What move does the options market price into TSMC's report?

Implied ±1.4%, either direction.

TSMNYSESemiconductors & Related Devices

Taiwan Semiconductor Manufacturing Co Ltd (TSM) earnings date, market-implied expected move, and options open interest by expiry

395.20

−9.60 · −2.37%

post 391.55 −0.92%

Closed19:59 ET

Open406.29Volume14.3MMkt cap$2.1TP/E38.85Div yield0.93%

Day391.55 – 411.860%52-wk264.09 – 487.4757%

TSM

Taiwan Semiconductor Manufacturing Co Ltd

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±1.4%implied · report alone

8Q avg ±2.8%·×0.51·cheap

390.12401.38

straddle ±11.3%

spot 395.75exp Jan 15ATM strike 400ATM straddle 52.82IV 38%

Nov 4 closereport share · term structure

Expected move

Inputs

Next report

Jan 14

before open · in 71 days

est.

Calendar

Next report

Last report

−1.80%

vs ±3.2% implied · ×0.57

shaded = implied · ▲▼ = realized

Oct 15 '26 · confirmed

Implied vs realized

Largest filed tie

16.00%

of Entegris revenue

supplierENTG 10-K

Supply chain

Largest filed tie

13F top-10 QoQ

+11.70%

shares held · 10 largest managers

13F · Jun 30 '26128d lag

3,593 managers

Top fund weight

9.29%

TSM weight · SMH

N-PORTJun 30 '26

6 funds

Last reportshaded = implied▲▼ = realized× = |realized| ÷ implied

TSMC (TSM) is expected to report on Jan 14 before open (estimated date).

Implied vs realized

6 reports

—≥ implied

Jul 17 '25Jul 17 '25confirmed—▲+3.38%—

Oct 16 '25Oct 16 '25confirmed—▼−1.60%—

Jan 15 '26Jan 15 '26confirmed—▲+4.44%—

Apr 16 '26Apr 16 '26confirmed—▼−3.13%—

Jul 16 '26Jul 16 '26confirmed—▼−2.32%—

Oct 15 '26Oct 15 '26confirmed±3.2%▼−1.80%×0.57

quarterimplied−5%0+5%realized×

Oct '26±3.2%▼−1.80%×0.57

Jul '26—▼−2.32%

Shaded = implied · tick ▲▼ = realized · × = |realized| ÷ impliedSource: options EOD · implied at prior close · realized close to close

Implied vs realized

Positioning

OI · 11 expiries · Nov 4 close

0.82OI · 11 expiries · Nov 4 closeP/C open interest · Jan 15 · first expiry after the report

PUTS · chgexpiry · days · P/CCALLS · chgP/C

5 nearer expiries

32,330+40%Nov 62d0.5954,435+110%0.59

16,258+44%Nov 139d0.9716,745+63%0.97

126,161+2%Nov 2016d1.3097,347+3%1.30

18,128+45%Nov 2723d1.6810,802+108%1.68

1,239+660%Dec 430d2.38520+845%2.38

1,230—Dec 1137d1.101,123—1.10

189,815+1%Dec 1844d1.68112,9900%1.68

ExpiryPutsCallsP/C

5 nearer expiries

Nov 62d32,330+40%54,435+110%0.59

Nov 139d16,258+44%16,745+63%0.97

Nov 2016d126,161+2%

Hatched = puts · solid = calls · bars scaled per expiry · chg = OI vs prior sessionSource: options EOD

Positioning

Linked exposure

scenario · straddle±11.3%

Funds 4

SMH±1.1%

SOXX±0.5%

SOXL±0.4%

VT±0.2%

Suppliers 2

LRCX±11.4%×1.01

KLAC±10.3%×0.90

Customers 4

NVTS±15.7%×1.39

CRDO±15.6%×1.38

MXL±14.3%

Dashed = straddle · × = co-movement · max 501dMethod 2 more funds Source: SEC filings · N-PORT · market data

Linked exposure

Revenue flow

No filed income statement.

Revenue flow

Intraday

15m bars

Long dash = implied range · Nov 4 close · Hatch = extended hours · ▯ up · ▮ down · bars = volume, 15mSource: market data · 19:45 ET

Intraday

Event sensitivity

NFP ×1.35· ±2.5% vs ±1.9% · 10 releases

eventrelease day|move|up · n×base

NFPjobs report±2.5%5 of 10×1.35

CPIconsumer prices±1.8%5 of 11×0.96

FOMCrate decision±1.8%16 of 24×0.96

GDPgross domestic product±1.7%13 of 19×0.92

PPIproducer prices±1.5%4 of 11×0.82

PCEpersonal income & outlays±1.4%11 of 19×0.76

CPROFcorporate profits±0.8%6 of 12×0.43

Bar = avg |move| to ±3% · tick = ±1.9% avg day · ×base = |move| ÷ ±1.9% · min 6 releases

Earnings history

No reported quarters.

Methodology

ties · implied moves · holdersMethod