TDC Options History — September 2008

In September 2008, TDC traded between $18.41 and $25.00. ATM implied volatility averaged 39.9%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 5.1% (HV 20d: 45.0%). 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 18 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2008-09-16: Highest Volume — 2,328 contracts
  • 2008-09-04: Largest IV spike — 33.0% change
  • 2008-09-29: Highest IV Rank — 60.6%
  • 2008-09-29: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.21$18.41$25.00$25.00$19.50
Max Pain$24.52$22.50$25.00$25.00$22.50
ATM IV39.9%28.1%58.3%29.4%53.8%
Expected Move11.7%8.0%16.7%8.4%15.4%
HV 20d45.0%33.0%73.5%33.0%73.5%
HV 60d37.3%31.1%50.3%31.1%50.3%
IV Rank29.4%9.4%60.6%11.5%52.9%
IV Percentile46.4%2.6%96.4%6.0%91.3%
Term Structure2.1%-8.5%6.6%5.3%-1.8%
VWIV41.5%33.0%57.9%37.3%47.3%
Skew 25d5.8%-3.4%21.5%-0.0%21.5%
Skew 10d7.2%-9.0%25.5%-7.7%25.5%
Call IV 25d37.1%29.7%51.7%35.0%42.5%
Put IV 25d42.9%35.0%64.0%35.0%64.0%
Bid-Ask Spread %37.6119.8781.6119.8762.49
Gamma HHI0.770.650.860.670.70
Net GEX219.7K142.2K267.4K229.5K171.0K
Net DEX-4.9M-9.3M-1.5M-9.3M-2.0M
Net VEX-43.6K-50.4K-31.2K-48.7K-32.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.002.310.960.83
Total Volume358202,328106291
Total OI11,303.9059,80012,6389,80012,540

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$25.00$25.0029.4%8.4%33.0%11.5%0.0%-0.0%5.3%229.5K-9.3M-48.7K0.9619.87N/AN/A54528,3181,482
2008-09-03$23.87$25.0028.1%8.0%37.7%9.4%0.0%7.2%2.3%233.0K-7.2M-46.5K2.3142.77N/AN/A1112568,3111,524
2008-09-04$22.81$25.0037.3%10.7%41.1%25.0%37.3%0.6%-0.6%214.1K-5.1M-44.4K1.0036.12N/AN/A2052068,3121,668
2008-09-05$23.63$25.0029.5%10.5%36.2%11.7%33.0%7.5%3.6%197.3K-5.6M-45.4K0.5328.06N/AN/A4792528,3361,825
2008-09-08$23.74$25.0033.7%10.5%34.3%18.8%37.0%7.4%3.3%216.0K-6.1M-47.5K0.5020.05N/AN/A193978,7202,008
2008-09-09$23.40$25.0035.1%11.1%34.5%21.3%0.0%5.4%2.4%212.6K-5.9M-47.3K0.0026.33N/AN/A5908,7382,027
2008-09-10$23.72$25.0031.0%11.2%33.8%14.3%0.0%6.6%1.4%209.9K-6.2M-47.2K0.0029.20N/AN/A4408,7072,027
2008-09-11$23.42$25.0036.3%10.4%34.0%23.3%36.1%3.7%3.1%212.7K-5.3M-45.9K0.0029.87N/AN/A8908,6852,027
2008-09-12$22.99$25.0037.7%10.8%34.0%25.6%0.0%6.0%2.8%221.7K-4.3M-43.6K0.0024.82N/AN/A6408,6872,027
2008-09-15$22.10$25.0039.9%11.4%36.0%29.3%40.7%6.2%2.7%210.5K-3.3M-40.1K1.1926.34N/AN/A52628,7322,027
2008-09-16$23.59$25.0040.3%11.6%44.0%30.1%38.3%5.5%4.1%214.7K-5.8M-45.2K0.1029.47N/AN/A2,1132158,7442,044
2008-09-17$22.17$25.0045.5%13.0%48.7%38.9%36.6%3.3%0.3%250.3K-5.2M-50.1K0.3225.73N/AN/A2859010,2972,111
2008-09-18$22.14$25.0043.0%12.3%48.5%34.6%49.9%9.7%2.6%248.3K-4.2M-48.2K0.7461.25N/AN/A272010,5092,129
2008-09-19$22.20$25.0039.3%11.3%48.3%28.3%45.9%6.5%4.5%267.4K-5.7M-50.4K0.1864.05N/AN/A17310,5311,925
2008-09-22$21.38$25.0039.5%11.3%49.4%28.7%40.4%1.8%6.6%241.8K-5.2M-44.3K0.2362.25N/AN/A1774010,2091,410
2008-09-23$21.21$25.0045.7%13.1%48.7%39.2%44.1%3.7%0.8%251.9K-4.9M-44.5K0.1031.57N/AN/A4835010,3291,443
2008-09-24$21.03$25.0045.1%12.9%47.4%38.3%38.9%7.9%1.8%253.1K-4.5M-42.3K0.0121.56N/AN/A198110,6161,433
2008-09-25$19.40$22.5042.7%12.2%53.6%34.2%45.8%12.5%4.4%185.5K-1.8M-32.2K1.1325.77N/AN/A27431010,6471,434
2008-09-26$20.61$22.5046.9%13.4%59.2%41.2%35.4%1.3%2.4%229.8K-3.5M-38.8K1.4940.57N/AN/A14221110,6901,666
2008-09-29$18.41$22.5058.3%16.7%69.7%60.6%57.9%-3.4%-8.5%142.2K-1.5M-31.2K0.3381.61N/AN/A2237310,7841,703
2008-09-30$19.50$22.5053.8%15.4%73.5%52.9%47.3%21.5%-1.8%171.0K-2.0M-32.7K0.8362.49N/AN/A15913210,8711,669