show the underlying numbers (most recent 4)
Session30-day ATM IV25-delta RRTerm slopeClose
2026-09-2432.98%+0.501.051$451.15
2026-09-2333.03%+0.461.042$446.57
2026-09-2233.31%+0.141.030$452.00
2026-09-2133.45%-0.091.029$445.14

The chart covers every session in the archive, 4 in total. The table lists the most recent 4.

25-delta risk reversal

Last 4 sessions

-0.20.00.20.40.62026-09-21 — 25-delta RR (volatility points) -0.12026-09-22 — 25-delta RR (volatility points) 0.12026-09-23 — 25-delta RR (volatility points) 0.52026-09-24 — 25-delta RR (volatility points) 0.521 Sep22 Sep23 Sep24 Sep

The dashed line marks zero, where the 25-delta put and call carry the same implied volatility.

Skew curve

Implied volatility by delta, front expirations

Implied volatility by delta

1d (2026-09-25) · 8d (2026-10-02) · 15d (2026-10-09)

28%30%32%34%36%2026-09-25 (1d) — 5Δ C — IV 33.32%2026-09-25 (1d) — 10Δ C — IV 32.55%2026-09-25 (1d) — 15Δ C — IV 32.05%2026-09-25 (1d) — 20Δ C — IV 31.66%2026-09-25 (1d) — 25Δ C — IV 31.39%2026-09-25 (1d) — 30Δ C — IV 31.22%2026-09-25 (1d) — 35Δ C — IV 31.12%2026-09-25 (1d) — 40Δ C — IV 31.08%2026-09-25 (1d) — 45Δ C — IV 31.07%2026-09-25 (1d) — ATM — IV 31.04%2026-09-25 (1d) — 45Δ P — IV 31.00%2026-09-25 (1d) — 40Δ P — IV 30.94%2026-09-25 (1d) — 35Δ P — IV 30.88%2026-09-25 (1d) — 30Δ P — IV 30.82%2026-09-25 (1d) — 25Δ P — IV 30.79%2026-09-25 (1d) — 20Δ P — IV 30.97%2026-09-25 (1d) — 15Δ P — IV 31.43%2026-09-25 (1d) — 10Δ P — IV 32.36%2026-09-25 (1d) — 5Δ P — IV 34.64%1d2026-10-02 (8d) — 5Δ C — IV 31.34%2026-10-02 (8d) — 10Δ C — IV 30.62%2026-10-02 (8d) — 15Δ C — IV 30.17%2026-10-02 (8d) — 20Δ C — IV 29.94%2026-10-02 (8d) — 25Δ C — IV 29.93%2026-10-02 (8d) — 30Δ C — IV 29.89%2026-10-02 (8d) — 35Δ C — IV 30.16%2026-10-02 (8d) — 40Δ C — IV 30.23%2026-10-02 (8d) — 45Δ C — IV 29.92%2026-10-02 (8d) — ATM — IV 29.88%2026-10-02 (8d) — 45Δ P — IV 29.95%2026-10-02 (8d) — 40Δ P — IV 30.21%2026-10-02 (8d) — 35Δ P — IV 30.50%2026-10-02 (8d) — 30Δ P — IV 30.26%2026-10-02 (8d) — 25Δ P — IV 30.63%2026-10-02 (8d) — 20Δ P — IV 30.65%2026-10-02 (8d) — 15Δ P — IV 30.91%2026-10-02 (8d) — 10Δ P — IV 32.10%2026-10-02 (8d) — 5Δ P — IV 33.71%8d2026-10-09 (15d) — 5Δ C — IV 31.29%2026-10-09 (15d) — 10Δ C — IV 30.67%2026-10-09 (15d) — 15Δ C — IV 30.11%2026-10-09 (15d) — 20Δ C — IV 30.04%2026-10-09 (15d) — 25Δ C — IV 29.74%2026-10-09 (15d) — 30Δ C — IV 29.83%2026-10-09 (15d) — 35Δ C — IV 29.58%2026-10-09 (15d) — 40Δ C — IV 29.52%2026-10-09 (15d) — 45Δ C — IV 29.79%2026-10-09 (15d) — ATM — IV 29.42%2026-10-09 (15d) — 45Δ P — IV 29.42%2026-10-09 (15d) — 40Δ P — IV 29.18%2026-10-09 (15d) — 35Δ P — IV 29.41%2026-10-09 (15d) — 30Δ P — IV 29.41%2026-10-09 (15d) — 25Δ P — IV 30.25%2026-10-09 (15d) — 20Δ P — IV 30.24%2026-10-09 (15d) — 15Δ P — IV 30.88%2026-10-09 (15d) — 10Δ P — IV 31.93%2026-10-09 (15d) — 5Δ P — IV 34.48%15d10Δ C25Δ CATM25Δ P10Δ Pout-of-the-money calls ← delta → out-of-the-money puts

The axis is call delta. Readings to the right of the dashed centre line are taken from the out-of-the-money put at that strike, which is the contract whose quote the volatility was solved from. Points are only plotted where surviving quotes bracket the delta on both sides; nothing is extrapolated past the last traded strike.

