TDC Options History — March 2008 In March 2008, TDC traded between $21.92 and $26.53. ATM implied volatility averaged 43.5%. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 2.1% (HV 20d: 45.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.69.
Notable Days 2008-03-03 : Highest Volume — 1,287 contracts2008-03-07 : Largest IV spike — 15.0% change2008-03-20 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $24.13 $21.92 $26.53 $25.98 $22.06 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 43.5% 36.5% 49.8% 40.4% 45.7% Expected Move 12.7% 10.5% 14.3% 11.6% 13.1% HV 20d 45.6% 37.9% 51.8% 42.1% 51.2% HV 60d 39.1% 35.9% 43.2% 35.9% 43.1% Term Structure 3.1% -1.0% 15.3% 0.3% 5.6% VWIV 44.9% 40.4% 51.9% 40.4% 51.9% Skew 25d 7.2% -2.9% 21.5% 4.7% 18.0% Skew 10d 14.6% 0.1% 37.5% 13.2% 19.2% Call IV 25d 40.3% 31.0% 50.4% 38.5% 34.1% Put IV 25d 47.5% 42.8% 56.6% 43.2% 52.1% Bid-Ask Spread % 61.17 42.29 82.65 46.29 44.15 Gamma HHI 0.77 0.65 0.88 0.65 0.65 Net GEX 61.8K 35.8K 85.0K 35.8K 37.2K Net DEX -1.3M -2.2M -305.8K -813.9K -305.8K Net VEX -12.6K -14.7K -6.1K -6.1K -10.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.00 4.20 0.01 0.79 Total Volume 211.4 0 1,287 1,287 375 Total OI 3,220.9 1,527 3,864 1,527 3,864
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 2008-03-03 $25.98 $25.00 40.4% 11.6% 42.1% 0.0% 40.4% 4.7% 0.3% 35.8K -813.9K -6.1K 0.01 46.29 N/A N/A 1,274 13 1,210 317 2008-03-04 $25.60 $25.00 39.5% 11.3% 41.8% 0.0% 0.0% 2.4% 2.2% 71.1K -1.8M -12.8K 0.25 70.15 N/A N/A 180 45 2,306 327 2008-03-05 $26.53 $25.00 37.0% 10.6% 41.5% 0.0% 0.0% 6.8% 15.3% 85.0K -2.2M -14.0K 0.18 80.42 N/A N/A 111 20 2,426 322 2008-03-06 $25.73 $25.00 36.5% 10.5% 43.2% 0.0% 0.0% 2.2% 5.1% 80.1K -2.1M -14.0K 4.20 82.65 N/A N/A 5 21 2,466 342 2008-03-07 $24.94 $25.00 42.0% 12.6% 45.0% 0.0% 0.0% 1.6% 1.0% 67.7K -1.6M -13.0K 0.13 46.98 N/A N/A 75 10 2,463 358 2008-03-10 $24.18 $25.00 37.6% 12.1% 45.5% 0.0% 42.3% 2.6% 3.0% 62.3K -1.2M -11.5K 0.12 47.57 N/A N/A 341 41 2,473 368 2008-03-11 $24.78 $25.00 37.7% 12.0% 46.0% 0.0% 0.0% 11.6% 1.7% 68.8K -1.4M -12.7K 0.00 72.55 N/A N/A 570 0 2,574 398 2008-03-12 $24.77 $25.00 40.0% 12.1% 43.2% 0.0% 0.0% 14.8% 2.1% 79.5K -1.6M -14.1K 0.00 51.61 N/A N/A 0 0 2,828 398 2008-03-13 $24.53 $25.00 42.4% 12.1% 37.9% 0.0% 0.0% 11.9% 2.4% 74.0K -1.4M -13.6K 0.00 78.63 N/A N/A 180 0 2,828 398 2008-03-14 $23.71 $25.00 41.9% 12.0% 39.8% 0.0% 42.2% 8.9% 9.2% 73.4K -1.4M -13.6K 1.08 74.66 N/A N/A 37 40 3,008 398 2008-03-17 $22.65 $25.00 46.7% 13.4% 42.8% 0.0% 47.4% -0.1% 1.7% 54.1K -833.9K -11.8K 2.00 81.29 N/A N/A 2 4 3,033 438 2008-03-18 $23.73 $25.00 46.8% 13.4% 44.5% 0.0% 44.9% 10.4% 0.0% 62.1K -1.1M -13.2K 0.74 64.87 N/A N/A 97 72 3,032 437 2008-03-19 $22.98 $25.00 48.1% 13.8% 45.2% 0.0% 0.0% 2.8% -0.3% 53.1K -1.0M -13.0K 0.00 63.58 N/A N/A 0 0 3,068 509 2008-03-20 $23.47 $25.00 49.8% 14.3% 45.8% 0.0% 42.5% 10.6% -1.0% 50.4K -798.9K -12.0K 0.02 61.19 N/A N/A 151 3 3,068 509 2008-03-24 $24.92 $25.00 48.8% 14.0% 50.6% 0.0% 49.5% 21.5% -0.5% 76.2K -1.7M -14.7K 0.43 65.93 N/A N/A 46 20 2,992 488 2008-03-25 $24.25 $25.00 49.0% 14.1% 51.4% 0.0% 43.0% 9.2% 1.3% 67.0K -1.6M -14.3K 1.11 50.04 N/A N/A 81 90 3,038 508 2008-03-26 $23.26 $25.00 49.6% 14.2% 51.3% 0.0% 0.0% 7.0% 1.8% 52.6K -1.1M -13.1K 0.56 50.68 N/A N/A 90 50 3,058 588 2008-03-27 $22.51 $25.00 44.3% 12.7% 51.4% 0.0% 45.1% -2.9% 6.0% 43.2K -632.7K -12.1K 0.37 47.82 N/A N/A 108 40 3,118 628 2008-03-28 $21.92 $25.00 46.1% 13.2% 51.8% 0.0% 0.0% 0.6% 4.3% 42.1K -585.5K -11.5K 0.44 42.29 N/A N/A 25 11 3,167 667 2008-03-31 $22.06 $25.00 45.7% 13.1% 51.2% 0.0% 51.9% 18.0% 5.6% 37.2K -305.8K -10.3K 0.79 44.15 N/A N/A 210 165 3,187 677
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