TDC Options History — February 2008 In February 2008, TDC traded between $21.75 and $26.49. ATM implied volatility averaged 47.3%. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.0% (HV 20d: 40.3%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.50.
Notable Days 2008-02-12 : Highest Volume — 347 contracts2008-02-12 : Largest IV drop — 49.1% change2008-02-01 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $24.17 $21.75 $26.49 $23.61 $25.23 Max Pain $22.75 $20.00 $25.00 $25.00 $25.00 ATM IV 47.3% 32.3% 81.6% 51.1% 33.1% Expected Move 11.2% 9.3% 14.6% 14.6% 9.5% HV 20d 40.3% 35.5% 45.6% 35.5% 41.3% HV 60d 36.7% 34.9% 38.4% 37.8% 35.4% Term Structure 1.3% -9.2% 5.3% -9.2% 5.1% VWIV 35.1% 20.7% 48.5% 48.5% 33.1% Skew 25d 6.5% 1.5% 15.0% 5.4% 1.5% Skew 10d 13.5% 6.8% 26.2% 7.5% 8.7% Call IV 25d 36.1% 27.8% 41.3% 35.7% 37.8% Put IV 25d 42.7% 39.3% 45.3% 41.1% 39.3% Bid-Ask Spread % 58.60 31.72 81.05 63.07 57.00 Gamma HHI 0.51 0.35 0.67 0.35 0.59 Net GEX 13.2K -14.1K 41.1K -8.8K 34.3K Net DEX -270.0K -968.0K 699.5K 137.2K -661.2K Net VEX -4.6K -5.6K -3.1K -4.4K -5.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.00 5.83 0.24 0.65 Total Volume 49.3 1 347 52 51 Total OI 1,507.4 1,301 1,785 1,520 1,484
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 2008-02-01 $23.61 $25.00 51.1% 14.6% 35.5% 0.0% 48.5% 5.4% -9.2% -8.8K 137.2K -4.4K 0.24 63.07 N/A N/A 42 10 929 591 2008-02-04 $24.27 $25.00 47.6% 11.1% 37.5% 0.0% 38.2% 5.4% 0.6% -6.7K -26.9K -4.8K 0.00 63.06 N/A N/A 10 0 969 601 2008-02-05 $23.57 $25.00 53.4% 12.0% 38.1% 0.0% 0.0% 5.6% -1.4% -8.3K 91.0K -4.5K 0.00 61.97 N/A N/A 16 0 979 601 2008-02-06 $23.35 $25.00 66.7% 11.9% 38.1% 0.0% 0.0% 5.3% -0.8% -6.5K 183.6K -4.4K 0.00 58.80 N/A N/A 4 0 989 601 2008-02-07 $23.25 $25.00 75.9% 11.6% 37.4% 0.0% 0.0% 4.9% 0.9% -5.5K 207.3K -4.3K 0.42 56.72 N/A N/A 24 10 993 601 2008-02-08 $22.66 $25.00 79.5% 12.0% 37.9% 0.0% 0.0% 7.0% -0.3% -6.8K 356.6K -3.9K 0.50 59.12 N/A N/A 20 10 1,003 601 2008-02-11 $22.60 $25.00 81.6% 12.2% 36.4% 0.0% 0.0% 9.9% -1.3% -10.4K 387.6K -3.8K 0.64 51.64 N/A N/A 25 16 1,013 601 2008-02-12 $21.75 $25.00 41.5% 11.4% 38.1% 0.0% 37.8% 4.0% 2.2% -14.1K 699.5K -3.1K 0.01 75.36 N/A N/A 342 5 1,033 606 2008-02-13 $23.18 $20.00 45.4% 11.4% 45.6% 0.0% 36.7% 7.5% 2.3% 19.7K -450.3K -4.5K 0.07 52.68 N/A N/A 71 5 1,264 521 2008-02-14 $23.50 $20.00 41.4% 11.9% 45.1% 0.0% 32.7% 6.9% 2.6% 13.2K -487.8K -4.3K 0.00 48.85 N/A N/A 15 0 1,239 526 2008-02-15 $23.72 $20.00 39.8% 11.4% 44.0% 0.0% 0.0% 11.9% 2.0% 14.9K -557.8K -4.2K 0.00 58.01 N/A N/A 40 0 1,243 526 2008-02-19 $24.52 $20.00 32.3% 9.3% 44.7% 0.0% 32.3% 15.0% 5.3% 25.4K -457.8K -4.6K 0.00 61.21 N/A N/A 4 0 1,054 247 2008-02-20 $24.95 $20.00 34.6% 9.9% 42.6% 0.0% 0.0% 6.4% 3.6% 26.8K -506.8K -4.7K 0.00 60.77 N/A N/A 1 0 1,054 247 2008-02-21 $24.57 $20.00 37.1% 10.6% 40.8% 0.0% 37.5% 2.5% 1.0% 25.8K -506.5K -4.6K 0.00 64.37 N/A N/A 30 0 1,055 247 2008-02-22 $24.93 $20.00 36.5% 10.5% 40.7% 0.0% 37.5% 4.7% 4.0% 27.1K -537.4K -4.7K 0.77 31.72 N/A N/A 13 10 1,058 247 2008-02-25 $25.12 $25.00 35.1% 10.1% 40.7% 0.0% 0.0% 5.1% 4.2% 28.7K -589.8K -4.8K 0.00 34.40 N/A N/A 6 0 1,064 257 2008-02-26 $26.03 $25.00 38.3% 11.0% 40.7% 0.0% 38.4% 8.9% 1.8% 34.3K -794.6K -5.1K 5.83 54.94 N/A N/A 6 35 1,070 257 2008-02-27 $26.49 $20.00 40.3% 11.5% 40.2% 0.0% 20.7% 7.9% 0.2% 39.7K -968.0K -5.6K 0.00 81.05 N/A N/A 110 0 1,076 272 2008-02-28 $26.05 $20.00 34.2% 9.8% 40.2% 0.0% 27.5% 4.9% 2.7% 41.1K -917.5K -5.5K 0.83 77.30 N/A N/A 30 25 1,157 272 2008-02-29 $25.23 $25.00 33.1% 9.5% 41.3% 0.0% 33.1% 1.5% 5.1% 34.3K -661.2K -5.5K 0.65 57.00 N/A N/A 31 20 1,187 297
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