TDC Options History — December 2009

In December 2009, TDC traded between $29.52 and $32.08. ATM implied volatility averaged 32.2%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.7% (HV 20d: 31.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 5.78.

Notable Days

  • 2009-12-16: Highest Volume — 788 contracts
  • 2009-12-17: Largest IV spike — 25.4% change
  • 2009-12-21: Highest IV Rank — 21.5%
  • 2009-12-21: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.89$29.52$32.08$30.68$31.43
Max Pain$25.68$25.00$30.00$30.00$25.00
ATM IV32.2%26.7%36.0%31.1%33.1%
Expected Move9.3%7.7%10.3%8.9%9.5%
HV 20d31.4%27.0%34.4%30.3%28.2%
HV 60d30.0%29.2%30.9%30.3%29.2%
IV Rank13.0%1.8%21.5%9.2%15.3%
IV Percentile12.6%0.8%24.2%6.0%19.0%
Term Structure4.8%-1.2%14.6%2.1%4.8%
VWIV31.6%27.8%34.3%31.1%33.1%
Skew 25d8.7%-2.1%26.0%6.2%9.1%
Skew 10d22.3%-4.4%77.9%12.1%12.6%
Call IV 25d28.5%20.2%33.7%30.4%24.1%
Put IV 25d37.2%28.2%57.6%36.6%33.1%
Bid-Ask Spread %22.909.8440.6119.8010.10
Gamma HHI0.670.560.780.690.57
Net GEX354.2K290.7K430.5K353.3K315.8K
Net DEX-13.2M-17.2M-10.3M-12.7M-13.4M
Net VEX-34.0K-38.8K-30.8K-38.6K-31.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.780.0081.000.001.21
Total Volume211.45520788159221
Total OI10,841.13610,27711,56610,78810,790

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$30.68$30.0031.1%8.9%30.3%9.2%31.1%6.2%2.1%353.3K-12.7M-38.6K0.0019.80N/AN/A15907,5603,228
2009-12-02$30.47$30.0030.5%8.7%30.4%8.1%30.6%5.4%2.1%354.0K-12.4M-38.8K0.0019.72N/AN/A2007,5973,228
2009-12-03$30.16$30.0030.7%8.8%30.5%8.5%27.9%5.3%-1.2%356.1K-11.7M-38.4K0.0725.48N/AN/A510357,6143,228
2009-12-04$30.56$25.0031.5%9.1%30.1%9.8%0.0%-1.0%6.0%367.2K-12.5M-37.5K0.0040.61N/AN/A2407,6163,214
2009-12-07$30.33$25.0031.8%9.4%30.4%12.7%0.0%6.3%5.4%369.6K-12.2M-36.9K0.8330.97N/AN/A12107,6183,214
2009-12-08$29.52$25.0030.3%8.9%27.0%9.4%30.9%3.2%6.0%376.2K-10.3M-35.8K0.0032.89N/AN/A10507,6293,204
2009-12-09$29.91$25.0031.5%9.2%27.3%11.9%31.8%3.0%6.5%390.5K-11.0M-35.6K0.0436.28N/AN/A6937,6803,204
2009-12-10$31.26$25.0034.1%9.8%31.5%17.4%32.1%20.8%3.8%423.2K-14.7M-34.1K0.0131.85N/AN/A53557,7333,202
2009-12-11$30.76$25.0032.1%9.2%32.1%13.2%32.1%26.0%3.2%430.5K-13.7M-34.8K34.3327.39N/AN/A31038,0593,202
2009-12-14$30.93$25.0034.0%9.7%32.1%17.2%34.0%25.9%3.2%423.6K-14.3M-34.0K0.1722.01N/AN/A2958,0593,273
2009-12-15$31.05$25.0032.4%9.3%32.0%14.0%32.4%-0.2%5.0%418.8K-14.9M-33.6K81.0021.94N/AN/A1818,0763,273
2009-12-16$32.08$25.0026.7%7.7%33.5%1.8%28.5%1.7%14.6%363.0K-17.2M-30.9K0.8428.42N/AN/A4293597,9893,188
2009-12-17$31.64$25.0033.5%9.6%34.0%16.2%31.0%5.6%4.7%365.4K-16.5M-32.2K1.4920.27N/AN/A2894328,1773,151
2009-12-18$31.21$25.0034.4%9.9%33.7%18.0%33.9%1.3%3.3%360.0K-15.1M-33.4K1.7323.58N/AN/A1141978,0903,476
2009-12-21$30.70$25.0036.0%10.3%34.4%21.5%33.8%1.4%1.5%290.7K-12.1M-33.0K0.7019.86N/AN/A47337,1263,183
2009-12-22$30.75$25.0033.3%9.6%33.6%15.8%33.3%-2.1%5.9%294.0K-11.6M-32.9K1.6925.79N/AN/A13227,1503,216
2009-12-23$31.26$25.0030.6%8.8%33.6%10.1%29.9%21.1%6.3%302.4K-12.8M-31.9K0.5022.30N/AN/A103517,1613,196
2009-12-24$31.65$25.0031.9%9.1%33.7%12.8%27.8%11.7%6.3%309.0K-13.4M-31.3K0.249.84N/AN/A134327,0963,181
2009-12-28$31.10$25.0034.3%9.8%32.7%17.8%34.3%11.5%2.8%307.7K-12.6M-30.8K0.5312.65N/AN/A151807,1733,199
2009-12-29$31.05$25.0032.6%9.4%32.5%14.4%0.0%9.3%6.0%307.4K-12.4M-31.5K0.9010.02N/AN/A59537,3023,279
2009-12-30$31.19$25.0031.4%9.0%28.2%11.9%31.5%19.2%6.8%314.0K-12.5M-31.3K0.9411.96N/AN/A64607,3393,332
2009-12-31$31.43$25.0033.1%9.5%28.2%15.3%33.1%9.1%4.8%315.8K-13.4M-31.1K1.2110.10N/AN/A1001217,3983,392