TDC Options History — March 2009

In March 2009, TDC traded between $14.66 and $17.12. ATM implied volatility averaged 45.7%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 7.1% (HV 20d: 52.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2009-03-12: Highest Volume — 1,204 contracts
  • 2009-03-05: Largest IV spike — 44.6% change
  • 2009-03-31: Highest IV Rank — 31.8%
  • 2009-03-31: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.32$14.66$17.12$14.66$16.22
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV45.7%33.1%52.9%49.2%52.9%
Expected Move13.2%9.5%15.2%14.1%15.2%
HV 20d52.8%45.6%58.0%52.1%45.6%
HV 60d51.1%48.9%52.4%51.2%48.9%
IV Rank23.2%8.5%31.8%27.3%31.8%
IV Percentile45.1%14.3%61.1%54.0%61.1%
Term Structure4.1%-2.4%19.6%-1.1%8.6%
VWIV49.5%42.5%64.1%49.2%55.7%
Skew 25d14.5%6.6%25.0%6.8%12.7%
Skew 10d25.6%7.1%50.8%12.7%14.3%
Call IV 25d39.3%31.0%46.8%46.8%41.3%
Put IV 25d53.8%47.1%61.3%53.6%54.0%
Bid-Ask Spread %28.8017.1362.9523.6127.34
Gamma HHI0.590.380.800.660.46
Net GEX-26.7K-126.2K58.7K-95.6K16.0K
Net DEX-312.0K-1.5M1.4M1.4M-351.7K
Net VEX-5.7K-7.0K-4.1K-7.0K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.004.670.003.70
Total Volume196.04501,2042947
Total OI5,572.6824,1156,7885,4464,807

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$14.66$15.0049.2%14.1%52.1%27.3%49.2%6.8%-1.1%-95.6K1.4M-7.0K0.0023.61N/AN/A2901,6923,754
2009-03-03$15.35$15.0049.3%14.1%53.8%27.5%49.3%11.5%-1.2%-99.4K977.0K-6.8K1.0030.62N/AN/A20201,6983,754
2009-03-04$16.26$15.0033.1%9.5%56.5%8.5%46.5%17.4%19.6%-73.9K1.8K-6.1K0.1662.95N/AN/A188301,6783,774
2009-03-05$16.32$15.0047.9%13.7%56.5%25.9%50.4%15.9%0.5%-68.3K-10.0K-6.0K0.3445.65N/AN/A64221,7283,804
2009-03-06$16.01$15.0051.0%14.8%56.4%29.5%43.1%11.8%0.6%-84.9K240.1K-6.0K2.0040.31N/AN/A10201,7503,826
2009-03-09$15.64$15.0046.9%14.8%57.6%24.7%51.9%6.6%-1.0%-110.2K531.0K-5.8K0.1023.80N/AN/A2021,7603,846
2009-03-10$15.50$15.0044.6%14.7%57.9%22.0%44.8%9.1%-1.4%-126.2K663.8K-5.9K0.6821.00N/AN/A110751,7803,848
2009-03-11$16.09$15.0049.7%14.2%57.0%28.0%45.4%11.2%-2.4%-82.1K-151.8K-5.3K1.0121.79N/AN/A72731,8313,894
2009-03-12$16.76$15.0044.4%12.7%58.0%21.7%44.7%17.1%2.8%-68.8K-837.3K-4.1K0.0222.10N/AN/A1,184201,8423,965
2009-03-13$17.12$15.0044.9%12.9%53.7%22.3%44.6%17.2%2.0%15.8K-1.5M-5.1K0.0927.45N/AN/A120112,5453,983
2009-03-16$16.25$15.0050.4%14.5%53.5%28.8%42.5%7.5%0.7%-36.6K-276.6K-6.1K2.5932.10N/AN/A611582,5943,993
2009-03-17$16.72$15.0042.9%12.3%50.8%20.0%0.0%14.1%3.0%-8.1K-858.3K-5.6K0.0019.78N/AN/A602,6174,108
2009-03-18$16.79$15.0043.2%12.4%50.8%20.4%43.8%13.8%2.0%47.1K-1.2M-5.0K0.0018.58N/AN/A9702,6134,108
2009-03-19$16.82$15.0043.6%12.5%50.4%20.8%43.1%12.5%3.4%58.7K-1.3M-5.0K0.0021.38N/AN/A1602,6744,108
2009-03-20$16.42$15.0045.0%12.9%51.6%22.5%52.4%11.0%0.2%23.1K-993.1K-4.6K4.2917.13N/AN/A1717342,6804,108
2009-03-23$16.86$15.0045.4%13.0%50.4%22.9%48.3%21.4%7.9%17.5K-542.3K-5.4K0.6730.56N/AN/A3132101,9612,154
2009-03-24$16.68$15.0046.2%13.2%49.3%23.8%61.0%21.6%5.1%18.5K-601.9K-6.2K4.6729.28N/AN/A301402,1372,342
2009-03-25$16.36$15.0046.5%13.3%49.8%24.1%0.0%15.8%6.4%6.4K-244.0K-6.3K0.0018.99N/AN/A202,1522,480
2009-03-26$17.04$15.0042.2%12.1%50.5%19.1%59.4%25.0%13.0%22.7K-626.8K-5.9K0.2830.20N/AN/A125352,1522,480
2009-03-27$16.87$15.0040.8%11.7%50.8%17.5%64.1%22.1%9.4%26.1K-753.2K-6.1K0.0033.47N/AN/A0782,2772,495
2009-03-30$16.40$15.0044.4%12.7%47.8%21.8%0.0%16.7%11.7%14.5K-431.6K-6.1K0.0035.63N/AN/A002,2772,530
2009-03-31$16.22$15.0052.9%15.2%45.6%31.8%55.7%12.7%8.6%16.0K-351.7K-5.8K3.7027.34N/AN/A10372,2772,530