TDC Options History — May 2008

In May 2008, TDC traded between $21.82 and $27.01. ATM implied volatility averaged 39.4%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 13.7% (HV 20d: 25.7%). 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 15 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2008-05-08: Highest Volume — 690 contracts
  • 2008-05-08: Largest IV drop — 40.3% change
  • 2008-05-06: Highest IV Rank — 73.4%
  • 2008-05-02: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.47$21.82$27.01$21.82$27.01
Max Pain$24.40$22.50$25.00$22.50$25.00
ATM IV39.4%27.4%65.8%54.9%27.4%
Expected Move10.7%7.9%16.9%15.7%7.9%
HV 20d25.7%16.4%32.4%29.7%16.4%
HV 60d41.8%39.2%44.4%44.0%39.2%
IV Rank28.5%8.2%73.4%54.8%8.2%
IV Percentile29.1%2.4%97.3%89.8%2.4%
Term Structure0.4%-14.6%8.2%-9.3%8.2%
VWIV37.9%27.4%59.0%54.9%27.4%
Skew 25d5.2%0.4%10.8%3.7%9.1%
Skew 10d9.2%-2.5%22.1%15.4%10.2%
Call IV 25d32.7%19.7%42.2%40.6%19.7%
Put IV 25d37.9%28.8%44.3%44.3%28.8%
Bid-Ask Spread %35.0020.2258.3335.9636.08
Gamma HHI0.630.280.930.280.84
Net GEX92.4K36.5K179.6K36.5K157.6K
Net DEX-1.5M-3.3M-57.6K-57.6K-3.3M
Net VEX-11.6K-16.5K-7.5K-7.5K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.0010.000.000.49
Total Volume190.52411690122107
Total OI4,915.4294,1225,6554,1225,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$21.82$22.5054.9%15.7%29.7%54.8%54.9%3.7%-9.3%36.5K-57.6K-7.5K0.0035.96N/AN/A12203,237885
2008-05-02$22.44$22.5059.1%16.9%31.3%61.9%59.0%3.9%-14.6%55.7K-601.4K-9.1K0.0034.11N/AN/A26703,327882
2008-05-05$22.60$22.5062.0%13.0%31.3%66.8%44.9%0.4%-2.6%69.0K-801.5K-9.3K0.4933.64N/AN/A2261113,588882
2008-05-06$23.14$22.5065.8%13.3%32.2%73.4%45.9%2.5%-3.8%77.4K-1.1M-9.9K0.1932.25N/AN/A176343,767972
2008-05-07$23.07$22.5064.7%12.6%32.2%71.5%49.8%2.2%-1.7%78.9K-1.1M-10.7K1.3439.50N/AN/A2563423,8141,000
2008-05-08$23.38$25.0038.6%11.8%32.4%27.3%39.6%4.8%-1.3%80.0K-953.0K-10.8K0.9941.44N/AN/A3473433,8931,279
2008-05-09$23.47$25.0034.1%11.3%30.0%19.5%39.5%4.3%1.2%66.9K-963.0K-10.9K0.0837.34N/AN/A122104,0341,475
2008-05-12$23.89$25.0032.6%10.2%27.2%17.0%36.8%3.1%1.1%70.8K-1.3M-10.3K0.4833.60N/AN/A31154,1511,475
2008-05-13$24.02$25.0032.4%9.9%26.3%16.6%36.7%2.0%2.4%84.1K-1.5M-11.4K0.8341.12N/AN/A30254,1551,485
2008-05-14$24.14$25.0032.4%9.2%24.7%16.7%32.6%3.7%5.0%88.8K-1.7M-11.3K0.1937.90N/AN/A80154,1651,490
2008-05-15$24.88$25.0032.4%9.3%26.0%16.6%30.0%4.1%3.2%119.6K-2.3M-11.8K0.0053.57N/AN/A2804,1611,490
2008-05-16$25.14$25.0032.6%9.4%25.7%17.1%32.7%3.8%2.5%179.6K-2.7M-12.2K0.5022.50N/AN/A2221104,1611,490
2008-05-19$25.36$25.0033.7%9.7%25.0%18.9%33.6%10.5%1.2%102.3K-1.7M-12.6K0.7229.53N/AN/A119863,513879
2008-05-20$25.37$25.0033.9%9.7%22.3%19.2%33.9%10.8%1.0%95.4K-1.6M-12.8K0.0026.91N/AN/A1103,583936
2008-05-21$25.29$25.0032.2%9.2%22.6%16.3%32.1%7.8%2.8%99.3K-1.7M-13.1K0.0058.33N/AN/A1703,594936
2008-05-22$25.45$25.0033.2%9.5%22.6%18.1%33.2%8.6%1.6%98.4K-1.6M-12.9K1.6927.93N/AN/A621053,594936
2008-05-23$25.33$25.0032.1%9.2%23.1%16.2%32.1%8.3%2.8%95.7K-1.6M-13.1K10.0029.55N/AN/A2203,634983
2008-05-27$25.62$25.0030.0%8.6%22.5%12.7%30.1%6.4%5.0%91.7K-1.6M-12.2K0.0037.51N/AN/A02743,634983
2008-05-28$26.11$25.0030.8%8.8%20.6%13.9%0.0%1.4%2.7%86.9K-1.7M-12.7K0.4926.07N/AN/A43213,6341,217
2008-05-29$26.35$25.0032.2%9.2%16.4%16.3%32.4%7.4%1.3%105.7K-2.1M-13.3K0.0620.22N/AN/A209133,6451,217
2008-05-30$27.01$25.0027.4%7.9%16.4%8.2%27.4%9.1%8.2%157.6K-3.3M-16.5K0.4936.08N/AN/A72353,8241,224