TDC Options History — June 2010

In June 2010, TDC traded between $30.48 and $33.98. ATM implied volatility averaged 34.5%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 0.4% (HV 20d: 34.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.31.

Notable Days

  • 2010-06-18: Highest Volume — 628 contracts
  • 2010-06-29: Largest IV spike — 9.8% change
  • 2010-06-07: Highest IV Rank — 60.5%
  • 2010-06-07: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.52$30.48$33.98$31.79$30.48
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV34.5%30.3%40.0%36.7%36.2%
Expected Move9.9%8.7%11.3%10.5%10.4%
HV 20d34.9%31.0%39.5%38.1%35.8%
HV 60d31.2%28.7%33.4%28.7%33.4%
IV Rank44.7%32.4%60.5%51.2%49.6%
IV Percentile47.2%22.2%75.8%60.3%60.3%
Term Structure1.9%-0.1%5.5%1.7%2.6%
VWIV34.3%23.1%39.5%39.5%36.2%
Skew 25d0.8%-11.3%6.8%-2.2%5.0%
Skew 10d6.4%-8.3%27.7%0.4%5.9%
Call IV 25d32.9%27.0%40.3%37.8%28.8%
Put IV 25d33.7%20.7%41.6%35.6%33.9%
Bid-Ask Spread %19.309.1940.5524.7312.90
Gamma HHI0.780.590.880.630.61
Net GEX301.2K55.6K504.9K315.5K55.6K
Net DEX-3.6M-5.7M18.7K-4.4M18.7K
Net VEX-18.9K-24.3K-13.3K-23.6K-13.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.0050.000.580.39
Total Volume183.81815628209165
Total OI6,328.8185,4857,0236,9785,621

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$31.79$30.0036.7%10.5%38.1%51.2%39.5%-2.2%1.7%315.5K-4.4M-23.6K0.5824.73N/AN/A132775,4421,536
2010-06-02$32.24$30.0035.9%10.3%36.9%48.8%38.2%3.1%3.7%336.5K-4.8M-24.3K0.0026.00N/AN/A59915,4311,592
2010-06-03$32.84$30.0035.4%10.1%37.0%47.2%28.4%5.6%0.3%367.8K-5.1M-23.8K0.0040.55N/AN/A12905,1851,593
2010-06-04$31.57$30.0037.4%11.2%39.1%52.9%37.8%-3.0%0.1%269.8K-3.2M-22.0K0.0428.38N/AN/A310115,1671,593
2010-06-07$30.64$30.0040.0%11.3%39.5%60.5%39.4%1.3%-0.1%185.9K-1.8M-18.2K2.7619.46N/AN/A511414,9061,603
2010-06-08$30.90$30.0037.7%11.1%35.5%53.8%38.9%2.4%0.1%184.4K-2.0M-19.1K0.2116.73N/AN/A3474,9571,715
2010-06-09$30.89$30.0039.0%11.0%35.2%57.8%36.6%0.8%0.7%180.9K-1.9M-18.2K1.1423.45N/AN/A59674,9741,715
2010-06-10$32.47$30.0035.7%10.2%37.7%48.2%37.5%0.3%2.0%265.8K-3.9M-20.3K0.0010.21N/AN/A2004,9831,778
2010-06-11$32.55$30.0034.8%10.0%34.5%45.6%35.2%0.9%0.1%286.2K-3.9M-19.6K0.0012.31N/AN/A29204,9901,778
2010-06-14$32.98$30.0034.5%9.9%34.2%44.6%34.8%4.3%0.3%353.2K-4.6M-19.8K0.2112.65N/AN/A107224,9841,778
2010-06-15$33.77$30.0033.9%9.7%34.5%42.9%33.0%6.1%1.6%473.3K-5.7M-19.9K0.0114.67N/AN/A8414,9291,800
2010-06-16$33.62$30.0033.9%9.7%34.6%42.9%38.6%6.8%1.0%430.2K-5.4M-19.0K4.0014.77N/AN/A3124,8671,799
2010-06-17$33.93$30.0032.7%9.4%34.6%39.5%32.8%5.9%1.1%504.9K-5.7M-19.0K0.0133.11N/AN/A15114,8671,811
2010-06-18$33.98$30.0031.2%8.9%32.1%34.8%31.0%5.0%2.6%487.1K-5.7M-18.9K0.2115.51N/AN/A5181104,9541,812
2010-06-21$33.66$30.0030.9%8.9%32.4%34.2%31.0%2.3%2.4%347.6K-4.2M-17.9K0.5421.03N/AN/A2251213,9561,582
2010-06-22$33.43$30.0031.2%8.9%32.6%35.0%31.2%-8.7%2.8%324.6K-3.8M-18.5K0.469.19N/AN/A96443,9361,699
2010-06-23$33.84$30.0030.3%8.7%32.5%32.4%29.9%-5.6%5.4%348.1K-4.2M-18.3K0.549.65N/AN/A37203,8641,723
2010-06-24$33.04$30.0032.1%9.2%33.8%37.5%32.0%-11.3%3.0%275.5K-3.0M-17.0K6.7826.66N/AN/A9613,8461,723
2010-06-25$32.89$30.0031.0%8.9%31.0%34.4%23.1%0.8%3.6%260.3K-2.6M-16.6K0.1313.71N/AN/A104133,8461,779
2010-06-28$32.72$30.0033.0%9.4%31.1%40.1%0.0%0.7%2.1%253.4K-2.4M-15.7K50.0015.96N/AN/A1503,8461,789
2010-06-29$31.28$30.0036.2%10.4%35.1%49.5%36.2%-2.7%5.5%120.4K-859.8K-13.7K4.8922.96N/AN/A271323,7081,777
2010-06-30$30.48$30.0036.2%10.4%35.8%49.6%36.2%5.0%2.6%55.6K18.7K-13.3K0.3912.90N/AN/A119463,7261,895