TDC Options History — May 2010

In May 2010, TDC traded between $28.87 and $32.88. ATM implied volatility averaged 36.9%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.3% (HV 20d: 34.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2010-05-12: Highest Volume — 2,649 contracts
  • 2010-05-07: Largest IV drop — 25.7% change
  • 2010-05-25: Highest IV Rank — 66.1%
  • 2010-05-04: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.01$28.87$32.88$29.54$31.94
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV36.9%28.2%45.1%41.2%34.5%
Expected Move10.6%8.1%12.9%11.8%9.9%
HV 20d34.5%25.7%39.7%25.7%38.2%
HV 60d26.4%22.0%28.9%22.0%28.6%
IV Rank48.9%26.2%66.1%51.3%44.6%
IV Percentile57.8%16.7%88.1%78.6%49.6%
Term Structure-0.7%-10.2%13.8%-9.1%1.5%
VWIV37.4%28.3%45.2%41.2%35.1%
Skew 25d2.5%-0.8%5.5%1.7%-0.4%
Skew 10d9.9%-4.6%20.5%1.5%1.6%
Call IV 25d34.7%30.2%40.8%30.5%35.0%
Put IV 25d37.2%32.2%44.2%32.2%34.7%
Bid-Ask Spread %40.6514.0985.2014.0928.68
Gamma HHI0.530.430.800.510.62
Net GEX299.1K170.7K546.6K182.6K320.8K
Net DEX-4.5M-9.1M-1.3M-1.8M-4.6M
Net VEX-21.5K-27.9K-14.1K-14.1K-24.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.0012.390.070.52
Total Volume584.75262,649921229
Total OI6,867.754,7838,6234,7836,784

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$29.54$30.0041.2%11.8%25.7%51.3%41.2%1.7%-9.1%182.6K-1.8M-14.1K0.0714.09N/AN/A861603,870913
2010-05-04$28.87$30.0045.1%12.9%27.0%60.4%45.2%1.7%-10.2%170.7K-1.3M-15.0K0.9354.56N/AN/A29274,398973
2010-05-05$29.29$30.0043.8%12.5%26.4%57.3%44.1%3.5%-8.4%190.7K-1.7M-15.8K0.0022.87N/AN/A6404,408989
2010-05-06$30.19$30.0042.9%12.3%28.0%59.2%43.4%2.9%-8.3%240.9K-3.2M-17.9K0.3271.34N/AN/A1,1883844,447989
2010-05-07$29.41$30.0031.9%8.9%29.8%36.9%30.5%4.4%-0.4%189.3K-1.4M-16.6K0.0750.31N/AN/A279204,6471,204
2010-05-10$30.89$30.0033.7%8.7%34.0%42.3%30.4%2.3%2.3%272.4K-3.6M-18.1K0.0485.20N/AN/A654244,7251,202
2010-05-11$30.50$30.0028.2%8.7%34.5%26.2%0.0%1.9%1.1%283.1K-3.4M-19.3K1.0730.77N/AN/A1561675,2001,212
2010-05-12$31.52$30.0028.8%9.2%35.3%28.0%34.0%0.5%-0.3%308.3K-5.0M-20.8K0.0730.66N/AN/A2,4871625,2461,246
2010-05-13$32.88$30.0033.2%9.5%36.1%40.8%33.2%2.6%-1.1%546.6K-9.1M-25.7K0.0620.87N/AN/A2,4281526,1631,303
2010-05-14$32.30$30.0034.2%9.8%36.1%43.6%36.4%-0.8%1.3%487.1K-7.6M-27.9K0.1820.49N/AN/A91167,1511,378
2010-05-17$31.81$30.0038.0%10.9%36.6%55.0%35.4%4.3%-0.2%400.5K-6.8M-25.6K0.0824.26N/AN/A155137,1761,374
2010-05-18$31.98$30.0036.0%10.3%36.6%48.9%36.7%0.7%0.1%332.5K-7.1M-24.1K0.1724.59N/AN/A146257,1001,377
2010-05-19$31.97$30.0037.3%10.7%36.6%52.7%37.3%5.5%0.8%306.9K-7.2M-24.2K1.7121.83N/AN/A21367,1281,390
2010-05-20$30.96$30.0040.6%11.6%38.6%62.4%38.2%5.4%0.1%373.2K-5.3M-24.5K0.2854.43N/AN/A219617,1481,426
2010-05-21$31.22$30.0040.3%11.6%38.7%61.6%40.4%3.9%2.3%307.9K-6.0M-23.0K0.0563.43N/AN/A462217,1461,477
2010-05-24$31.15$30.0041.1%11.8%38.6%63.8%41.3%3.8%0.7%263.6K-4.0M-23.6K4.2055.10N/AN/A5215,1991,177
2010-05-25$30.94$30.0041.9%12.0%37.2%66.1%43.2%1.0%-2.1%246.5K-3.4M-21.9K12.3961.88N/AN/A415085,2031,195
2010-05-26$30.74$30.0036.4%10.4%37.3%50.3%36.6%3.9%2.8%246.8K-3.2M-23.0K0.5638.79N/AN/A2691515,2131,404
2010-05-27$32.00$30.0028.3%8.1%39.7%26.4%28.3%1.6%13.8%311.3K-4.4M-23.9K0.0038.77N/AN/A6305,3011,473
2010-05-28$31.94$30.0034.5%9.9%38.2%44.6%35.1%-0.4%1.5%320.8K-4.6M-24.5K0.5228.68N/AN/A151785,3111,473