TSM

$398.73NEUTRAL

spot: 2026/11/15 05:12:46 UTC

analytics: 2026/11/15 16:41:24 UTC

Loading...

Volatility Regime

Macro VCG—— · vcg = —

No dealer regime data yet.

VRP

-0.21

CHEAP

IV (ATM)

40.9%

RV

61.9%

IV Rank

40

1y rank 40

IV %ile 30d

38

Implied Move 30d

7.9%

IV 52w Low

30.3%

IV 52w High

56.5%

RV 52w Low

23.7%

RV 52w High

67.0%

Skew 25Δ

+1.1487

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

-0.82σ

— IV-z— RV-z

Today's snapshot

IV by DTE

Term Structure

— ATM-2 ($392.50)— ATM-1 ($395.00)— ATM ($397.50)— ATM+1 ($400.00)

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

Smile

— 2026-11-13— 2026-11-20— 2026-11-27— 2026-12-04

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

HV / IV

— IV— RV

Last 1y

IV %ile Distribution

48th %ile

30-session bars + smoothed z-overlay

VRP Spread

-0.21 pts | compressing +0.01 pts