TDC Options History — March 2010

In March 2010, TDC traded between $28.24 and $30.91. ATM implied volatility averaged 26.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.8% (HV 20d: 20.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.48.

Notable Days

  • 2010-03-04: Highest Volume — 1,630 contracts
  • 2010-03-02: Largest IV spike — 26.0% change
  • 2010-03-19: Highest IV Rank — 23.3%
  • 2010-03-19: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.56$28.24$30.91$30.91$28.89
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV26.5%20.3%30.0%20.3%25.8%
Expected Move7.8%5.8%8.6%5.8%7.4%
HV 20d20.8%19.1%24.1%22.0%20.5%
HV 60d23.3%21.9%25.5%24.9%22.6%
IV Rank15.0%0.0%23.3%0.0%13.3%
IV Percentile6.9%0.0%14.7%0.0%6.3%
Term Structure2.8%-0.8%11.9%11.9%5.0%
VWIV26.4%16.3%29.8%16.3%25.9%
Skew 25d0.2%-7.6%25.8%7.8%-1.5%
Skew 10d0.8%-8.5%37.7%8.2%-3.4%
Call IV 25d24.6%17.8%29.1%17.8%26.0%
Put IV 25d24.8%21.4%52.6%25.6%24.5%
Bid-Ask Spread %15.787.2255.9335.009.89
Gamma HHI0.760.630.850.740.84
Net GEX395.7K273.9K454.3K362.0K389.4K
Net DEX-3.3M-6.1M-413.3K-6.1M-825.0K
Net VEX-19.4K-24.6K-14.2K-21.6K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.0012.900.480.00
Total Volume253.60981,6304942
Total OI7,572.875,7638,5565,7638,411

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$30.91$30.0020.3%5.8%22.0%0.0%16.3%7.8%11.9%362.0K-6.1M-21.6K0.4835.00N/AN/A33164,4231,340
2010-03-02$30.48$30.0025.6%7.3%23.0%12.6%25.6%5.1%0.9%366.6K-5.4M-21.5K0.8925.51N/AN/A37334,4321,335
2010-03-03$29.88$30.0027.0%7.8%23.3%16.2%27.0%1.6%-0.6%361.5K-4.2M-21.5K0.8355.93N/AN/A30254,4631,366
2010-03-04$30.45$30.0025.7%7.4%24.1%13.0%0.0%-2.4%2.9%356.5K-5.4M-21.7K0.0021.09N/AN/A1,63004,4721,377
2010-03-05$30.50$30.0025.6%8.0%19.6%12.6%27.9%-2.4%2.5%447.1K-6.1M-24.6K1.2917.26N/AN/A70905,9091,377
2010-03-08$30.21$30.0024.3%8.2%20.0%9.6%0.0%4.3%1.3%454.3K-5.7M-24.1K0.0010.47N/AN/A805,9611,414
2010-03-09$30.35$30.0023.3%8.2%19.7%7.3%22.1%3.4%1.4%449.4K-5.5M-23.1K0.0427.05N/AN/A229105,8581,414
2010-03-10$29.76$30.0024.5%8.1%21.3%10.1%25.2%0.5%1.9%429.9K-4.1M-21.9K0.0010.58N/AN/A6205,8701,424
2010-03-11$29.85$30.0029.1%8.3%21.0%21.2%29.1%1.0%0.4%432.7K-4.4M-21.8K0.0012.07N/AN/A23015,9061,424
2010-03-12$29.68$30.0026.6%7.6%20.8%15.0%26.6%-0.4%2.8%446.2K-4.0M-21.0K0.0011.30N/AN/A4605,8551,425
2010-03-15$29.67$30.0026.5%7.6%20.4%15.0%23.7%-1.1%3.3%451.2K-3.7M-19.5K0.0611.70N/AN/A1,176655,8401,425
2010-03-16$29.03$30.0029.3%8.4%19.9%21.5%29.3%-5.7%0.6%380.3K-2.3M-18.4K0.0012.72N/AN/A10506,8671,431
2010-03-17$28.98$30.0028.3%8.1%19.8%19.3%28.3%-4.1%1.7%396.5K-2.5M-18.3K0.6816.83N/AN/A2131456,9231,431
2010-03-18$29.18$30.0028.0%8.0%19.1%18.5%28.0%-3.4%2.1%415.3K-2.5M-18.9K9.179.61N/AN/A121107,0641,488
2010-03-19$28.94$30.0030.0%8.6%19.2%23.3%29.8%-5.9%-0.8%376.2K-2.2M-18.2K12.9010.70N/AN/A202587,0681,488
2010-03-22$29.27$30.0028.8%8.2%19.3%20.3%28.8%25.8%0.4%365.6K-2.1M-17.8K0.008.60N/AN/A25106,7491,501
2010-03-23$29.40$30.0027.1%7.8%19.3%16.3%27.1%-1.4%4.8%389.3K-2.4M-17.5K0.177.22N/AN/A183326,6531,501
2010-03-24$28.82$30.0028.5%8.2%19.3%19.8%28.2%-4.6%4.7%342.5K-1.6M-16.3K1.5911.18N/AN/A37596,7741,473
2010-03-25$28.24$30.0029.3%8.4%20.2%21.6%28.5%-7.6%1.7%273.9K-413.3K-14.2K2.9210.37N/AN/A26766,7591,530
2010-03-26$28.96$30.0025.0%7.2%22.2%11.3%25.0%-2.4%6.2%368.0K-1.1M-16.1K1.529.57N/AN/A60916,6041,600
2010-03-29$29.18$30.0025.3%7.2%21.8%12.0%25.3%0.0%6.0%427.1K-1.8M-16.5K0.009.06N/AN/A11506,6431,594
2010-03-30$29.16$30.0026.7%7.7%21.4%15.5%26.7%-1.4%3.6%420.5K-1.7M-16.4K1.529.20N/AN/A821256,7201,594
2010-03-31$28.89$30.0025.8%7.4%20.5%13.3%25.9%-1.5%5.0%389.4K-825.0K-15.1K0.009.89N/AN/A4206,7821,629