TDC Options History — January 2008

In January 2008, TDC traded between $22.48 and $26.99. ATM implied volatility averaged 45.8%. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 16.7% (HV 20d: 29.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2008-01-23: Highest Volume — 277 contracts
  • 2008-01-29: Largest IV spike — 21.8% change
  • 2008-01-29: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.98$22.48$26.99$26.84$23.80
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV45.8%36.8%57.0%36.8%45.2%
Expected Move13.3%10.5%16.4%10.5%13.0%
HV 20d29.0%23.3%35.6%28.3%35.6%
HV 60d37.1%35.6%37.9%37.8%37.9%
Term Structure-4.5%-15.8%13.7%13.7%-8.6%
VWIV48.3%38.0%56.3%39.3%46.4%
Skew 25d5.4%-13.2%17.9%1.0%7.5%
Skew 10d7.8%-14.2%18.9%-14.2%10.3%
Call IV 25d36.5%27.0%41.9%41.9%36.1%
Put IV 25d41.8%25.2%49.4%42.9%43.6%
Bid-Ask Spread %64.9938.5892.9374.9664.70
Gamma HHI0.440.330.510.480.34
Net GEX807-11.3K16.0K11.6K-8.4K
Net DEX-79.2K-515.9K450.2K-462.6K146.6K
Net VEX-4.8K-5.9K-3.2K-5.5K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.004.230.000.00
Total Volume42.7140277505
Total OI1,485.8571,1071,5921,4531,515

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$26.84$25.0036.8%10.5%28.3%0.0%0.0%1.0%13.7%11.6K-462.6K-5.5K0.0074.96N/AN/A500947506
2008-01-03$26.89$25.0038.8%11.1%28.1%0.0%0.0%12.1%7.6%12.3K-444.9K-5.5K0.0975.50N/AN/A10810997506
2008-01-04$26.62$25.0042.1%12.7%28.0%0.0%0.0%14.4%-3.2%10.8K-395.3K-5.6K0.0040.39N/AN/A11101,015506
2008-01-07$26.87$25.0037.1%12.3%28.2%0.0%0.0%13.9%-2.2%13.8K-499.6K-5.9K0.0038.58N/AN/A001,065506
2008-01-08$26.64$25.0043.9%12.4%28.0%0.0%0.0%-13.2%0.3%16.0K-515.9K-5.9K0.0057.34N/AN/A201,065506
2008-01-09$26.99$25.0040.1%12.2%28.3%0.0%0.0%17.9%-1.9%13.6K-457.7K-5.7K1.0050.40N/AN/A551,064506
2008-01-10$26.73$25.0044.5%12.8%23.3%0.0%0.0%-1.1%-3.9%10.5K-460.9K-5.6K0.0084.28N/AN/A101,066511
2008-01-11$25.75$25.0039.4%11.3%25.8%0.0%39.3%1.6%-1.3%1.4K-214.6K-5.3K0.0072.12N/AN/A1201,065511
2008-01-14$25.52$25.0043.4%12.4%24.9%0.0%43.6%3.1%-3.3%-85-120.3K-5.0K0.0067.64N/AN/A011,067501
2008-01-15$25.11$25.0042.4%12.2%24.2%0.0%0.0%-0.9%-1.0%-2.4K-105.5K-5.0K0.0074.27N/AN/A1001,067501
2008-01-16$25.67$25.0047.2%13.5%25.3%0.0%47.8%6.0%-5.7%-704-308.4K-5.1K0.0077.76N/AN/A301,067501
2008-01-17$24.84$25.0044.3%12.7%27.4%0.0%0.0%3.1%-3.5%-9.8K-23.4K-4.7K0.0068.71N/AN/A7501,066501
2008-01-18$24.17$25.0044.0%12.6%28.4%0.0%0.0%-0.8%-4.9%-5.1K193.8K-4.5K0.2072.53N/AN/A1531,091501
2008-01-22$23.27$25.0048.3%13.8%30.4%0.0%38.0%8.0%-4.2%1.2K232.5K-3.5K1.0075.37N/AN/A11740367
2008-01-23$22.48$25.0055.9%16.0%31.3%0.0%54.1%5.2%-12.4%1.5K272.8K-3.2K4.2367.66N/AN/A53224741367
2008-01-24$22.91$25.0055.0%15.8%31.2%0.0%56.3%7.3%-10.8%-11.3K450.2K-3.6K0.4044.93N/AN/A2510784591
2008-01-25$23.02$25.0053.2%15.3%31.5%0.0%53.2%6.6%-10.4%-11.2K381.1K-4.0K0.0949.13N/AN/A10710809591
2008-01-28$23.85$25.0046.8%13.4%35.1%0.0%0.0%6.8%-8.9%-9.9K193.3K-4.5K0.0053.40N/AN/A02906591
2008-01-29$23.46$25.0057.0%16.4%33.2%0.0%0.0%3.6%-14.8%-7.1K175.0K-4.6K0.0062.14N/AN/A20906591
2008-01-30$23.09$25.0056.2%16.1%33.3%0.0%56.2%10.9%-15.8%-9.5K299.6K-4.2K0.7792.93N/AN/A2620908591
2008-01-31$23.80$25.0045.2%13.0%35.6%0.0%46.4%7.5%-8.6%-8.4K146.6K-4.4K0.0064.70N/AN/A50924591