TDC Options History — December 2008

In December 2008, TDC traded between $12.79 and $15.46. ATM implied volatility averaged 60.1%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 3.8% (HV 20d: 63.9%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 4.21.

Notable Days

  • 2008-12-04: Highest Volume — 227 contracts
  • 2008-12-04: Largest IV spike — 47.8% change
  • 2008-12-04: Highest IV Rank — 67.3%
  • 2008-12-04: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.40$12.79$15.46$12.79$14.83
Max Pain$16.59$12.50$17.50$12.50$17.50
ATM IV60.1%51.2%83.1%68.8%54.3%
Expected Move17.6%14.7%23.8%19.7%15.6%
HV 20d63.9%48.9%80.5%74.8%48.9%
HV 60d76.0%71.1%79.0%75.4%71.1%
IV Rank40.2%29.8%67.3%50.5%33.4%
IV Percentile78.9%65.9%98.4%86.9%70.2%
Term Structure1.5%-6.0%9.5%9.5%4.8%
VWIV58.9%47.2%82.5%60.4%54.3%
Skew 25d13.9%0.9%22.2%9.3%0.9%
Skew 10d24.8%1.9%43.4%25.6%1.9%
Call IV 25d53.4%41.0%69.0%69.0%42.5%
Put IV 25d67.3%43.3%78.3%78.3%43.3%
Bid-Ask Spread %36.8014.1870.6970.6914.18
Gamma HHI0.280.160.490.170.49
Net GEX1.1K-10.6K18.9K3.4K-10.6K
Net DEX1.0M666.5K1.3M1.1M1.1M
Net VEX-5.0K-6.1K-3.9K-4.6K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.210.0050.000.000.00
Total Volume45.81802272158
Total OI11,807.511,59312,09211,59511,650

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$12.79$12.5068.8%19.7%74.8%50.5%0.0%9.3%9.5%3.4K1.1M-4.6K0.0070.69N/AN/A209,9951,600
2008-12-02$13.77$12.5060.6%17.4%80.5%40.8%60.4%12.0%4.0%8.0K985.2K-5.6K0.7430.57N/AN/A42319,9971,600
2008-12-03$13.86$12.5056.2%16.1%73.5%35.7%0.0%11.6%-2.3%3.7K1.1M-5.0K0.0050.20N/AN/A20010,0271,631
2008-12-04$13.18$12.5083.1%23.8%71.3%67.3%82.5%12.8%-5.8%3.7K1.1M-4.7K15.2141.88N/AN/A1421310,0321,631
2008-12-05$13.64$17.5063.1%20.1%69.5%43.8%0.0%14.4%-0.8%-3.4K1.3M-4.7K0.4544.57N/AN/A11510,0411,844
2008-12-08$14.28$17.5060.8%19.5%71.6%41.0%63.6%9.4%-6.0%4.7K932.1K-5.9K5.7138.75N/AN/A148010,0521,846
2008-12-09$14.44$17.5059.2%18.3%71.5%39.1%54.4%16.3%-1.5%7.5K826.1K-6.1K2.0032.79N/AN/A204010,0621,876
2008-12-10$14.77$17.5053.3%18.1%67.1%32.3%63.5%17.7%-0.8%2.5K913.7K-5.5K1.0029.92N/AN/A101010,0821,896
2008-12-11$14.81$17.5062.0%17.8%63.1%42.5%52.8%17.6%-1.0%7.2K815.4K-5.9K3.5747.45N/AN/A145010,0821,906
2008-12-12$14.92$17.5062.7%18.0%63.0%43.2%0.0%21.5%0.6%6.2K900.6K-5.6K0.0066.95N/AN/A1010,0721,946
2008-12-15$14.19$17.5066.2%19.0%60.9%47.4%53.0%9.7%-2.9%1.4K1.0M-5.2K2.6542.31N/AN/A205310,0731,946
2008-12-16$15.02$17.5062.8%18.0%62.4%43.4%0.0%16.8%-0.1%7.7K858.9K-5.6K0.0044.69N/AN/A4010,0531,976
2008-12-17$15.46$17.5064.0%18.3%62.6%44.8%55.4%12.3%-2.1%9.7K666.5K-5.9K0.9128.99N/AN/A111010,0531,976
2008-12-18$14.99$17.5059.8%17.2%60.0%39.9%59.8%11.9%2.4%5.2K919.4K-5.2K50.0034.28N/AN/A15010,0581,986
2008-12-19$15.07$17.5056.9%16.3%58.3%36.5%47.2%8.8%3.9%18.9K918.6K-5.2K0.0036.94N/AN/A30010,0592,033
2008-12-22$14.40$17.5057.8%16.6%60.2%37.5%59.0%15.7%1.9%-5.8K1.2M-4.5K2.0024.50N/AN/A10209,9081,730
2008-12-23$14.13$17.5056.1%16.1%60.1%35.6%55.0%9.9%4.7%-7.7K1.2M-4.1K0.0021.66N/AN/A2209,9081,685
2008-12-24$14.28$17.5051.2%14.7%57.3%29.8%63.6%17.5%9.3%-8.8K1.2M-4.1K0.0021.61N/AN/A039,9261,685
2008-12-26$14.60$17.5052.6%15.1%57.2%31.3%0.0%22.2%7.1%-9.3K1.2M-4.2K0.0030.51N/AN/A309,9261,688
2008-12-29$14.41$17.5055.0%15.8%57.5%34.3%0.0%15.9%4.3%-9.5K1.2M-3.9K0.0026.59N/AN/A009,9261,688
2008-12-30$14.87$17.5055.2%15.8%54.8%34.4%0.0%22.0%4.5%-10.6K1.1M-4.0K0.0029.60N/AN/A3609,9261,688
2008-12-31$14.83$17.5054.3%15.6%48.9%33.4%54.3%0.9%4.8%-10.6K1.1M-4.0K0.0014.18N/AN/A15809,9621,688