TSEMTower Semiconductor Ltd
TSEM Options Overview
IV is elevated with bearish flow and unusual activity. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
TSEM Gamma Walls
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 89.7% — elevated vs history
IV/HV 0.78x — IV ≤ HV
Sector percentile 78% — above sector median
Front/Back 0.87x — contango
Put/Call IV 1.16x — elevated
ATM IV 71.0% — normal range
Effective IV 122.0% (ATM 71.0% + spread 25.5% + bias) — expensive
Total drag 41.31% (spread 25.52% + slippage 15.79%) — high friction
Vega efficiency 4.41 (vega 11.245 / spread 25.52%) — spread drag
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -6% (neutral) — Raw: -7%
|OI skew| 9.2% — balanced
Vol skew -34.7%, OI skew +9.2% — divergent (opposite)
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: -8%, ATM: +47%, OTM: -20% — bullish (ITM/ATM divergent)
Sector P/C percentile 90% — very bearish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 0.9x avg — normal
Vol/OI 5.3% — normal turnover
1 day(s) elevated — may be one-day event
OI change +22.2% (5d) — building
Sector activity percentile 68% — active vs sector
Large trade volume 32% — institutional presence
Aggressive execution 36% — patient
Conviction -6 (bearish) — mixed
Liquidity
Can I trade efficiently?
Evaluates
Spread 25.5% — wide
OI 75,932 — deep
Volume 4,013/day — adequate
$1.28 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 87% — much wider than sector
Depth 104.9 contracts (bid:50.6 ask:54.3) — adequate
Avg slippage 15.79% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -13.4% — contango
IV percentile 90% — seller opportunity
IV kink -4.8pts — no clear event
θ/ν ratio 18.13 — favors income trades
4 liquid expirations — flexible
safe window: No events detected
Spread ratio 1.00x — stable
Flow -6% @ 53% consistency — unclear
Score 62 (ITM 20% + inst 32%) — HIGH institutional
Directional Strategy Fit
For educational purposes only. Not investment advice.
The Options Desk tracks the move options price into every US earnings report the week of Aug 31, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.