Show the underlying numbers
Delta1d8d15d
5Δ call33.32%31.34%31.29%
10Δ call32.55%30.62%30.67%
15Δ call32.05%30.17%30.11%
20Δ call31.66%29.94%30.04%
25Δ call31.39%29.93%29.74%
30Δ call31.22%29.89%29.83%
35Δ call31.12%30.16%29.58%
40Δ call31.08%30.23%29.52%
45Δ call31.07%29.92%29.79%
ATM31.04%29.88%29.42%
45Δ put31.00%29.95%29.42%
40Δ put30.94%30.21%29.18%
35Δ put30.88%30.50%29.41%
30Δ put30.82%30.26%29.41%
25Δ put30.79%30.63%30.25%
20Δ put30.97%30.65%30.24%
15Δ put31.43%30.91%30.88%
10Δ put32.36%32.10%31.93%
5Δ put34.64%33.71%34.48%

Wing readings by expiration

ExpirationDaysForwardATM IV25Δ put25Δ callRRButterflyQuotes
2026-09-251$449.8231.04%30.79%31.39%-0.60+0.0533
2026-10-028$450.1829.88%30.63%29.93%+0.69+0.4052
2026-10-0915$450.7529.42%30.25%29.74%+0.51+0.5853
2026-10-1622$451.0833.64%34.59%33.88%+0.71+0.5954
2026-10-2329$451.2832.97%33.66%33.13%+0.53+0.4243
2026-10-3036$451.8333.04%33.46%33.12%+0.34+0.2546
2026-11-0643$451.7833.41%33.44%33.24%+0.19-0.0728
2026-11-2057$453.0734.22%34.56%34.30%+0.26+0.2137
2026-12-1885$453.5634.38%34.65%34.85%-0.20+0.3742
2027-01-15113$455.5735.67%35.48%35.86%-0.38-0.0043
2027-02-19148$457.6135.86%35.97%36.38%-0.41+0.3145
2027-03-19176$458.8336.54%36.27%36.85%-0.58+0.0244
2027-04-16204$459.8237.36%37.04%37.65%-0.62-0.0239
2027-06-17266$463.5137.64%37.47%38.36%-0.88+0.2749
2027-09-17358$468.6438.66%38.51%39.01%-0.50+0.1051

Each curve above is one expiration. The vertical position is implied volatility; the horizontal position is the delta of the contract it was read from. For US equities the curve normally slopes upward to the right, meaning out-of-the-money puts carry higher implied volatility than equidistant calls.

The 25-delta risk reversal summarises that slope as a single number: the 25-delta put volatility minus the 25-delta call volatility. The butterfly summarises the curvature: the average of the two wings minus the at-the-money reading.

Term structure

At-the-money implied volatility by expiration

At-the-money implied volatility by expiration

15 listed expirations produced a usable reading

28%30%32%34%36%38%40%2026-09-25 — 1 days — at-the-money IV 31.04%2026-10-02 — 8 days — at-the-money IV 29.88%2026-10-09 — 15 days — at-the-money IV 29.42%2026-10-16 — 22 days — at-the-money IV 33.64%2026-10-23 — 29 days — at-the-money IV 32.97%2026-10-30 — 36 days — at-the-money IV 33.04%2026-11-06 — 43 days — at-the-money IV 33.41%2026-11-20 — 57 days — at-the-money IV 34.22%2026-12-18 — 85 days — at-the-money IV 34.38%2027-01-15 — 113 days — at-the-money IV 35.67%2027-02-19 — 148 days — at-the-money IV 35.86%2027-03-19 — 176 days — at-the-money IV 36.54%2027-04-16 — 204 days — at-the-money IV 37.36%2027-06-17 — 266 days — at-the-money IV 37.64%2027-09-17 — 358 days — at-the-money IV 38.66%7306090180days to expiration

The horizontal axis is the square root of days to expiration, which is the scale volatility lives on. A curve that is flat in variance terms plots as a straight line here rather than bending sharply through the front week.

Show the underlying numbers
ExpirationDaysForwardATM IVATM strikeQuotes used
2026-09-251 day$449.8231.04%$449.8833
2026-10-028 days$450.1829.88%$450.6252
2026-10-0915 days$450.7529.42%$451.5553
2026-10-1622 days$451.0833.64%$452.6254
2026-10-2329 days$451.2832.97%$453.2343
2026-10-3036 days$451.8333.04%$454.2746
2026-11-0643 days$451.7833.41%$454.7628
2026-11-2057 days$453.0734.22%$457.2337
2026-12-1885 days$453.5634.38%$459.8542
2027-01-15113 days$455.5735.67%$464.6343
2027-02-19148 days$457.6135.86%$469.7045
2027-03-19176 days$458.8336.54%$473.8344
2027-04-16204 days$459.8237.36%$478.1139
2027-06-17266 days$463.5137.64%$488.0749
2027-09-17358 days$468.6438.66%$504.2851

Constant maturities

Interpolated between the bracketing listed expirations, in total variance

30 days
32.98%
60 days
34.24%
90 days
34.67%
180 days
36.67%

Interpolation is linear in total variance, not in volatility. Interpolating volatility directly implies a forward variance that can be negative between two expirations. A tenor beyond the longest listed expiration is reported as unavailable rather than extrapolated.

Term structure slope

Last 4 sessions

0.981.001.021.041.062026-09-21 — 90-day over 30-day 1.032026-09-22 — 90-day over 30-day 1.032026-09-23 — 90-day over 30-day 1.042026-09-24 — 90-day over 30-day 1.0521 Sep22 Sep23 Sep24 Sep

The dashed line marks 1.00, where the 90-day and 30-day at-the-money volatilities are equal. Above it the longer tenor carries the higher volatility.

The term structure is the at-the-money implied volatility of each listed expiration, plotted against how far away that expiration is. Its usual shape for a calm underlying slopes gently upward, because a longer horizon admits more uncertainty.

It inverts when the market prices a dated event: an expiration that captures a scheduled announcement carries the variance of that event on top of ordinary trading, so a shorter contract can print a higher volatility than a longer one.

Earnings

What the options priced in before each report, and what happened

Next report

2026-10-15Before the openAnnounced