TSEM

$146.89NEUTRAL

spot: 2026/11/13 21:00:40 UTC

analytics: 2026/11/15 16:41:31 UTC

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Volatility Regime

Macro VCG—— · vcg = —

No dealer regime data yet.

VRP

-0.30

CHEAP

IV (ATM)

83.9%

RV

113.7%

IV Rank

48

1y rank 48

IV %ile 30d

34

Implied Move 30d

16.2%

IV 52w Low

50.8%

IV 52w High

144.8%

RV 52w Low

35.5%

RV 52w High

118.2%

Skew 25Δ

+8.9402

IV materially below RV — long-vol structures favored.

Building 1-year history… (≤30s)

Analytical time series

IV / IV-of-IV

— IV (L)— IV-of-IV (R)

Analytical time series

RV / SPY-corr-1m

— RV (L)— SPY-corr-21 (R)

20 sessions

Regime Quadrant

GoldilocksFragile CalmStock PickerSystemic Panic

Systemic Panic: high vol, high corr — broad de-risking

20-session overlay

IV-z vs RV-z

-2.57σ

— IV-z— RV-z

Today's snapshot

IV by DTE

Term Structure

— ATM-2 ($135.00)— ATM-1 ($140.00)— ATM ($145.00)— ATM+1 ($150.00)

Today's IV by strike — one curve per expiration date

Smile

— 2026-10-16— 2026-10-23— 2026-10-30— 2026-11-06

IV (fwd ~30d) vs RV (trailing 21d) — lag is the VRP

HV / IV

— IV— RV

Last 1y

IV %ile Distribution

52th %ile

30-session bars + smoothed z-overlay

VRP Spread

-0.30 pts | widening -0.01 pts