TDC Options History — July 2010

In July 2010, TDC traded between $29.62 and $33.58. ATM implied volatility averaged 33.0%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 3.3% (HV 20d: 29.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 4.30.

Notable Days

  • 2010-07-23: Highest Volume — 1,380 contracts
  • 2010-07-12: Largest IV spike — 41.1% change
  • 2010-07-30: Highest IV Rank — 61.5%
  • 2010-07-30: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.64$29.62$33.58$30.15$31.80
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV33.0%22.2%40.3%35.2%40.3%
Expected Move10.3%8.5%11.6%10.1%11.6%
HV 20d29.7%25.6%34.9%34.9%25.6%
HV 60d33.3%32.8%34.0%33.2%33.0%
IV Rank40.1%8.7%61.5%46.7%61.5%
IV Percentile44.3%1.6%82.5%54.8%82.5%
Term Structure-1.9%-7.5%5.8%5.8%-6.2%
VWIV35.3%29.8%40.1%35.1%40.1%
Skew 25d4.9%-9.5%30.4%30.4%7.4%
Skew 10d9.0%-15.3%50.3%50.3%4.3%
Call IV 25d33.3%29.3%40.5%30.5%32.9%
Put IV 25d38.3%31.0%60.9%60.9%40.4%
Bid-Ask Spread %16.769.2424.479.2418.63
Gamma HHI0.410.260.590.420.46
Net GEX22.3K-26.1K114.9K21.6K-26.1K
Net DEX-943.8K-2.7M815.9K461.3K-569.8K
Net VEX-13.7K-18.7K-10.8K-13.0K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.300.0028.360.451.77
Total Volume241.571251,380141133
Total OI4,955.3332,3376,0435,6755,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$30.15$30.0035.2%10.1%34.9%46.7%35.1%30.4%5.8%21.6K461.3K-13.0K0.459.24N/AN/A97443,7361,939
2010-07-02$29.85$30.0032.4%9.3%32.5%38.6%32.6%-9.5%4.9%10.4K589.0K-12.4K0.839.48N/AN/A84703,8021,924
2010-07-06$29.62$30.0035.2%11.0%31.0%46.5%37.8%3.9%-2.3%6.1K815.9K-11.7K1.2320.21N/AN/A31383,8111,920
2010-07-07$30.72$30.0024.5%11.2%33.7%15.3%36.6%4.9%-3.3%18.2K-157.0K-11.7K0.7322.23N/AN/A51373,8321,901
2010-07-08$31.15$30.0031.6%10.6%34.0%36.0%37.0%5.7%-2.0%33.3K-498.6K-11.8K1.6013.71N/AN/A57913,8551,881
2010-07-09$31.15$30.0024.3%10.7%28.6%14.8%33.2%4.6%-2.1%19.7K-541.8K-11.3K0.0023.34N/AN/A2503,8651,885
2010-07-12$31.00$30.0034.3%10.7%28.6%44.1%33.3%4.7%-2.3%14.0K-466.3K-11.0K0.0022.11N/AN/A13403,8801,885
2010-07-13$31.40$30.0022.2%10.6%28.5%8.7%35.1%4.3%-2.1%-130-1.0M-10.8K0.1724.47N/AN/A181303,9151,885
2010-07-14$31.94$30.0030.0%10.6%27.8%31.5%36.2%2.5%-2.3%7.1K-1.4M-11.4K1.0211.84N/AN/A47484,0561,902
2010-07-15$32.07$30.0037.5%10.7%27.9%53.3%36.4%2.9%-1.7%7.3K-1.5M-11.7K28.0014.45N/AN/A2564,0881,936
2010-07-16$31.36$30.0037.3%10.7%28.4%52.8%0.0%-1.1%-2.2%6.4K-1.1M-11.7K0.5411.62N/AN/A65354,0881,955
2010-07-19$31.69$30.0038.0%10.9%28.8%54.9%0.0%3.4%-2.3%488-42.4K-11.6K0.0014.81N/AN/A15701,0551,282
2010-07-20$32.08$30.0035.8%10.2%29.3%48.3%35.1%5.2%-7.5%10.5K-277.0K-11.9K0.1419.02N/AN/A8291151,1591,282
2010-07-21$31.67$30.0034.3%9.8%29.5%44.0%33.8%-0.1%-1.2%77.6K-1.5M-14.1K0.1815.19N/AN/A367661,8841,343
2010-07-22$32.26$30.0035.1%10.1%30.0%46.4%29.8%4.5%-4.0%104.2K-2.1M-15.1K0.0615.22N/AN/A235132,1731,347
2010-07-23$32.96$30.0029.5%8.5%30.0%30.1%37.2%5.3%-1.1%114.9K-2.7M-15.3K28.3613.35N/AN/A471,3332,2571,357
2010-07-26$33.58$30.0031.9%9.2%30.6%37.1%31.9%8.3%-0.5%30.8K-2.7M-17.7K1.2819.13N/AN/A851092,2952,556
2010-07-27$33.27$30.0032.0%9.2%30.8%37.4%38.1%6.3%-2.5%24.7K-2.4M-18.4K5.5616.38N/AN/A181002,3202,618
2010-07-28$32.55$30.0032.8%9.4%27.1%39.7%0.0%3.7%-3.8%-1.1K-1.5M-18.5K8.3114.64N/AN/A131082,3262,718
2010-07-29$32.11$30.0037.9%10.9%25.7%54.5%40.1%6.4%-1.3%-12.0K-1.2M-18.4K10.0922.88N/AN/A111112,3332,732
2010-07-30$31.80$30.0040.3%11.6%25.6%61.5%0.0%7.4%-6.2%-26.1K-569.8K-18.7K1.7718.63N/AN/A48852,3412,743