TDC Options History — September 2009

In September 2009, TDC traded between $25.49 and $27.90. ATM implied volatility averaged 35.7%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.0% (HV 20d: 31.7%). 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 20 of 21 days. Put/call ratio averaged 2.44.

Notable Days

  • 2009-09-24: Highest Volume — 3,826 contracts
  • 2009-09-30: Largest IV spike — 44.3% change
  • 2009-09-30: Highest IV Rank — 17.7%
  • 2009-09-30: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.52$25.49$27.90$25.65$27.52
Max Pain$22.86$22.50$25.00$25.00$22.50
ATM IV35.7%25.9%40.8%36.4%40.8%
Expected Move10.2%7.4%11.7%10.4%11.7%
HV 20d31.7%27.9%38.5%38.5%28.3%
HV 60d35.2%31.8%37.0%36.7%31.8%
IV Rank11.1%0.0%17.7%11.7%17.7%
IV Percentile11.8%0.0%29.4%12.7%29.4%
Term Structure4.4%-0.4%10.2%0.8%10.2%
VWIV34.7%22.4%41.4%36.4%41.4%
Skew 25d1.9%-7.3%10.3%3.7%10.3%
Skew 10d3.3%-7.7%31.0%0.9%3.5%
Call IV 25d34.1%28.7%40.7%28.7%32.3%
Put IV 25d35.9%21.8%42.6%32.4%42.6%
Bid-Ask Spread %26.1914.5337.9925.6527.10
Gamma HHI0.530.400.770.420.74
Net GEX289.3K220.0K458.2K258.9K440.3K
Net DEX-10.4M-14.8M-8.2M-8.6M-13.8M
Net VEX-42.3K-57.2K-36.3K-40.5K-54.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.0010.000.275.57
Total Volume369.85703,82680473
Total OI11,368.2869,49413,79110,76313,497

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$25.65$25.0036.4%10.4%38.5%11.7%36.4%3.7%0.8%258.9K-8.6M-40.5K0.2725.65N/AN/A63178,4032,360
2009-09-02$25.69$25.0037.9%10.9%37.2%13.4%37.9%4.1%-0.4%255.7K-8.5M-40.6K0.5522.16N/AN/A2851578,4082,364
2009-09-03$25.56$25.0036.5%10.5%27.9%11.8%0.0%1.7%1.4%251.4K-8.2M-42.7K0.0014.53N/AN/A008,6692,502
2009-09-04$26.19$22.5039.0%10.7%29.2%14.7%0.0%3.2%4.4%275.8K-9.5M-42.2K0.0025.96N/AN/A3108,6692,502
2009-09-08$25.49$22.5038.0%10.7%30.4%13.5%0.0%2.5%3.4%254.1K-8.4M-40.0K8.0028.92N/AN/A3248,6622,502
2009-09-09$25.56$22.5038.1%10.7%30.5%13.7%37.5%2.0%3.2%255.1K-8.3M-40.7K0.0426.57N/AN/A11158,6642,526
2009-09-10$26.39$22.5036.1%10.3%31.9%11.3%0.0%3.1%4.9%274.1K-10.0M-39.0K0.0033.37N/AN/A6108,6882,527
2009-09-11$26.18$22.5036.1%10.4%31.0%11.3%31.2%2.1%5.7%266.7K-9.8M-38.9K7.1428.51N/AN/A7508,7152,527
2009-09-14$26.20$22.5037.1%10.6%30.6%12.5%0.0%2.2%3.8%266.0K-9.7M-38.3K8.7531.72N/AN/A8708,7022,577
2009-09-15$25.66$22.5037.0%10.6%28.6%12.4%37.0%3.1%2.8%265.5K-8.5M-37.5K0.2824.34N/AN/A76218,6582,647
2009-09-16$26.50$22.5038.2%10.9%30.9%13.8%38.5%3.8%3.0%238.4K-10.3M-37.6K0.6633.77N/AN/A1901268,7222,667
2009-09-17$26.72$22.5036.6%10.5%31.0%11.9%22.4%0.1%3.3%236.5K-10.9M-38.1K10.0015.43N/AN/A1108,7622,724
2009-09-18$26.38$22.5036.0%10.3%31.3%11.2%35.8%4.0%4.8%226.6K-10.4M-37.7K0.2825.68N/AN/A74218,7612,726
2009-09-21$26.29$22.5037.4%10.7%31.1%12.9%37.4%0.2%3.0%220.0K-8.5M-36.9K0.0131.39N/AN/A23137,3382,191
2009-09-22$26.43$22.5035.3%10.1%30.7%10.3%23.6%0.7%7.6%221.0K-8.8M-36.3K4.5015.93N/AN/A6277,3102,194
2009-09-23$27.57$22.5025.9%7.4%33.5%0.0%27.7%-7.3%9.1%242.2K-11.2M-37.0K0.2137.99N/AN/A8301727,3172,177
2009-09-24$27.73$22.5034.7%10.0%33.4%10.5%40.7%-5.0%1.6%261.9K-11.3M-40.3K0.0121.50N/AN/A3,804227,9842,258
2009-09-25$27.57$22.5034.2%9.8%33.5%9.9%38.0%1.2%4.1%450.6K-14.3M-57.2K0.0024.47N/AN/A735011,5212,270
2009-09-28$27.90$22.5030.4%8.7%33.6%5.3%0.0%-0.0%6.6%458.2K-14.8M-56.3K0.0028.39N/AN/A52011,2772,270
2009-09-29$27.77$22.5028.3%8.1%33.6%2.9%0.0%3.6%8.6%455.8K-14.7M-56.1K0.0026.63N/AN/A0111,2262,270
2009-09-30$27.52$22.5040.8%11.7%28.3%17.7%41.4%10.3%10.2%440.3K-13.8M-54.6K5.5727.10N/AN/A7240111,2262,271