TDC Options History — July 2009

In July 2009, TDC traded between $21.82 and $24.88. ATM implied volatility averaged 41.0%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 1.5% (HV 20d: 39.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2009-07-10: Highest Volume — 2,751 contracts
  • 2009-07-16: Largest IV spike — 52.5% change
  • 2009-07-29: Highest IV Rank — 26.5%
  • 2009-07-29: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.80$21.82$24.88$23.79$24.57
Max Pain$22.27$20.00$22.50$20.00$22.50
ATM IV41.0%27.1%48.9%27.5%48.4%
Expected Move12.7%7.9%14.0%7.9%13.9%
HV 20d39.5%33.7%44.8%40.6%33.7%
HV 60d41.5%38.5%44.3%43.4%38.7%
IV Rank17.1%0.5%26.5%1.1%25.9%
IV Percentile31.5%0.4%52.4%0.4%52.0%
Term Structure-3.3%-8.2%8.9%8.9%-8.2%
VWIV44.1%32.9%48.5%32.9%48.5%
Skew 25d3.5%-7.0%12.8%4.7%2.5%
Skew 10d5.9%-5.9%12.6%-0.3%4.3%
Call IV 25d36.6%25.6%39.6%33.0%39.5%
Put IV 25d40.2%31.9%43.3%37.7%42.0%
Bid-Ask Spread %27.6714.9047.0824.7814.90
Gamma HHI0.410.330.520.330.41
Net GEX414.9K263.8K605.7K359.4K424.7K
Net DEX-11.2M-16.8M-6.4M-11.3M-11.7M
Net VEX-47.5K-52.2K-42.3K-50.6K-52.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.0015.180.000.32
Total Volume562.5142,75187317
Total OI13,310.5919,77115,37613,80713,297

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$23.79$20.0027.5%7.9%40.6%1.1%32.9%4.7%8.9%359.4K-11.3M-50.6K0.0024.78N/AN/A87010,1433,664
2009-07-02$22.98$20.0037.8%10.8%42.1%13.3%37.2%-0.7%5.9%342.9K-9.2M-49.1K0.0026.02N/AN/A212010,2273,664
2009-07-06$23.14$22.5040.3%13.1%39.2%16.2%0.0%12.8%-3.8%374.0K-9.4M-47.4K0.5615.98N/AN/A9510,3273,664
2009-07-07$21.99$22.5043.7%13.1%42.0%20.3%0.0%-6.1%-3.9%282.0K-6.7M-43.8K1.1523.94N/AN/A32036710,3333,669
2009-07-08$21.82$22.5040.9%13.0%40.3%17.0%45.5%-7.0%-3.6%310.7K-6.4M-42.3K0.1424.03N/AN/A5377410,6463,497
2009-07-09$22.59$22.5037.0%12.7%42.6%12.4%0.0%3.4%-2.0%437.8K-8.5M-44.7K0.0124.06N/AN/A852510,6103,561
2009-07-10$22.60$22.5038.2%13.2%42.5%13.8%46.5%5.7%-3.6%437.4K-8.3M-43.2K0.0025.35N/AN/A2,751010,3583,561
2009-07-13$23.45$22.5033.4%13.3%44.8%8.1%45.1%4.4%-5.4%558.1K-12.7M-45.1K1.4121.83N/AN/A344811,7373,561
2009-07-14$23.53$22.5027.1%13.2%42.8%0.5%45.1%3.5%-1.7%417.9K-13.6M-45.4K0.3627.25N/AN/A1385011,7183,590
2009-07-15$23.85$22.5028.5%12.7%42.3%2.2%44.3%4.1%-3.4%365.5K-14.5M-45.8K0.5025.96N/AN/A462311,7343,602
2009-07-16$24.69$22.5043.4%12.4%43.6%20.0%42.4%4.6%-3.0%600.7K-16.8M-46.6K0.1022.71N/AN/A6056011,7573,619
2009-07-17$24.68$22.5043.6%12.5%42.5%20.2%43.5%3.8%-2.4%605.7K-16.4M-47.1K0.0235.58N/AN/A225511,5973,593
2009-07-20$24.75$22.5043.9%12.6%41.9%20.5%43.8%4.9%-4.2%263.8K-9.9M-46.5K0.2034.26N/AN/A1,4302808,2301,541
2009-07-21$24.78$22.5044.1%12.6%37.9%20.8%44.9%4.7%-3.7%346.6K-11.3M-48.5K0.0029.74N/AN/A1,60059,2801,531
2009-07-22$24.42$22.5044.6%12.8%38.0%21.3%0.0%4.6%-4.7%442.6K-12.5M-52.0K15.1833.31N/AN/A1116710,6671,531
2009-07-23$24.88$22.5045.5%13.0%36.3%22.4%45.5%4.6%-5.3%414.3K-12.2M-50.0K0.3234.23N/AN/A22710,0861,673
2009-07-24$24.66$22.5045.4%13.0%34.0%22.3%45.4%4.5%-6.2%418.0K-11.9M-49.5K0.5647.08N/AN/A1025710,1041,680
2009-07-27$24.29$22.5045.8%13.1%34.6%22.8%46.0%5.3%-5.3%420.6K-10.9M-47.9K0.2131.68N/AN/A48810310,1131,730
2009-07-28$23.90$22.5046.8%13.4%35.2%24.0%46.8%4.0%-5.7%424.9K-10.0M-48.8K0.0632.44N/AN/A80510,4661,768
2009-07-29$23.74$22.5048.9%14.0%35.1%26.5%0.0%4.0%-5.5%428.6K-9.6M-47.6K0.6929.90N/AN/A1087410,5071,773
2009-07-30$24.48$22.5046.6%13.4%36.3%23.8%46.6%5.7%-5.9%452.1K-11.8M-50.6K2.7423.77N/AN/A28578110,6011,823
2009-07-31$24.57$22.5048.4%13.9%33.7%25.9%48.5%2.5%-8.2%424.7K-11.7M-52.2K0.3214.90N/AN/A2407710,8002,497