TDC Options History — October 2009

In October 2009, TDC traded between $26.35 and $29.08. ATM implied volatility averaged 41.9%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 13.6% (HV 20d: 28.3%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.15.

Notable Days

  • 2009-10-02: Highest Volume — 1,636 contracts
  • 2009-10-15: Largest IV spike — 28.5% change
  • 2009-10-30: Highest IV Rank — 41.6%
  • 2009-10-30: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.98$26.35$29.08$26.53$27.88
Max Pain$25.68$22.50$30.00$22.50$30.00
ATM IV41.9%31.6%49.6%44.1%49.6%
Expected Move13.1%9.3%14.2%12.6%14.2%
HV 20d28.3%24.6%31.8%31.7%30.8%
HV 60d31.6%29.9%32.8%32.8%29.9%
IV Rank25.2%6.7%41.6%21.5%41.6%
IV Percentile35.8%4.8%61.1%38.9%61.1%
Term Structure-4.1%-8.5%22.2%1.8%-7.8%
VWIV48.7%43.5%77.8%77.8%50.0%
Skew 25d8.6%2.3%22.0%12.4%7.6%
Skew 10d14.9%-0.3%91.8%10.9%4.2%
Call IV 25d36.9%23.8%46.3%28.4%45.3%
Put IV 25d45.6%31.1%52.9%40.8%52.9%
Bid-Ask Spread %29.4715.1653.4519.3626.99
Gamma HHI0.840.780.870.800.78
Net GEX454.5K299.3K556.3K370.3K491.9K
Net DEX-13.5M-16.9M-10.8M-11.8M-11.3M
Net VEX-63.2K-67.9K-53.2K-53.2K-58.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.0016.672.280.09
Total Volume473.5131,636867471
Total OI14,947.63613,07216,57113,84413,768

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$26.53$22.5044.1%12.6%31.7%21.5%77.8%12.4%1.8%370.3K-11.8M-53.2K2.2819.36N/AN/A26460311,2162,628
2009-10-02$26.35$22.5032.5%9.3%31.8%7.8%0.0%11.9%22.2%299.3K-10.8M-54.8K0.0115.16N/AN/A1,6142211,4603,231
2009-10-05$26.82$25.0039.2%13.7%31.2%15.7%47.7%12.1%-3.7%389.8K-13.3M-63.3K3.5817.12N/AN/A16157712,6043,253
2009-10-06$27.32$25.0037.0%14.2%29.9%13.2%50.5%14.7%-7.1%418.5K-14.4M-67.5K0.0019.13N/AN/A23012,7003,793
2009-10-07$27.61$25.0032.9%12.6%30.0%8.3%0.0%22.0%-3.3%450.7K-14.8M-67.9K16.6718.46N/AN/A610012,6813,793
2009-10-08$27.11$25.0031.8%13.8%29.0%7.0%47.8%4.3%-4.2%384.6K-13.6M-66.0K0.9221.82N/AN/A131212,6783,893
2009-10-09$27.43$25.0031.6%13.6%29.0%6.7%0.0%4.5%-4.6%398.6K-13.9M-64.6K0.5921.10N/AN/A342012,4853,892
2009-10-12$27.58$25.0037.9%12.8%29.0%14.1%0.0%5.4%-4.5%423.3K-14.3M-64.9K0.0028.77N/AN/A77012,4563,923
2009-10-13$27.72$25.0039.8%12.7%27.7%18.4%43.9%4.6%-4.4%444.6K-14.8M-65.3K0.0625.94N/AN/A118712,5093,923
2009-10-14$28.51$25.0034.8%12.6%27.2%15.0%44.2%4.8%-4.5%525.1K-16.8M-66.3K0.1421.94N/AN/A4135812,4313,925
2009-10-15$28.70$25.0044.7%12.8%27.2%31.7%44.9%3.7%-5.6%556.3K-16.9M-64.7K0.1241.34N/AN/A3504312,2603,959
2009-10-16$28.60$25.0044.3%12.7%26.6%30.9%47.9%4.0%-5.3%460.8K-16.9M-64.9K0.6645.84N/AN/A825412,4443,992
2009-10-19$28.95$25.0045.1%12.9%26.6%32.3%45.1%5.9%-3.9%485.1K-13.7M-64.3K0.4734.97N/AN/A33215510,2792,793
2009-10-20$28.25$25.0047.5%13.6%28.6%36.4%47.3%11.9%-6.1%461.6K-12.1M-62.6K0.0043.26N/AN/A245110,3022,918
2009-10-21$28.27$25.0048.0%13.8%24.6%37.2%47.7%4.2%-7.3%469.4K-12.3M-61.9K0.0038.85N/AN/A13010,3392,919
2009-10-22$28.85$25.0043.5%12.5%25.5%29.6%43.5%13.4%-3.6%510.7K-13.2M-62.8K0.4831.89N/AN/A422010,3392,919
2009-10-23$28.33$25.0046.1%13.2%26.3%34.0%45.9%10.5%-6.1%487.5K-12.1M-60.8K0.5939.40N/AN/A22213010,3402,939
2009-10-26$29.02$25.0045.8%13.1%27.3%33.6%45.7%2.3%-7.2%541.4K-14.0M-62.0K2.3134.45N/AN/A4821,11410,4472,908
2009-10-27$28.52$30.0048.7%14.0%28.1%40.0%49.6%8.9%-8.0%443.3K-11.2M-66.0K8.1753.45N/AN/A10585810,8283,964
2009-10-28$28.21$30.0049.4%14.1%28.2%41.1%0.0%6.3%-8.5%462.9K-11.3M-63.1K9.3122.35N/AN/A3532610,8843,493
2009-10-29$29.08$30.0048.1%13.8%26.2%39.0%48.1%14.4%-8.0%522.6K-13.6M-64.6K0.8126.65N/AN/A67254310,9193,421
2009-10-30$27.88$30.0049.6%14.2%30.8%41.6%50.0%7.6%-7.8%491.9K-11.3M-58.8K0.0926.99N/AN/A4333810,8502,918