TDC Options History — June 2009

In June 2009, TDC traded between $21.86 and $24.10. ATM implied volatility averaged 37.2%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 0.6% (HV 20d: 37.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.05.

Notable Days

  • 2009-06-04: Highest Volume — 1,528 contracts
  • 2009-06-11: Largest IV spike — 35.9% change
  • 2009-06-24: Highest IV Rank — 17.1%
  • 2009-06-24: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.09$21.86$24.10$22.69$23.43
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV37.2%26.6%41.0%36.5%36.7%
Expected Move11.1%10.2%11.8%10.5%10.5%
HV 20d37.8%30.7%44.0%44.0%40.6%
HV 60d44.0%42.8%44.9%44.9%43.6%
IV Rank12.8%0.7%17.1%12.4%12.0%
IV Percentile20.0%0.4%29.0%20.6%16.3%
Term Structure3.0%-2.0%6.6%3.4%6.1%
VWIV38.0%26.6%44.9%37.0%35.0%
Skew 25d6.9%-1.2%21.7%10.2%-0.4%
Skew 10d9.7%-6.6%24.0%16.8%-4.3%
Call IV 25d32.9%22.9%39.5%28.0%35.3%
Put IV 25d39.7%30.6%44.6%38.2%34.9%
Bid-Ask Spread %29.5821.4958.6245.3223.90
Gamma HHI0.450.280.640.610.36
Net GEX395.5K216.6K763.0K370.9K363.0K
Net DEX-11.4M-16.1M-6.3M-9.8M-9.9M
Net VEX-51.9K-57.9K-43.7K-43.7K-48.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.050.0058.330.010.19
Total Volume319.591,528418189
Total OI15,190.18213,07016,91314,06113,678

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$22.69$20.0036.5%10.5%44.0%12.4%37.0%10.2%3.4%370.9K-9.8M-43.7K0.0145.32N/AN/A41449,9644,097
2009-06-02$22.95$20.0039.7%11.4%39.0%16.2%40.1%10.9%-2.0%342.4K-11.2M-46.3K0.2658.62N/AN/A381010,1624,093
2009-06-03$22.68$20.0036.4%10.4%39.6%12.3%36.4%3.6%0.8%370.1K-10.3M-46.0K0.2927.32N/AN/A7210,1844,103
2009-06-04$23.10$20.0039.8%11.4%39.7%16.3%39.8%11.2%-1.8%368.5K-11.5M-45.5K1.0326.16N/AN/A75377510,1904,103
2009-06-05$24.09$20.0030.8%11.7%31.0%5.6%40.0%10.0%0.1%363.2K-14.6M-54.2K0.0526.48N/AN/A1,1615510,7314,814
2009-06-08$23.42$20.0037.4%11.5%33.2%13.5%39.1%6.7%3.1%394.8K-13.6M-55.4K0.0031.00N/AN/A434011,5154,864
2009-06-09$24.10$20.0028.2%11.5%33.7%2.6%41.2%6.7%1.7%435.9K-15.5M-55.5K1.2529.40N/AN/A243011,6364,864
2009-06-10$23.89$20.0026.6%10.2%33.1%0.7%36.1%6.8%4.7%413.8K-15.1M-56.9K0.0032.82N/AN/A104011,6544,878
2009-06-11$24.01$20.0036.1%10.4%30.7%12.0%36.0%8.6%4.4%386.4K-16.1M-57.0K0.0026.08N/AN/A10011,7334,878
2009-06-12$23.99$20.0036.6%10.5%30.8%11.9%0.0%8.2%2.6%398.8K-15.1M-56.4K1.2122.43N/AN/A8910811,7334,878
2009-06-15$23.12$20.0039.5%11.3%34.6%15.3%38.2%4.9%2.6%469.6K-13.2M-55.8K0.6623.29N/AN/A644211,7374,986
2009-06-16$22.66$20.0040.1%11.5%35.8%16.0%39.3%3.0%3.6%502.7K-11.7M-54.5K0.1124.58N/AN/A9111,7615,028
2009-06-17$23.00$20.0040.0%11.5%36.0%15.9%0.0%2.5%0.1%543.3K-12.6M-55.4K0.0022.50N/AN/A51011,7665,029
2009-06-18$22.47$20.0039.4%11.3%37.2%15.2%0.0%3.4%1.7%763.0K-10.0M-53.3K0.0031.22N/AN/A74011,8175,029
2009-06-19$23.01$20.0038.2%10.9%37.8%13.7%34.2%6.5%3.5%614.4K-13.3M-52.6K0.0021.49N/AN/A70011,8845,029
2009-06-22$22.01$20.0041.0%11.8%41.6%17.1%40.0%1.7%3.8%223.4K-7.0M-50.4K0.4734.43N/AN/A172809,5773,493
2009-06-23$22.50$20.0038.8%11.1%41.7%14.5%34.9%7.5%5.7%260.2K-7.6M-50.7K0.9526.80N/AN/A7477109,6783,568
2009-06-24$21.86$20.0041.0%11.8%42.1%17.1%44.0%11.3%3.0%216.6K-6.3M-57.9K2.1722.86N/AN/A6413910,4024,278
2009-06-25$22.81$20.0038.2%10.9%44.0%13.7%26.6%21.7%6.1%278.9K-8.1M-48.5K0.0643.85N/AN/A304179,7463,530
2009-06-26$23.06$20.0037.4%10.7%44.0%12.9%44.9%7.1%6.6%310.3K-9.0M-49.5K58.3327.97N/AN/A31759,9593,537
2009-06-29$23.15$20.0039.4%11.3%40.6%15.2%39.4%-1.2%5.7%310.3K-9.3M-48.5K0.0522.24N/AN/A9559,9593,639
2009-06-30$23.43$20.0036.7%10.5%40.6%12.0%35.0%-0.4%6.1%363.0K-9.9M-48.2K0.1923.90N/AN/A1593010,0343,644