TDC Options History — February 2010

In February 2010, TDC traded between $27.66 and $30.49. ATM implied volatility averaged 33.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 8.2% (HV 20d: 25.3%). 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 10 of 19 days. Put/call ratio averaged 4.20.

Notable Days

  • 2010-02-05: Highest Volume — 1,143 contracts
  • 2010-02-11: Largest IV drop — 53.4% change
  • 2010-02-10: Highest IV Rank — 65.9%
  • 2010-02-03: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.05$27.66$30.49$28.15$30.49
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV33.5%24.2%53.4%33.4%25.7%
Expected Move9.1%6.9%12.5%9.6%7.4%
HV 20d25.3%22.2%28.6%22.4%22.2%
HV 60d27.1%26.5%28.4%27.4%26.5%
IV Rank19.4%0.0%65.9%16.0%4.2%
IV Percentile27.8%0.0%94.8%23.0%2.4%
Term Structure-1.0%-9.9%3.2%-1.0%2.2%
VWIV32.7%24.3%43.6%37.3%25.7%
Skew 25d5.3%-7.1%13.7%-7.1%5.3%
Skew 10d10.9%-3.8%24.7%-2.3%6.2%
Call IV 25d32.5%18.8%55.9%36.8%18.8%
Put IV 25d37.8%24.1%62.5%29.7%24.1%
Bid-Ask Spread %44.8424.8774.4151.2736.99
Gamma HHI0.700.490.900.650.74
Net GEX281.7K128.0K736.2K170.3K324.0K
Net DEX-2.6M-5.1M-738.3K-1.3M-5.1M
Net VEX-23.0K-26.0K-20.8K-24.4K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.200.0037.100.000.05
Total Volume272.15841,143201155
Total OI7,057.1585,4008,2106,6355,681

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$28.15$30.0033.4%9.6%22.4%16.0%37.3%-7.1%-1.0%170.3K-1.3M-24.4K0.0051.27N/AN/A20104,7591,876
2010-02-02$28.81$30.0042.5%12.2%24.0%35.3%42.7%8.2%-6.4%194.4K-2.2M-25.6K0.1137.08N/AN/A95104,8471,876
2010-02-03$28.78$30.0043.5%12.5%23.9%37.4%43.6%-6.4%-8.4%209.9K-2.5M-26.0K0.0345.82N/AN/A336114,9101,876
2010-02-04$27.80$30.0040.7%11.7%26.2%32.9%0.0%0.5%-9.9%177.7K-1.2M-23.7K0.0042.15N/AN/A404,9491,875
2010-02-05$27.66$30.0040.8%10.8%26.1%34.1%41.7%3.5%-2.0%160.8K-738.3K-22.2K37.1024.87N/AN/A301,1134,9501,875
2010-02-08$28.01$30.0046.0%11.2%25.8%48.0%0.0%5.3%-3.7%128.0K-1.0M-24.1K1.0034.64N/AN/A10104,9502,907
2010-02-09$28.25$30.0047.4%10.8%25.8%51.5%37.8%13.7%-2.9%150.4K-1.4M-24.1K0.1328.46N/AN/A814,9582,907
2010-02-10$28.61$30.0053.4%11.7%25.7%65.9%41.2%4.0%-6.1%144.6K-2.0M-24.3K0.0137.23N/AN/A50354,9652,908
2010-02-11$28.35$30.0024.9%7.1%25.8%0.0%27.8%-2.7%2.6%245.2K-1.1M-21.9K0.2174.41N/AN/A7101465,2982,912
2010-02-12$28.72$30.0031.2%8.9%26.3%16.8%33.2%-0.5%-1.9%254.2K-1.3M-21.6K4.6862.12N/AN/A341595,0562,944
2010-02-16$29.48$30.0028.1%8.1%28.1%8.6%28.1%8.6%1.4%330.5K-2.5M-21.8K0.3535.14N/AN/A207725,0602,944
2010-02-17$29.58$30.0027.9%8.0%28.1%8.1%0.0%10.4%0.9%404.7K-3.4M-23.1K1.9149.77N/AN/A11215,2182,922
2010-02-18$30.03$30.0026.9%7.7%28.6%5.3%0.0%11.8%2.2%493.3K-4.9M-23.2K22.0063.34N/AN/A61325,2072,942
2010-02-19$29.84$30.0025.5%7.3%28.0%1.6%25.5%10.3%1.7%736.2K-3.6M-22.5K0.1529.50N/AN/A544805,2132,935
2010-02-22$29.47$30.0024.2%6.9%25.2%0.0%24.3%7.4%3.2%283.8K-3.2M-20.8K0.5343.38N/AN/A2101124,0991,301
2010-02-23$29.60$30.0024.4%7.0%23.1%0.7%24.4%8.6%3.2%293.6K-3.6M-21.9K0.0056.12N/AN/A16304,2651,349
2010-02-24$30.11$30.0024.3%7.0%23.0%0.3%24.3%9.9%3.0%320.5K-4.4M-22.5K7.3858.83N/AN/A8594,3261,349
2010-02-25$30.22$30.0025.1%7.2%23.0%2.6%0.0%10.4%2.3%329.4K-4.4M-21.9K0.0040.82N/AN/A054,3341,343
2010-02-26$30.49$30.0025.7%7.4%22.2%4.2%25.7%5.3%2.2%324.0K-5.1M-22.3K0.0536.99N/AN/A14784,3341,347