TDC Options History — May 2009

In May 2009, TDC traded between $17.10 and $21.60. ATM implied volatility averaged 44.2%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 3.0% (HV 20d: 47.1%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2009-05-29: Highest Volume — 2,916 contracts
  • 2009-05-12: Largest IV spike — 38.2% change
  • 2009-05-05: Highest IV Rank — 42.5%
  • 2009-05-01: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.39$17.10$21.60$17.10$21.60
Max Pain$19.50$15.00$22.50$15.00$20.00
ATM IV44.2%31.4%62.1%54.5%36.0%
Expected Move12.1%10.2%15.6%15.6%10.3%
HV 20d47.1%42.1%55.1%45.9%42.1%
HV 60d48.5%44.0%52.3%48.7%44.0%
IV Rank21.4%6.4%42.5%33.6%11.9%
IV Percentile39.2%7.9%78.2%62.3%19.8%
Term Structure0.7%-7.8%9.5%-7.8%2.5%
VWIV44.6%35.4%82.6%58.6%40.4%
Skew 25d4.4%-4.6%8.8%7.9%5.6%
Skew 10d7.5%-13.2%27.7%20.8%27.7%
Call IV 25d39.0%32.4%46.5%41.1%33.8%
Put IV 25d43.4%33.1%49.1%49.1%39.4%
Bid-Ask Spread %41.4323.0066.8247.4631.52
Gamma HHI0.500.350.740.490.61
Net GEX64.0K-11.3K254.1K25.3K254.1K
Net DEX-2.8M-5.5M-1.0M-1.0M-5.5M
Net VEX-13.8K-30.3K-3.9K-5.3K-30.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.0019.381.330.18
Total Volume809.0592,916772,916
Total OI6,069.752,79211,6152,79211,615

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$17.10$15.0054.5%15.6%45.9%33.6%58.6%7.9%-7.8%25.3K-1.0M-5.3K1.3347.46N/AN/A33441,6041,188
2009-05-04$18.31$15.0058.7%13.0%51.0%38.6%0.0%6.0%-0.9%33.5K-1.8M-5.0K0.1632.41N/AN/A436691,6241,190
2009-05-05$18.72$15.0062.1%13.4%50.5%42.5%47.5%5.6%-2.7%39.6K-2.0M-5.1K0.0840.56N/AN/A158121,7891,256
2009-05-06$18.83$15.0059.3%11.9%48.2%39.2%0.0%6.6%-0.8%45.2K-2.1M-4.9K0.1540.72N/AN/A100151,8361,268
2009-05-07$20.50$15.0046.5%11.6%55.1%24.2%39.9%1.3%-0.4%34.5K-3.1M-3.9K0.5047.42N/AN/A4302171,8661,268
2009-05-08$20.91$20.0041.7%11.0%54.2%18.6%35.4%-2.1%2.2%31.0K-2.8M-4.6K0.0560.89N/AN/A207101,8151,439
2009-05-11$21.35$20.0031.4%12.3%44.2%6.4%42.6%-4.6%-3.1%24.2K-3.1M-4.9K0.2643.17N/AN/A1,7034491,9051,449
2009-05-12$20.99$22.5043.4%12.4%45.4%20.5%39.9%4.1%-1.0%72.4K-3.7M-12.9K0.2235.75N/AN/A111243,5071,858
2009-05-13$20.43$22.5042.2%12.7%47.9%19.2%51.3%5.0%3.3%81.3K-3.3M-13.1K19.3823.00N/AN/A1082,0933,5841,858
2009-05-14$20.46$22.5045.0%12.9%48.0%22.4%0.0%1.4%-0.7%16.7K-2.2M-18.2K0.0729.56N/AN/A4633,6143,828
2009-05-15$20.60$22.5045.4%13.0%47.3%23.0%42.0%5.5%-1.5%7.3K-2.4M-18.0K0.5031.20N/AN/A60303,6193,831
2009-05-18$20.61$22.5045.0%12.9%46.7%22.4%39.5%7.4%1.0%-11.3K-1.3M-17.4K0.0539.64N/AN/A261133,0923,479
2009-05-19$20.64$22.5041.8%12.0%46.8%18.6%39.1%5.6%0.2%-4.3K-1.4M-17.8K0.0038.96N/AN/A1,40233,2943,492
2009-05-20$20.95$20.0041.7%12.0%46.4%18.5%82.6%1.4%-0.3%41.1K-2.6M-18.7K0.0050.79N/AN/A1303,8333,489
2009-05-21$20.92$20.0039.4%11.3%46.1%15.8%35.4%6.7%3.6%27.4K-2.3M-17.6K0.0059.42N/AN/A98713,8233,489
2009-05-22$21.07$20.0035.4%10.2%46.2%11.1%41.3%4.3%9.5%100.7K-3.0M-18.7K0.0066.82N/AN/A904,7353,490
2009-05-26$21.49$20.0037.6%10.8%43.0%13.7%39.2%6.9%1.8%127.1K-3.6M-18.5K0.5834.59N/AN/A26154,7353,490
2009-05-27$20.95$20.0039.8%11.4%45.0%16.3%39.6%8.8%8.2%128.0K-3.4M-18.7K0.1138.22N/AN/A2,2162434,7353,479
2009-05-28$21.39$20.0036.3%10.4%42.5%12.2%40.4%4.0%1.5%205.9K-4.4M-22.9K0.0136.46N/AN/A1,704146,2203,709
2009-05-29$21.60$20.0036.0%10.3%42.1%11.9%0.0%5.6%2.5%254.1K-5.5M-30.3K0.1831.52N/AN/A2,4754417,8953,720