TDC Options History — November 2007

In November 2007, TDC traded between $23.13 and $27.94. ATM implied volatility averaged 42.0%. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 1.7% (HV 20d: 40.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2007-11-14: Highest Volume — 471 contracts
  • 2007-11-14: Largest IV spike — 54.9% change
  • 2007-11-29: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.50$23.13$27.94$27.67$25.96
Max Pain$24.05$22.50$25.00$25.00$22.50
ATM IV42.0%22.6%57.0%22.6%49.8%
Expected Move13.0%6.5%16.3%6.5%14.3%
HV 20d40.3%34.0%48.8%35.6%48.2%
Term Structure2.3%-3.6%21.8%21.8%-1.3%
VWIV47.2%22.4%53.3%22.4%49.8%
Skew 25d7.1%-6.2%21.8%1.2%1.3%
Skew 10d7.9%-9.5%23.9%4.4%4.3%
Call IV 25d36.8%22.3%52.5%24.9%49.9%
Put IV 25d43.9%25.2%58.0%26.2%51.2%
Bid-Ask Spread %70.8753.5686.1386.1369.30
Gamma HHI0.560.450.700.590.62
Net GEX21.2K10.6K34.7K22.7K30.8K
Net DEX-419.4K-752.3K-22.2K-712.7K-614.7K
Net VEX-5.1K-6.4K-4.2K-4.4K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.003.600.090.38
Total Volume68.857047111136
Total OI1,345.8579961,6879961,548

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$27.67$25.0022.6%6.5%35.6%0.0%22.4%1.2%21.8%22.7K-712.7K-4.4K0.0986.13N/AN/A1029776220
2007-11-02$27.94$25.0025.2%7.2%35.7%0.0%0.0%7.2%19.0%25.5K-699.1K-4.5K0.0085.83N/AN/A120802229
2007-11-05$27.40$25.0031.6%12.2%36.4%0.0%0.0%1.7%0.3%23.7K-659.2K-4.4K0.0069.27N/AN/A90814229
2007-11-06$27.25$25.0032.8%12.7%36.5%0.0%0.0%1.8%1.4%22.5K-616.1K-4.4K0.0064.76N/AN/A00815229
2007-11-07$26.63$25.0030.5%12.5%37.0%0.0%0.0%-6.2%0.4%19.9K-566.1K-4.2K2.8064.75N/AN/A2570815229
2007-11-08$26.22$25.0033.2%12.9%37.4%0.0%0.0%7.6%1.7%14.8K-356.2K-4.6K0.1766.27N/AN/A12020825299
2007-11-09$24.77$25.0036.6%12.9%35.7%0.0%0.0%-5.2%-2.6%13.2K-270.5K-5.0K0.0053.56N/AN/A720945304
2007-11-12$24.85$25.0043.4%13.2%34.0%0.0%0.0%5.0%0.9%13.9K-258.3K-5.0K3.6063.38N/AN/A1036958304
2007-11-13$25.95$25.0032.5%13.4%38.6%0.0%0.0%21.4%2.9%16.3K-397.2K-5.2K2.3883.77N/AN/A1331968320
2007-11-14$25.00$25.0050.3%13.3%40.2%0.0%47.1%0.4%-0.6%10.6K-313.2K-5.1K0.2574.73N/AN/A37794981341
2007-11-15$24.41$25.0047.0%13.5%40.5%0.0%0.0%13.3%-0.0%16.5K-225.2K-5.7K2.0074.46N/AN/A121,260427
2007-11-16$23.80$25.0044.4%12.7%38.6%0.0%0.0%8.9%4.0%15.2K-22.2K-5.1K0.0076.22N/AN/A0611,260427
2007-11-19$23.13$25.0051.4%14.7%38.8%0.0%49.0%9.6%-2.7%16.5K-136.2K-4.7K0.0057.32N/AN/A1701,103332
2007-11-20$24.12$22.5043.2%12.4%42.7%0.0%52.8%14.1%5.3%21.6K-240.2K-5.1K0.0073.77N/AN/A061,120332
2007-11-21$24.01$22.5048.5%13.9%42.0%0.0%46.6%10.7%4.0%21.5K-306.0K-5.2K1.5571.46N/AN/A33511,120332
2007-11-23$24.84$22.5047.5%13.6%44.3%0.0%0.0%15.1%0.3%24.7K-325.4K-5.5K0.0072.91N/AN/A1001,141363
2007-11-26$24.26$22.5050.6%14.5%43.9%0.0%0.0%8.5%-1.6%23.8K-371.4K-5.5K0.1774.86N/AN/A1221,151363
2007-11-27$24.59$22.5051.7%14.8%43.1%0.0%53.3%2.7%1.6%22.9K-307.2K-5.4K0.0060.98N/AN/A501,152365
2007-11-28$26.10$22.5052.5%15.1%48.4%0.0%52.3%21.8%-2.5%34.3K-657.7K-6.1K1.0679.62N/AN/A47501,157365
2007-11-29$26.50$22.5057.0%16.3%48.8%0.0%51.3%7.9%-3.6%34.7K-752.3K-6.4K0.2264.98N/AN/A93201,142400
2007-11-30$25.96$22.5049.8%14.3%48.2%0.0%49.8%1.3%-1.3%30.8K-614.7K-6.1K0.3869.30N/AN/A26101,138410