TDC Options History — August 2008

In August 2008, TDC traded between $22.39 and $25.18. ATM implied volatility averaged 35.3%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 0.6% (HV 20d: 34.7%). 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 0.30.

Notable Days

  • 2008-08-08: Highest Volume — 4,023 contracts
  • 2008-08-14: Largest IV spike — 15.0% change
  • 2008-08-04: Highest IV Rank — 42.5%
  • 2008-08-01: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.31$22.39$25.18$22.39$24.57
Max Pain$24.88$22.50$25.00$22.50$25.00
ATM IV35.3%28.4%47.6%42.3%29.2%
Expected Move10.0%8.2%12.1%12.1%8.4%
HV 20d34.7%26.7%38.2%32.0%32.7%
HV 60d32.3%29.8%33.2%30.0%32.0%
IV Rank21.6%10.0%42.5%33.4%11.2%
IV Percentile26.5%3.0%71.2%56.4%5.6%
Term Structure1.4%-3.5%4.6%-3.5%2.9%
VWIV33.0%20.7%42.9%42.9%24.1%
Skew 25d1.9%-2.5%8.5%-2.5%8.5%
Skew 10d4.0%-11.3%16.5%-11.3%4.7%
Call IV 25d35.6%26.0%39.5%39.5%26.0%
Put IV 25d37.6%34.1%40.5%36.9%34.6%
Bid-Ask Spread %32.1423.5356.0856.0839.22
Gamma HHI0.710.410.940.920.69
Net GEX268.6K9.0K572.1K473.9K228.2K
Net DEX-10.6M-20.5M-4.3M-4.8M-8.5M
Net VEX-37.7K-49.9K-10.4K-17.1K-49.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.003.080.000.00
Total Volume528.33394,023479
Total OI9,855.9527,47514,1307,4759,840

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$22.39$22.5042.3%12.1%32.0%33.4%42.9%-2.5%-3.5%473.9K-4.8M-17.1K0.0056.08N/AN/A4706,1941,281
2008-08-04$22.42$25.0047.6%11.4%30.2%42.5%0.0%0.4%-2.1%472.5K-4.3M-15.8K3.0829.53N/AN/A12376,2071,281
2008-08-05$22.63$25.0041.5%10.7%26.7%32.0%37.9%4.2%-0.7%572.1K-4.7M-15.5K0.0025.94N/AN/A12406,2061,313
2008-08-06$22.89$25.0043.0%10.5%27.0%34.6%36.4%5.9%-1.2%570.6K-5.6M-15.3K0.1833.01N/AN/A1,1242006,2791,313
2008-08-07$24.40$25.0041.3%10.2%34.5%31.8%35.6%1.2%-1.6%268.1K-10.5M-13.2K0.3129.86N/AN/A45146,3121,483
2008-08-08$25.15$25.0035.2%10.0%35.4%21.4%34.6%3.4%1.5%9.0K-12.3M-10.4K0.0337.12N/AN/A3,9131106,3491,497
2008-08-11$25.18$25.0034.1%10.6%35.4%19.5%20.7%1.9%-0.7%145.9K-17.1M-30.2K0.0328.14N/AN/A2,467709,5061,583
2008-08-12$24.49$25.0030.0%10.3%36.8%12.7%36.0%0.9%0.6%253.1K-18.7M-43.5K0.0131.51N/AN/A7861011,6911,623
2008-08-13$24.46$25.0031.2%10.6%36.7%14.6%36.7%1.7%2.7%231.7K-19.2M-46.7K0.3526.32N/AN/A31211012,2171,623
2008-08-14$24.79$25.0035.9%10.3%36.6%22.6%0.0%3.5%1.7%226.9K-19.8M-48.2K0.0231.32N/AN/A84212,3511,723
2008-08-15$24.95$25.0033.9%9.7%36.2%19.2%34.6%4.2%3.6%250.1K-20.5M-48.3K0.0029.48N/AN/A204012,4071,723
2008-08-18$25.01$25.0034.2%9.8%35.8%19.7%34.2%1.0%2.4%206.2K-8.9M-48.0K0.0023.53N/AN/A14907,6531,386
2008-08-19$24.81$25.0033.5%9.6%35.9%18.5%33.4%0.1%4.2%203.3K-8.6M-47.9K0.0025.37N/AN/A17307,6811,386
2008-08-20$25.01$25.0034.4%9.9%35.9%20.0%33.0%1.7%2.3%209.6K-9.0M-48.1K0.3228.96N/AN/A126407,7701,386
2008-08-21$24.50$25.0034.3%9.8%36.4%19.9%34.5%0.5%3.2%209.5K-8.2M-48.5K0.0530.31N/AN/A387207,8941,406
2008-08-22$24.69$25.0032.4%9.3%36.3%16.7%0.0%0.7%2.2%220.8K-8.7M-49.5K0.6225.73N/AN/A63398,1091,416
2008-08-25$23.99$25.0034.1%9.8%38.2%19.6%24.9%0.1%0.6%217.4K-7.5M-47.9K0.0637.13N/AN/A188128,1131,455
2008-08-26$24.57$25.0032.2%9.2%36.9%16.4%32.1%0.0%4.1%221.3K-8.2M-49.4K1.0434.74N/AN/A53558,2551,463
2008-08-27$24.74$25.0032.7%9.4%36.9%17.2%0.0%1.0%3.1%224.3K-8.6M-49.9K0.0733.20N/AN/A6048,2521,518
2008-08-28$24.89$25.0028.4%8.2%36.7%10.0%28.4%0.4%4.6%226.6K-9.0M-49.7K0.1538.54N/AN/A4068,3081,522
2008-08-29$24.57$25.0029.2%8.4%32.7%11.2%24.1%8.5%2.9%228.2K-8.5M-49.4K0.0039.22N/AN/A908,3181,522