TDC Options History — August 2009

In August 2009, TDC traded between $24.92 and $27.52. ATM implied volatility averaged 37.9%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 2.8% (HV 20d: 35.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2009-08-06: Highest Volume — 4,321 contracts
  • 2009-08-06: Largest IV drop — 29.9% change
  • 2009-08-04: Highest IV Rank — 30.7%
  • 2009-08-04: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.43$24.92$27.52$25.20$26.93
Max Pain$24.52$22.50$25.00$22.50$25.00
ATM IV37.9%29.2%52.4%50.7%31.8%
Expected Move11.0%8.4%15.0%14.5%9.1%
HV 20d35.2%28.0%37.8%34.6%34.3%
HV 60d37.1%35.1%38.5%35.1%35.8%
IV Rank13.4%3.1%30.7%28.6%6.2%
IV Percentile19.5%3.2%57.9%54.8%6.0%
Term Structure1.5%-10.5%16.1%-9.1%13.5%
VWIV39.0%31.1%52.4%50.5%32.1%
Skew 25d5.7%-1.0%16.9%4.6%16.9%
Skew 10d7.1%-7.1%14.1%10.7%14.1%
Call IV 25d32.7%20.3%40.3%39.8%21.2%
Put IV 25d38.4%32.5%44.4%44.4%38.1%
Bid-Ask Spread %31.9219.7150.0622.8223.88
Gamma HHI0.460.410.530.420.49
Net GEX402.4K260.6K592.6K439.1K288.0K
Net DEX-17.8M-27.0M-9.1M-13.5M-11.0M
Net VEX-47.0K-52.6K-41.9K-52.1K-41.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.0010.000.1610.00
Total Volume562.90564,32163388
Total OI14,337.09510,60417,25713,51910,731

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$25.20$22.5050.7%14.5%34.6%28.6%50.5%4.6%-9.1%439.1K-13.5M-52.1K0.1622.82N/AN/A5468710,9572,562
2009-08-04$25.60$22.5052.4%15.0%28.0%30.7%50.0%3.9%-10.2%446.5K-15.0M-52.6K0.7519.90N/AN/A89867511,2622,643
2009-08-05$24.92$22.5052.3%15.0%30.1%30.5%52.4%4.1%-10.5%453.7K-13.3M-52.2K0.0619.71N/AN/A5343411,4362,821
2009-08-06$26.66$22.5036.6%10.5%35.9%11.9%37.0%5.3%0.1%478.4K-20.1M-50.3K0.2428.85N/AN/A3,49083111,8722,731
2009-08-07$26.88$25.0033.1%9.6%35.7%7.7%35.0%-1.0%2.5%539.0K-27.0M-50.1K1.2243.22N/AN/A17821714,1523,105
2009-08-10$26.58$25.0035.4%10.5%34.8%10.5%36.6%1.3%2.7%460.6K-20.6M-49.7K0.0124.99N/AN/A1,068812,0953,307
2009-08-11$26.45$25.0035.0%11.0%35.0%10.0%36.4%2.8%-0.5%511.6K-20.9M-51.2K0.1030.71N/AN/A3363212,7803,305
2009-08-12$26.97$25.0036.1%10.7%35.2%11.3%33.6%3.0%0.6%489.9K-22.5M-50.8K0.2047.94N/AN/A5113,0623,318
2009-08-13$27.52$25.0030.4%8.7%34.0%4.5%31.1%2.9%2.6%362.3K-24.7M-47.2K0.3740.71N/AN/A1776613,0233,316
2009-08-14$27.10$25.0039.1%11.2%34.8%14.9%39.4%3.5%1.3%378.8K-23.6M-47.2K1.5724.65N/AN/A8313012,9683,346
2009-08-17$26.12$25.0040.4%11.6%37.8%16.4%40.4%2.1%-1.1%592.6K-20.4M-47.9K0.2431.19N/AN/A2466013,0173,363
2009-08-18$26.27$25.0039.8%11.4%37.8%15.7%39.8%4.3%-0.2%448.2K-21.4M-45.9K0.0727.58N/AN/A6004212,9523,403
2009-08-19$26.22$25.0040.3%11.6%37.3%16.3%40.4%4.3%0.0%408.1K-22.3M-45.2K3.9630.80N/AN/A249513,3173,434
2009-08-20$26.10$25.0039.3%11.3%36.9%15.0%0.0%3.6%0.9%437.5K-22.0M-45.3K2.3635.62N/AN/A112613,3173,424
2009-08-21$26.38$25.0036.5%10.5%36.8%11.8%36.1%3.9%2.1%314.9K-23.0M-44.2K0.0134.59N/AN/A9281313,3273,442
2009-08-24$25.98$25.0036.3%10.4%36.8%11.5%36.0%6.7%1.8%260.6K-9.1M-43.2K1.0039.04N/AN/A12128,3192,285
2009-08-25$26.48$25.0035.7%10.2%36.4%10.8%0.0%12.7%3.8%271.2K-9.9M-42.6K0.2021.38N/AN/A95198,3172,295
2009-08-26$26.72$25.0031.6%9.1%36.2%6.0%36.7%15.0%10.1%284.5K-10.8M-43.3K0.0650.06N/AN/A6848,4062,294
2009-08-27$26.89$25.0029.2%8.4%35.0%3.1%0.0%16.8%16.1%292.6K-10.9M-42.6K0.0045.03N/AN/A4408,3742,297
2009-08-28$27.05$25.0034.3%9.8%35.0%9.1%32.1%3.3%5.1%292.8K-11.3M-42.2K3.7527.71N/AN/A8308,4072,297
2009-08-31$26.93$25.0031.8%9.1%34.3%6.2%0.0%16.9%13.5%288.0K-11.0M-41.9K10.0023.88N/AN/A8808,4042,327