TDC Options History — October 2007

In October 2007, TDC traded between $26.55 and $29.08. ATM implied volatility averaged 36.9%. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 0.6% (HV 20d: 36.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.69.

Notable Days

  • 2007-10-29: Highest Volume — 192 contracts
  • 2007-10-11: Largest IV spike — 54.0% change
  • 2007-10-03: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.93$26.55$29.08$27.98$28.53
Max Pain$26.43$25.00$30.00$30.00$25.00
ATM IV36.9%27.0%42.5%38.1%27.3%
Expected Move11.1%7.8%12.2%10.9%7.8%
HV 20d36.2%33.9%38.5%38.5%33.9%
Term Structure-0.1%-4.7%13.8%-4.7%9.4%
VWIV37.1%24.0%48.6%43.0%24.0%
Skew 25d1.4%-15.3%11.9%11.9%-2.3%
Skew 10d2.4%-20.8%14.4%10.5%-0.5%
Call IV 25d37.8%29.9%48.9%48.9%30.9%
Put IV 25d39.2%26.7%60.8%60.8%28.6%
Bid-Ask Spread %83.2263.68109.78107.0383.30
Gamma HHI0.670.420.920.800.60
Net GEX9.7K-2927.1K025.6K
Net DEX-362.9K-839.4K00-818.7K
Net VEX-2.2K-4.7K00-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.009.570.000.76
Total Volume62.08711923758
Total OI481.39109920986

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$27.98$0.0038.1%10.9%0.0%0.0%0.0%0.0%-4.7%0000.00107.03N/AN/A37000
2007-10-02$27.55$0.0038.9%11.1%0.0%0.0%43.0%0.0%-2.4%1.5K-71.2K-1851.25109.78N/AN/A3645370
2007-10-03$26.55$30.0042.5%12.2%0.0%0.0%0.0%0.0%1.1%-29-40.3K-4470.1396.37N/AN/A3856845
2007-10-04$27.00$25.0036.5%10.5%0.0%0.0%0.0%11.9%13.8%976-129.7K-4492.22108.26N/AN/A184010240
2007-10-05$27.15$25.0029.1%11.9%0.0%0.0%0.0%4.3%-1.1%2.2K-160.4K-6840.3087.38N/AN/A702111980
2007-10-08$27.27$25.0032.3%11.8%0.0%0.0%0.0%3.7%-2.0%4.0K-225.7K-1.2K0.0083.96N/AN/A36017691
2007-10-09$27.35$25.0028.9%10.7%0.0%0.0%0.0%3.3%3.1%4.1K-226.3K-1.2K0.0066.05N/AN/A69021091
2007-10-10$26.97$25.0027.0%10.9%0.0%0.0%0.0%1.9%3.5%5.0K-250.6K-1.4K0.0069.56N/AN/A22023891
2007-10-11$26.82$25.0041.6%11.9%0.0%0.0%0.0%-1.1%-3.5%5.6K-246.4K-1.5K0.0090.67N/AN/A1025091
2007-10-12$28.40$25.0037.8%10.8%0.0%0.0%0.0%4.7%-0.4%8.5K-336.8K-1.6K9.5785.17N/AN/A76725091
2007-10-15$29.08$25.0040.6%11.6%0.0%0.0%48.6%-2.9%-1.7%8.0K-354.5K-2.1K0.0071.84N/AN/A1320257158
2007-10-16$29.03$25.0042.0%12.0%0.0%0.0%42.0%3.2%-3.1%12.8K-399.0K-2.3K0.0074.78N/AN/A110381158
2007-10-17$28.84$25.0041.7%12.0%0.0%0.0%0.0%4.4%-2.5%11.3K-391.8K-2.5K0.0073.80N/AN/A100392158
2007-10-18$28.82$25.0041.0%11.8%0.0%0.0%41.0%6.1%-0.9%11.4K-407.3K-2.5K0.0585.58N/AN/A1025385158
2007-10-19$27.53$25.0036.6%10.5%0.0%0.0%40.7%7.8%-2.2%8.1K-413.2K-2.9K0.9489.06N/AN/A3230457163
2007-10-22$27.81$30.0037.5%10.8%38.5%0.0%38.1%7.2%0.9%9.4K-353.6K-3.2K0.0074.27N/AN/A420451193
2007-10-23$27.89$30.0041.3%11.8%37.3%0.0%27.2%2.4%-3.5%11.5K-430.1K-3.4K0.0063.68N/AN/A100491193
2007-10-24$28.26$30.0033.9%9.7%36.4%0.0%0.0%2.8%4.4%11.9K-431.5K-3.3K0.0063.94N/AN/A10491193
2007-10-25$28.45$30.0037.1%10.6%35.4%0.0%37.3%3.6%-1.7%13.3K-477.5K-3.4K0.0781.04N/AN/A13910492193
2007-10-26$28.90$30.0038.8%11.1%34.9%0.0%37.2%-11.4%-4.1%17.9K-651.1K-3.6K0.2071.25N/AN/A5010607203
2007-10-29$27.83$25.0035.9%10.3%36.7%0.0%33.6%-15.3%0.2%22.1K-691.9K-4.2K0.1090.31N/AN/A17517657193
2007-10-30$28.34$25.0041.0%11.8%36.8%0.0%32.0%-6.1%-4.6%27.1K-839.4K-4.7K0.3286.90N/AN/A6220782210
2007-10-31$28.53$25.0027.3%7.8%33.9%0.0%24.0%-2.3%9.4%25.6K-818.7K-4.6K0.7683.30N/AN/A3325766220