TDC Options History — November 2009

In November 2009, TDC traded between $28.41 and $30.44. ATM implied volatility averaged 34.9%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.3% (HV 20d: 31.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2009-11-11: Highest Volume — 3,017 contracts
  • 2009-11-05: Largest IV drop — 32.1% change
  • 2009-11-04: Highest IV Rank — 45.9%
  • 2009-11-04: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.55$28.41$30.44$28.41$29.30
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV34.9%29.5%52.1%50.1%30.4%
Expected Move10.1%8.5%14.9%14.4%8.7%
HV 20d31.5%26.5%34.3%30.9%26.5%
HV 60d29.9%28.6%31.1%30.1%29.3%
IV Rank15.8%6.4%45.9%42.4%7.9%
IV Percentile15.7%3.2%66.3%61.9%4.4%
Term Structure-0.1%-10.6%4.5%-8.3%2.5%
VWIV34.6%16.6%57.0%50.2%30.4%
Skew 25d8.8%-4.7%18.6%11.7%5.3%
Skew 10d15.5%-5.1%32.8%13.8%8.0%
Call IV 25d33.1%22.4%44.2%44.2%32.3%
Put IV 25d42.0%28.5%58.2%55.9%37.6%
Bid-Ask Spread %30.9312.0060.7137.4317.47
Gamma HHI0.800.630.890.800.72
Net GEX703.2K289.5K1.2M543.7K324.3K
Net DEX-12.7M-17.9M-8.3M-12.4M-9.2M
Net VEX-48.4K-60.4K-38.6K-60.0K-38.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.008.000.050.83
Total Volume495.5593,01723188
Total OI12,896.410,36114,53814,04110,760

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$28.41$30.0050.1%14.4%30.9%42.4%50.2%11.7%-8.3%543.7K-12.4M-60.0K0.0537.43N/AN/A2201111,0972,944
2009-11-03$28.65$30.0050.6%14.5%30.4%43.3%57.0%14.4%-8.7%561.3K-12.7M-59.3K0.0322.11N/AN/A123411,1122,955
2009-11-04$29.03$30.0052.1%14.9%30.5%45.9%52.1%12.0%-10.6%584.1K-14.3M-60.4K0.2260.09N/AN/A2405311,1592,959
2009-11-05$28.61$30.0035.4%10.1%30.2%16.7%35.5%7.6%-0.9%681.0K-12.1M-56.2K0.5534.07N/AN/A65736111,1833,010
2009-11-06$28.62$30.0033.0%9.5%30.1%12.5%33.2%-4.7%1.8%677.6K-11.4M-55.7K0.2918.30N/AN/A1333911,1413,106
2009-11-09$30.04$30.0031.0%9.3%34.3%9.1%32.1%4.4%4.5%916.5K-17.0M-56.4K0.9350.69N/AN/A40537511,1823,092
2009-11-10$30.28$30.0031.3%9.5%34.3%9.5%16.6%15.4%1.9%872.5K-17.9M-56.9K0.5934.82N/AN/A28216711,1763,345
2009-11-11$30.18$30.0031.9%9.2%33.2%10.5%32.2%16.8%2.3%877.9K-17.4M-56.1K0.0635.12N/AN/A2,83618111,1633,375
2009-11-12$30.06$30.0032.4%9.3%33.3%11.5%32.4%18.6%2.0%813.2K-14.0M-47.4K0.9634.35N/AN/A55539,5713,437
2009-11-13$30.18$30.0031.4%9.0%33.2%9.7%31.4%17.3%1.6%869.1K-14.5M-47.1K0.1743.73N/AN/A464819,5903,448
2009-11-16$30.44$30.0032.8%9.4%33.1%12.1%32.7%6.1%1.1%912.3K-15.7M-44.3K0.0434.06N/AN/A892409,4383,516
2009-11-17$30.06$30.0033.1%9.5%32.0%12.6%33.1%4.4%-0.4%1.1M-13.8M-44.4K0.0032.75N/AN/A16309,4543,543
2009-11-18$29.96$30.0032.3%9.2%32.1%11.2%32.3%5.3%0.5%1.2M-13.3M-43.7K8.0030.07N/AN/A189,4603,543
2009-11-19$29.45$30.0032.5%9.3%32.2%11.7%0.0%4.3%0.5%985.8K-9.2M-41.5K0.3213.91N/AN/A31109,4603,553
2009-11-20$29.43$30.0031.8%9.1%31.4%10.4%31.8%12.1%2.2%941.9K-8.9M-40.5K0.2318.21N/AN/A9732229,4573,519
2009-11-23$30.09$30.0032.8%9.4%31.2%12.1%32.8%4.0%0.3%289.5K-10.9M-40.1K0.4214.96N/AN/A119507,2553,106
2009-11-24$29.75$30.0030.3%8.7%30.8%7.7%30.2%5.7%2.9%293.2K-10.2M-40.2K0.0012.00N/AN/A24707,3123,135
2009-11-25$29.62$30.0029.5%8.5%30.5%6.4%29.5%12.5%2.7%322.0K-10.2M-40.3K0.9613.70N/AN/A70677,4983,135
2009-11-27$28.83$30.0032.8%9.4%30.3%12.1%32.8%3.6%0.4%299.9K-8.3M-39.5K3.8760.71N/AN/A391517,5373,202
2009-11-30$29.30$30.0030.4%8.7%26.5%7.9%30.4%5.3%2.5%324.3K-9.2M-38.6K0.8317.47N/AN/A48407,5473,213