TDC Options History — August 2010

In August 2010, TDC traded between $29.67 and $34.14. ATM implied volatility averaged 32.7%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 0.3% (HV 20d: 32.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2010-08-26: Highest Volume — 2,497 contracts
  • 2010-08-10: Largest IV spike — 14.7% change
  • 2010-08-27: Highest IV Rank — 53.8%
  • 2010-08-27: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.33$29.67$34.14$33.26$32.74
Max Pain$31.59$30.00$35.00$30.00$30.00
ATM IV32.7%30.0%37.6%34.7%36.9%
Expected Move9.3%8.6%10.8%9.9%10.6%
HV 20d32.9%27.1%38.6%29.2%37.1%
HV 60d32.1%30.6%33.7%33.7%32.4%
IV Rank39.3%31.5%53.8%45.1%51.7%
IV Percentile41.6%22.2%77.0%56.3%72.2%
Term Structure-0.2%-5.6%4.6%-4.9%0.2%
VWIV32.0%16.0%39.3%27.8%37.0%
Skew 25d2.4%-5.7%8.5%3.0%6.8%
Skew 10d4.1%-9.4%15.0%9.2%13.7%
Call IV 25d30.2%20.9%39.6%34.9%36.4%
Put IV 25d32.6%25.5%43.1%37.9%43.1%
Bid-Ask Spread %19.8411.4834.7318.9721.06
Gamma HHI0.540.410.740.460.59
Net GEX60.9K-189.9K443.5K8.7K443.5K
Net DEX-1.4M-7.9M2.6M-2.3M-7.9M
Net VEX-20.2K-45.4K-14.1K-16.3K-45.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.0011.430.370.55
Total Volume770182,497529232
Total OI6,837.0454,58711,8895,02911,889

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$33.26$30.0034.7%9.9%29.2%45.1%27.8%3.0%-4.9%8.7K-2.3M-16.3K0.3718.97N/AN/A3871422,3272,702
2010-08-03$33.43$30.0033.6%9.6%28.8%41.8%33.6%7.5%-5.3%30.3K-2.8M-16.4K0.3516.40N/AN/A84292,4322,755
2010-08-04$34.14$30.0035.6%10.2%27.1%47.9%35.6%8.5%-5.6%53.3K-3.6M-16.5K0.1023.07N/AN/A805832,4712,774
2010-08-05$32.68$30.0030.7%8.8%31.9%33.4%30.4%4.7%-2.7%72.5K-2.2M-17.5K0.4022.62N/AN/A4631863,0712,847
2010-08-06$32.34$35.0030.9%8.9%32.3%34.0%0.0%3.9%-2.2%57.4K-1.9M-17.0K11.4313.96N/AN/A7803,3032,888
2010-08-09$31.62$35.0031.0%9.4%33.3%34.4%0.0%5.3%-1.5%13.9K-1.1M-16.6K1.3119.79N/AN/A801053,3082,883
2010-08-10$31.50$35.0035.6%8.7%33.1%47.8%29.0%0.2%0.2%-31.6K-564.0K-16.6K1.1815.76N/AN/A45533,3692,938
2010-08-11$30.47$35.0031.7%8.8%34.5%36.5%30.7%-3.5%0.0%-109.8K1.1M-15.9K1.3726.37N/AN/A991363,3912,961
2010-08-12$29.98$35.0030.2%8.7%34.7%32.0%30.2%-5.7%1.0%-157.3K2.2M-15.5K0.3621.00N/AN/A69253,4123,058
2010-08-13$29.80$35.0030.6%8.8%34.0%33.3%30.6%3.4%0.6%-189.9K2.6M-15.0K1.1524.21N/AN/A20233,3803,062
2010-08-16$29.93$35.0031.6%9.1%33.8%36.2%32.2%2.8%1.1%-186.0K2.6M-14.1K0.9334.73N/AN/A1,1261,0423,4003,082
2010-08-17$30.37$30.0030.9%8.9%33.9%34.1%30.9%6.1%1.2%151.4K-884.8K-15.7K0.0011.75N/AN/A8204,2322,582
2010-08-18$30.55$30.0030.2%8.7%33.8%32.0%16.0%7.2%1.1%161.0K-1.9M-15.2K0.5811.48N/AN/A86504,2932,582
2010-08-19$30.43$30.0031.1%8.9%33.0%34.5%32.8%-3.8%1.6%218.7K-1.5M-15.0K0.0427.43N/AN/A1,319504,3622,579
2010-08-20$30.49$30.0030.0%8.6%31.8%31.5%0.0%5.1%2.4%270.7K-3.1M-16.2K0.0015.41N/AN/A1805,2462,552
2010-08-23$30.26$30.0030.5%8.7%30.6%32.8%30.5%4.4%2.1%67.6K8.2K-15.0K1.5615.29N/AN/A7301,1382,9701,617
2010-08-24$29.96$30.0031.5%9.0%30.6%35.8%31.5%2.7%1.6%-8.3K784.9K-19.8K0.2313.85N/AN/A6661543,6132,688
2010-08-25$29.67$30.0032.5%9.3%30.1%38.8%0.0%2.0%0.5%-13.3K1.2M-21.1K0.7016.24N/AN/A3152224,0392,788
2010-08-26$31.39$30.0036.1%10.4%36.8%49.4%39.2%-3.1%-1.2%69.8K-2.2M-27.0K0.0628.33N/AN/A2,3551424,2852,989
2010-08-27$32.46$30.0037.6%10.8%38.6%53.8%39.1%-2.2%-0.1%191.3K-5.3M-37.6K0.4119.34N/AN/A1,6736865,9382,992
2010-08-30$31.83$30.0035.5%10.2%35.6%47.5%39.3%-1.8%4.6%227.1K-5.0M-39.5K0.0119.46N/AN/A1,923107,0633,302
2010-08-31$32.74$30.0036.9%10.6%37.1%51.7%37.0%6.8%0.2%443.5K-7.9M-45.4K0.5521.06N/AN/A150828,5873,302