TDC Options History — June 2008

In June 2008, TDC traded between $22.79 and $26.80. ATM implied volatility averaged 32.9%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.5% (HV 20d: 31.3%). 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 21 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2008-06-24: Highest Volume — 5,042 contracts
  • 2008-06-12: Largest IV spike — 46.1% change
  • 2008-06-09: Highest IV Rank — 27.8%
  • 2008-06-09: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.22$22.79$26.80$26.11$23.14
Max Pain$24.05$22.50$25.00$25.00$22.50
ATM IV32.9%26.0%39.0%32.0%32.8%
Expected Move9.6%8.1%11.4%9.2%9.4%
HV 20d31.3%21.6%34.6%21.6%32.1%
HV 60d35.7%29.6%39.7%39.3%29.6%
IV Rank17.5%5.8%27.8%15.9%17.4%
IV Percentile15.2%1.1%35.3%6.5%17.0%
Term Structure6.6%0.4%13.4%2.3%6.6%
VWIV35.6%28.2%47.5%43.3%28.3%
Skew 25d2.1%-6.3%15.6%8.2%0.5%
Skew 10d-3.0%-22.0%24.5%4.9%-2.1%
Call IV 25d32.2%22.4%40.7%24.3%30.8%
Put IV 25d34.2%24.5%40.2%32.4%31.3%
Bid-Ask Spread %28.8618.0844.7223.2031.71
Gamma HHI0.750.550.950.760.95
Net GEX223.9K17.4K690.5K119.9K648.1K
Net DEX-3.5M-11.2M375.8K-2.4M-10.9M
Net VEX-15.7K-29.7K-8.4K-15.3K-28.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.006.675.400.00
Total Volume440.42905,042645
Total OI7,129.6195,10012,7205,10012,720

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$26.11$25.0032.0%9.2%21.6%15.9%0.0%8.2%2.3%119.9K-2.4M-15.3K5.4023.20N/AN/A10543,8451,255
2008-06-03$26.80$25.0033.3%9.5%22.6%18.2%43.3%15.6%8.5%147.1K-3.0M-16.0K0.0034.58N/AN/A8203,8351,282
2008-06-04$26.04$25.0032.3%9.3%25.4%16.5%0.0%5.2%4.1%111.5K-2.3M-15.0K0.0030.49N/AN/A0403,8791,282
2008-06-05$26.25$25.0028.2%8.1%25.2%9.6%0.0%11.6%13.4%99.5K-2.1M-13.8K0.0026.61N/AN/A3503,8791,302
2008-06-06$25.23$25.0031.7%10.1%29.9%15.5%35.4%1.8%5.8%71.7K-1.4M-13.2K2.3331.91N/AN/A30703,8921,302
2008-06-09$25.24$25.0039.0%11.4%29.9%27.8%40.2%2.0%0.4%86.9K-1.6M-13.5K0.5025.81N/AN/A40203,9111,272
2008-06-10$24.87$25.0033.9%10.4%30.1%19.2%0.0%3.0%4.7%58.0K-950.1K-12.2K0.0018.56N/AN/A1003,9261,263
2008-06-11$24.02$25.0026.0%9.6%32.8%5.8%40.5%13.5%8.1%35.5K-312.2K-10.5K0.1719.72N/AN/A3053,9361,263
2008-06-12$23.41$25.0037.9%10.9%33.9%26.1%47.5%-0.7%4.3%30.9K220.3K-9.3K1.0336.69N/AN/A29303,9361,216
2008-06-13$24.14$25.0036.0%10.3%34.0%22.7%36.1%-1.4%4.9%30.6K-174.8K-9.9K0.0028.35N/AN/A3303,9461,236
2008-06-16$23.95$25.0035.6%10.2%33.8%22.1%36.8%-1.4%5.5%32.1K-54.5K-9.6K6.6729.12N/AN/A6403,9691,236
2008-06-17$23.61$25.0035.9%10.3%33.8%22.6%36.4%1.3%8.0%28.2K146.4K-9.0K0.0024.34N/AN/A0403,9681,251
2008-06-18$23.56$25.0034.9%10.0%33.7%21.0%34.5%-3.7%7.9%17.4K375.8K-8.4K0.0144.72N/AN/A3,027303,9681,246
2008-06-19$23.57$22.5034.7%9.9%33.8%20.5%0.0%-2.9%5.2%266.0K-4.5M-15.2K0.0018.08N/AN/A006,9421,276
2008-06-20$23.14$22.5035.3%10.1%33.9%21.7%33.3%-2.5%6.1%274.5K-4.2M-15.1K0.0044.15N/AN/A7606,9421,087
2008-06-23$23.34$22.5034.2%9.8%34.3%19.7%0.0%-0.4%8.1%295.4K-4.7M-14.1K1.0023.86N/AN/A20206,775921
2008-06-24$22.79$22.5028.5%8.2%34.4%10.1%28.4%-6.3%8.6%363.1K-3.5M-13.4K0.0432.38N/AN/A4,8322106,775941
2008-06-25$23.26$22.5028.7%8.2%34.6%10.4%28.2%-3.6%7.8%644.6K-11.2M-29.7K0.1128.57N/AN/A3584011,5461,101
2008-06-26$22.84$22.5030.5%8.7%34.4%13.5%30.0%-2.5%7.5%649.8K-10.1M-29.6K0.0024.60N/AN/A17011,5991,101
2008-06-27$23.25$22.5028.7%8.2%33.6%10.4%28.3%6.1%10.2%690.5K-11.0M-28.9K0.0028.55N/AN/A01011,5991,101
2008-06-30$23.14$22.5032.8%9.4%32.1%17.4%0.0%0.5%6.6%648.1K-10.9M-28.1K0.0031.71N/AN/A5011,6191,101