TDC Options History — July 2008

In July 2008, TDC traded between $22.13 and $23.42. ATM implied volatility averaged 38.6%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 9.7% (HV 20d: 28.9%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 49.13.

Notable Days

  • 2008-07-01: Highest Volume — 963 contracts
  • 2008-07-10: Largest IV spike — 33.0% change
  • 2008-07-31: Highest IV Rank — 35.0%
  • 2008-07-31: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.60$22.13$23.42$22.89$23.42
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV38.6%29.6%43.2%31.6%43.2%
Expected Move11.4%9.0%12.4%9.1%12.4%
HV 20d28.9%25.3%33.0%29.8%28.0%
HV 60d29.7%28.4%31.1%29.7%28.6%
IV Rank27.2%11.9%35.0%15.3%35.0%
IV Percentile39.2%6.2%59.5%8.5%59.5%
Term Structure-0.3%-5.3%8.9%8.9%-4.7%
VWIV36.9%23.4%41.7%28.7%39.6%
Skew 25d3.6%0.1%13.8%8.2%0.3%
Skew 10d6.1%0.7%31.4%16.7%4.3%
Call IV 25d35.3%25.3%40.8%33.5%37.6%
Put IV 25d38.9%26.7%46.2%41.7%37.9%
Bid-Ask Spread %41.4421.3259.3428.8749.14
Gamma HHI0.930.870.980.960.90
Net GEX720.4K378.5K1.6M717.9K451.2K
Net DEX-6.6M-9.9M-3.6M-9.5M-6.8M
Net VEX-21.2K-27.9K-16.7K-27.6K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio49.130.00671.003.320.33
Total Volume177.545096396380
Total OI10,865.2276,56213,59512,7207,410

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$22.89$22.5031.6%9.1%29.8%15.3%28.7%8.2%8.9%717.9K-9.5M-27.6K3.3228.87N/AN/A22374011,6191,101
2008-07-02$22.43$22.5031.3%9.0%29.2%14.8%0.0%1.4%8.0%688.8K-7.4M-27.1K21.0021.32N/AN/A24211,6651,735
2008-07-03$22.80$22.5036.5%10.5%29.9%23.7%23.4%4.5%5.3%639.0K-7.9M-27.9K0.2241.68N/AN/A451011,6831,775
2008-07-07$22.13$22.5037.0%11.7%28.7%24.5%41.7%13.8%-2.3%687.4K-6.0M-25.2K1.0237.56N/AN/A404111,7181,775
2008-07-08$23.02$22.5030.6%12.0%33.0%13.6%40.5%13.5%-5.3%769.2K-9.1M-25.0K1.1533.49N/AN/A677711,7191,752
2008-07-09$22.88$22.5029.6%11.4%32.7%11.9%39.8%4.4%0.8%788.2K-9.7M-24.1K232.6741.66N/AN/A369811,7601,755
2008-07-10$22.51$22.5039.3%11.3%31.1%28.4%39.7%3.6%-1.0%844.8K-7.2M-24.3K0.1039.89N/AN/A4224411,7611,650
2008-07-11$22.32$22.5042.2%12.1%30.0%33.3%26.9%0.1%-2.6%799.8K-6.8M-23.8K0.6030.80N/AN/A503011,8621,641
2008-07-14$22.47$22.5041.7%11.9%27.6%32.4%41.7%2.1%-1.2%962.9K-7.4M-22.4K0.0025.66N/AN/A20011,9021,641
2008-07-15$22.18$22.5040.1%11.5%27.8%29.6%40.2%3.0%1.1%1.0M-6.1M-21.3K0.0037.21N/AN/A05011,9101,641
2008-07-16$22.52$22.5041.1%11.8%28.3%31.4%40.8%2.4%-1.5%1.3M-6.9M-21.0K0.7128.83N/AN/A352511,9101,643
2008-07-17$22.35$22.5038.9%11.2%28.3%27.7%39.2%0.5%-1.1%1.3M-6.6M-20.3K1.0046.06N/AN/A131311,9151,668
2008-07-18$22.79$22.5041.9%12.0%29.4%32.8%36.1%3.2%-2.6%1.6M-9.9M-19.2K0.0350.93N/AN/A108311,9181,677
2008-07-21$22.58$22.5041.5%11.9%28.9%32.1%38.5%3.5%-2.0%387.9K-5.7M-17.2K0.0040.42N/AN/A2505,903659
2008-07-22$22.43$22.5042.6%12.2%28.7%33.9%0.0%2.1%-3.0%387.3K-5.4M-17.0K671.0057.49N/AN/A16715,928659
2008-07-23$22.61$22.5039.3%11.3%27.7%28.4%39.6%1.8%0.3%394.4K-4.7M-18.7K0.0041.71N/AN/A0215,9271,290
2008-07-24$22.29$22.5041.5%11.9%27.0%32.2%0.0%1.7%-2.3%378.5K-4.3M-18.1K0.0059.34N/AN/A6005,9271,291
2008-07-25$22.22$22.5038.5%11.0%26.3%27.0%0.0%2.7%1.4%419.6K-3.7M-17.6K0.0052.18N/AN/A005,9871,291
2008-07-28$22.18$22.5040.2%11.5%25.3%29.8%0.0%1.9%-1.3%431.7K-3.6M-16.7K0.0044.33N/AN/A405,9871,291
2008-07-29$23.02$22.5039.2%11.2%28.9%28.2%0.0%2.8%-0.5%468.5K-5.5M-17.1K0.3758.77N/AN/A163605,9881,291
2008-07-30$23.06$22.5041.5%11.9%28.6%32.0%0.0%0.9%-2.0%474.8K-5.8M-17.6K0.0044.34N/AN/A2006,1491,261
2008-07-31$23.42$22.5043.2%12.4%28.0%35.0%0.0%0.3%-4.7%451.2K-6.8M-17.3K0.3349.14N/AN/A60206,1491,261