TDC Options History — January 2010

In January 2010, TDC traded between $27.93 and $31.04. ATM implied volatility averaged 36.5%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 13.3% (HV 20d: 23.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.52.

Notable Days

  • 2010-01-15: Highest Volume — 854 contracts
  • 2010-01-28: Largest IV spike — 36.2% change
  • 2010-01-26: Highest IV Rank — 41.5%
  • 2010-01-26: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.76$27.93$31.04$30.87$27.97
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV36.5%27.9%45.5%37.4%43.6%
Expected Move11.2%9.5%13.0%11.1%12.5%
HV 20d23.2%18.5%28.7%28.7%22.5%
HV 60d29.0%27.4%29.5%29.4%27.4%
IV Rank22.5%4.4%41.5%24.4%37.6%
IV Percentile34.0%2.0%70.6%35.7%62.7%
Term Structure-3.7%-8.9%-0.5%-1.5%-6.2%
VWIV39.3%33.6%46.3%38.6%33.6%
Skew 25d5.0%-11.6%39.3%39.3%4.9%
Skew 10d10.5%-18.2%97.5%97.5%8.7%
Call IV 25d35.7%27.7%46.7%29.2%42.0%
Put IV 25d40.6%28.2%68.5%68.5%46.9%
Bid-Ask Spread %38.3420.0565.8255.5322.55
Gamma HHI0.690.600.890.640.63
Net GEX323.7K151.1K957.2K307.0K161.3K
Net DEX-7.6M-14.0M-1.3M-11.7M-1.4M
Net VEX-28.9K-32.5K-25.0K-30.8K-25.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0018.331.490.00
Total Volume24558543895
Total OI9,077.4745,81311,89410,9456,639

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$30.87$30.0037.4%11.1%28.7%24.4%38.6%39.3%-1.5%307.0K-11.7M-30.8K1.4955.53N/AN/A1562337,4673,478
2010-01-05$30.99$30.0034.2%10.8%28.4%17.6%37.9%7.2%-0.5%313.2K-12.5M-31.0K0.1654.72N/AN/A293487,5983,496
2010-01-06$30.65$30.0032.8%11.1%28.5%14.6%38.8%6.1%-1.7%334.5K-12.0M-31.8K0.2121.08N/AN/A215457,8413,538
2010-01-07$30.30$30.0032.1%11.0%27.0%13.3%38.2%5.0%-1.1%354.2K-11.3M-32.5K0.3023.58N/AN/A116358,0303,572
2010-01-08$30.79$30.0033.7%11.1%27.2%16.5%38.8%1.8%-2.7%367.6K-12.5M-32.0K0.1637.63N/AN/A170288,0503,603
2010-01-11$31.04$30.0027.9%11.2%22.3%4.4%38.0%4.7%-3.5%354.2K-14.0M-30.6K0.2232.96N/AN/A300678,1543,598
2010-01-12$30.37$30.0030.7%11.0%22.9%10.3%38.5%5.0%-3.3%442.6K-11.7M-31.6K0.5946.12N/AN/A29178,2323,645
2010-01-13$30.27$30.0030.4%11.4%22.8%9.7%39.9%3.7%-4.3%478.8K-11.2M-30.9K0.6828.68N/AN/A1671148,2323,662
2010-01-14$30.38$30.0038.9%11.2%22.8%27.6%38.9%4.7%-3.8%570.9K-12.1M-30.1K0.4228.23N/AN/A109468,1653,636
2010-01-15$30.08$30.0038.2%10.9%19.2%26.1%38.4%5.5%-3.3%957.2K-10.8M-29.3K0.5438.65N/AN/A5562988,1033,662
2010-01-19$30.00$30.0037.4%10.7%18.8%24.4%37.1%-6.3%-4.9%221.7K-4.5M-27.7K1.4651.55N/AN/A721054,4411,372
2010-01-20$30.18$30.0038.5%11.0%18.5%26.8%39.5%5.3%-4.6%223.1K-4.7M-28.1K1.1144.92N/AN/A981094,5041,447
2010-01-21$29.70$30.0038.0%10.9%18.5%25.6%37.9%2.6%-3.5%219.6K-4.3M-28.1K18.3345.83N/AN/A3554,5641,535
2010-01-22$28.67$30.0042.4%12.1%21.9%34.9%41.8%12.0%-5.2%181.1K-3.0M-27.0K1.3729.84N/AN/A2513454,5631,559
2010-01-25$27.93$30.0033.7%9.7%22.0%16.7%39.8%-1.6%-4.5%151.1K-1.3M-25.0K0.3143.63N/AN/A192604,5611,832
2010-01-26$28.42$30.0045.5%13.0%22.6%41.5%45.5%1.1%-8.9%173.8K-1.9M-26.2K1.5237.06N/AN/A831264,7001,821
2010-01-27$28.58$30.0033.1%9.5%22.5%15.4%0.0%-11.6%-0.6%173.7K-1.9M-26.4K0.0065.82N/AN/A3404,6981,876
2010-01-28$28.17$30.0045.1%12.9%22.7%40.7%46.3%5.6%-6.0%165.2K-1.5M-25.9K0.0020.05N/AN/A7504,7221,876
2010-01-29$27.97$30.0043.6%12.5%22.5%37.6%33.6%4.9%-6.2%161.3K-1.4M-25.0K0.0022.55N/AN/A504,7631,876