TDC Options History — April 2010

In April 2010, TDC traded between $28.25 and $30.83. ATM implied volatility averaged 30.5%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.9% (HV 20d: 22.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-04-15: Highest Volume — 990 contracts
  • 2010-04-14: Largest IV spike — 35.8% change
  • 2010-04-27: Highest IV Rank — 50.4%
  • 2010-04-27: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.64$28.25$30.83$29.32$29.07
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV30.5%19.2%40.8%25.4%38.0%
Expected Move9.6%7.3%11.7%7.3%10.9%
HV 20d22.6%19.8%25.7%20.0%25.1%
HV 60d22.8%22.0%24.4%22.8%23.0%
IV Rank25.9%0.0%50.4%12.2%43.8%
IV Percentile31.2%0.0%75.4%4.4%64.3%
Term Structure-3.4%-7.0%4.8%4.8%-6.6%
VWIV33.5%25.4%43.3%25.4%38.0%
Skew 25d2.1%-2.3%6.4%0.0%1.5%
Skew 10d5.4%-3.6%11.9%-0.7%-1.7%
Call IV 25d27.9%21.6%29.8%26.0%29.8%
Put IV 25d29.9%26.0%31.5%26.0%31.2%
Bid-Ask Spread %26.219.5755.659.5755.65
Gamma HHI0.680.450.960.860.52
Net GEX399.4K115.6K2.4M472.4K168.7K
Net DEX-1.5M-8.0M1.6M-1.9M-1.5M
Net VEX-12.5K-16.1K-8.7K-16.1K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.005.710.080.64
Total Volume270.71429905741
Total OI6,270.8572,9119,4018,4234,775

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$29.32$30.0025.4%7.3%20.0%12.2%25.4%0.0%4.8%472.4K-1.9M-16.1K0.089.57N/AN/A5346,7941,629
2010-04-05$29.30$30.0027.2%8.9%20.0%16.6%31.2%0.9%-2.7%489.2K-1.6M-14.5K0.0020.44N/AN/A7206,7731,629
2010-04-06$29.27$30.0026.0%8.8%19.8%13.8%0.0%2.3%-2.2%516.1K-1.4M-13.9K0.0020.71N/AN/A206,8451,629
2010-04-07$28.65$30.0023.3%8.9%20.8%7.2%31.1%-1.3%-2.8%370.8K152.4K-11.8K0.0419.41N/AN/A495216,8451,629
2010-04-08$28.37$30.0025.3%9.2%20.1%12.0%35.1%-2.3%-3.4%279.2K877.4K-9.7K5.7121.89N/AN/A7406,8451,629
2010-04-09$28.25$30.0019.2%9.1%20.0%0.0%31.8%6.4%-3.2%178.5K1.6M-8.7K0.5023.19N/AN/A20106,7021,653
2010-04-12$28.63$30.0020.0%9.1%20.7%1.8%31.9%3.1%-3.6%210.1K1.5M-8.7K0.2525.25N/AN/A240607,2221,663
2010-04-13$28.70$30.0020.6%9.4%20.8%3.1%32.7%3.8%-3.9%217.2K1.3M-9.8K0.0022.15N/AN/A9707,4191,723
2010-04-14$29.40$30.0027.9%9.0%21.3%20.3%31.4%2.5%-1.8%825.6K-936.0K-13.0K0.3329.03N/AN/A240797,3921,723
2010-04-15$30.49$30.0033.4%9.6%24.7%33.1%33.4%2.2%-4.2%1.0M-8.0M-14.1K0.2425.21N/AN/A7971937,5111,705
2010-04-16$29.95$30.0034.3%9.8%25.7%35.1%34.3%1.9%-4.6%2.4M-3.9M-14.3K2.1833.75N/AN/A1743797,5801,821
2010-04-19$30.23$30.0034.2%9.8%25.6%34.8%34.1%2.6%-2.9%115.6K-1.6M-12.1K1.3344.27N/AN/A73972,135776
2010-04-20$30.36$30.0033.5%9.6%25.4%33.2%33.9%2.9%-2.8%126.4K-1.8M-12.2K0.0833.22N/AN/A7362,203798
2010-04-21$30.61$30.0033.4%9.6%25.4%33.2%33.4%2.2%-2.6%136.1K-2.1M-12.6K0.7124.70N/AN/A34242,276804
2010-04-22$30.59$30.0033.4%9.6%24.1%33.0%33.6%2.4%-2.6%138.7K-2.0M-12.9K1.3141.46N/AN/A36472,309828
2010-04-23$30.60$30.0033.8%9.7%22.5%33.9%36.9%3.3%-3.8%133.3K-2.1M-13.0K0.0315.91N/AN/A14342,340875
2010-04-26$30.83$30.0036.4%10.4%21.2%40.1%35.8%3.2%-4.8%142.2K-2.4M-12.9K1.0532.71N/AN/A1431502,471879
2010-04-27$29.97$30.0040.8%11.7%23.8%50.4%43.3%1.8%-7.0%129.6K-1.8M-12.8K0.1725.92N/AN/A8381392,540885
2010-04-28$30.02$30.0038.3%11.0%23.8%44.5%27.3%2.2%-5.5%157.2K-1.8M-13.1K0.0613.64N/AN/A257153,208895
2010-04-29$29.84$30.0037.0%10.6%23.7%41.5%35.1%2.0%-5.4%158.4K-1.5M-12.6K0.0212.29N/AN/A569133,420910
2010-04-30$29.07$30.0038.0%10.9%25.1%43.8%38.0%1.5%-6.6%168.7K-1.5M-14.0K0.6455.65N/AN/A25163,862913