TDC Options History — December 2007 In December 2007, TDC traded between $25.54 and $27.50. ATM implied volatility averaged 49.9%. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 10.5% (HV 20d: 39.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 9.72.
Notable Days 2007-12-28 : Highest Volume — 148 contracts2007-12-13 : Largest IV spike — 35.3% change2007-12-04 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $26.73 $25.54 $27.50 $26.19 $27.41 Max Pain $24.50 $22.50 $25.00 $22.50 $25.00 ATM IV 49.9% 38.8% 59.6% 57.7% 45.4% Expected Move 14.3% 11.8% 16.6% 16.6% 13.0% HV 20d 39.4% 27.2% 48.2% 48.1% 27.2% HV 60d 39.3% 37.5% 40.9% 40.9% 37.5% Term Structure -2.8% -7.4% 9.9% -5.5% 1.7% VWIV 47.9% 33.0% 64.5% 33.0% 46.3% Skew 25d 3.7% -2.5% 20.8% 20.8% 1.9% Skew 10d -8.3% -23.6% 21.4% 21.4% -14.6% Call IV 25d 46.7% 37.6% 53.2% 38.2% 42.5% Put IV 25d 50.4% 43.3% 59.0% 59.0% 44.3% Bid-Ask Spread % 69.79 56.99 93.77 88.41 65.67 Gamma HHI 0.58 0.47 0.68 0.66 0.47 Net GEX 23.3K 14.1K 37.7K 31.9K 14.1K Net DEX -620.3K -842.9K -399.6K -648.2K -520.4K Net VEX -5.5K -6.3K -5.0K -6.2K -5.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 9.72 0.00 147.00 0.00 0.00 Total Volume 34.1 0 148 0 9 Total OI 1,457.55 1,173 1,574 1,565 1,449
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-12-03 $26.19 $22.50 57.7% 16.6% 48.1% 0.0% 0.0% 20.8% -5.5% 31.9K -648.2K -6.2K 0.00 88.41 N/A N/A 0 0 1,145 420 2007-12-04 $26.45 $22.50 57.8% 16.6% 47.9% 0.0% 0.0% 2.6% -7.4% 35.2K -796.6K -6.3K 0.00 89.40 N/A N/A 1 0 1,145 420 2007-12-05 $26.78 $22.50 53.8% 15.4% 48.2% 0.0% 0.0% 1.0% -3.9% 37.0K -842.9K -6.2K 0.00 93.77 N/A N/A 20 0 1,144 420 2007-12-06 $26.87 $22.50 53.3% 15.3% 47.5% 0.0% 0.0% 0.9% -1.6% 37.7K -828.1K -6.3K 2.67 63.24 N/A N/A 30 80 1,154 420 2007-12-07 $26.52 $25.00 47.0% 14.0% 47.4% 0.0% 33.0% -1.6% -4.1% 34.8K -755.0K -5.9K 0.03 62.40 N/A N/A 100 3 1,157 389 2007-12-10 $26.69 $25.00 59.6% 14.6% 42.2% 0.0% 51.0% 2.8% -7.1% 30.3K -623.2K -5.8K 1.00 60.83 N/A N/A 10 10 1,084 389 2007-12-11 $25.54 $25.00 50.9% 13.7% 45.5% 0.0% 0.0% 1.3% -2.5% 20.5K -399.6K -5.2K 0.00 75.67 N/A N/A 0 11 1,094 389 2007-12-12 $26.16 $25.00 38.8% 13.6% 43.6% 0.0% 48.4% -2.5% -4.3% 18.6K -473.6K -5.3K 0.40 72.29 N/A N/A 25 10 1,094 400 2007-12-13 $26.63 $25.00 52.5% 15.1% 41.7% 0.0% 0.0% 10.4% -4.7% 21.1K -525.1K -5.4K 0.50 67.46 N/A N/A 20 10 1,091 400 2007-12-14 $27.12 $25.00 53.6% 15.4% 40.7% 0.0% 0.0% 6.7% -5.6% 28.9K -738.1K -5.7K 1.00 70.45 N/A N/A 20 20 1,109 400 2007-12-17 $26.67 $25.00 50.2% 14.4% 40.0% 0.0% 48.4% 2.4% -5.0% 16.9K -576.0K -5.4K 0.00 60.75 N/A N/A 2 0 1,116 400 2007-12-18 $26.83 $25.00 47.7% 13.7% 37.9% 0.0% 0.0% 0.3% -2.0% 16.0K -605.0K -5.3K 3.00 62.43 N/A N/A 2 6 1,118 400 2007-12-19 $26.44 $25.00 48.0% 13.8% 36.3% 0.0% 0.0% 0.6% -2.3% 15.3K -558.4K -5.2K 0.00 64.20 N/A N/A 0 0 1,118 400 2007-12-20 $26.65 $25.00 49.0% 14.0% 36.2% 0.0% 0.0% 1.3% -4.6% 15.6K -565.1K -5.2K 0.00 61.88 N/A N/A 2 0 1,118 400 2007-12-21 $26.87 $25.00 49.0% 14.1% 34.6% 0.0% 0.0% 7.0% -3.7% 17.0K -615.0K -5.2K 0.00 61.06 N/A N/A 0 0 1,120 400 2007-12-24 $27.41 $25.00 50.9% 14.6% 33.4% 0.0% 0.0% 4.3% -5.5% 18.6K -619.1K -5.3K 0.00 80.01 N/A N/A 2 0 814 359 2007-12-26 $27.04 $25.00 49.4% 14.1% 34.0% 0.0% 43.4% 4.6% -0.8% 16.8K -555.4K -5.0K 0.00 56.99 N/A N/A 38 0 814 359 2007-12-27 $26.80 $25.00 43.0% 12.3% 27.4% 0.0% 64.5% 1.8% 2.6% 17.1K -523.6K -5.0K 0.00 67.62 N/A N/A 103 0 842 359 2007-12-28 $27.50 $25.00 41.2% 11.8% 28.3% 0.0% 46.3% 8.1% 9.9% 21.6K -638.1K -5.1K 147.00 71.28 N/A N/A 1 147 942 359 2007-12-31 $27.41 $25.00 45.4% 13.0% 27.2% 0.0% 0.0% 1.9% 1.7% 14.1K -520.4K -5.7K 0.00 65.67 N/A N/A 9 0 943 506
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