TDC Options History — September 2010

In September 2010, TDC traded between $33.09 and $38.96. ATM implied volatility averaged 37.1%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 2.6% (HV 20d: 39.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2010-09-20: Highest Volume — 11,870 contracts
  • 2010-09-08: Largest IV spike — 23.0% change
  • 2010-09-24: Highest IV Rank — 64.3%
  • 2010-09-24: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.86$33.09$38.96$33.75$38.56
Max Pain$31.90$30.00$35.00$30.00$35.00
ATM IV37.1%31.5%41.3%38.9%36.9%
Expected Move10.7%9.8%11.8%11.1%10.6%
HV 20d39.7%34.6%44.7%38.0%41.1%
HV 60d34.6%31.6%36.8%32.9%35.6%
IV Rank52.1%35.8%64.3%57.4%51.7%
IV Percentile72.1%34.5%88.5%82.5%70.2%
Term Structure2.2%-1.3%8.5%-1.3%4.0%
VWIV38.2%33.7%44.3%42.0%35.8%
Skew 25d-0.3%-6.9%8.5%8.5%-1.8%
Skew 10d-2.4%-17.7%16.5%16.5%-6.8%
Call IV 25d38.5%32.8%44.6%34.9%40.3%
Put IV 25d38.2%28.8%43.3%43.3%38.6%
Bid-Ask Spread %16.578.5730.0514.2321.09
Gamma HHI0.660.470.870.650.58
Net GEX1.6M565.3K2.4M565.3K2.0M
Net DEX-25.7M-46.7M-10.4M-11.2M-44.5M
Net VEX-77.5K-126.5K-43.4K-48.4K-120.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.023.581.400.50
Total Volume2,404.57115811,8707841,900
Total OI19,472.52411,89126,97111,92326,788

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$33.75$30.0038.9%11.1%38.0%57.4%42.0%8.5%-1.3%565.3K-11.2M-48.4K1.4014.23N/AN/A3274578,5993,324
2010-09-02$34.15$30.0037.8%10.8%34.6%54.1%37.7%-4.1%1.4%582.1K-11.6M-45.3K0.0611.09N/AN/A1,7911078,3033,588
2010-09-03$34.72$30.0033.3%9.8%34.6%41.0%33.7%1.2%3.2%941.6K-15.4M-48.1K0.1715.96N/AN/A135239,3653,662
2010-09-07$33.09$30.0031.5%10.7%38.2%35.8%37.8%1.1%-0.6%772.9K-10.4M-43.4K0.1118.32N/AN/A481519,3883,633
2010-09-08$34.15$30.0038.7%10.7%39.5%57.0%37.2%1.6%0.2%926.1K-13.6M-46.0K0.0415.02N/AN/A3,1041139,6743,648
2010-09-09$34.54$30.0035.1%10.1%37.0%46.4%35.6%3.6%1.7%1.5M-19.2M-57.0K0.4714.19N/AN/A28413412,3293,676
2010-09-10$34.73$30.0036.5%10.5%36.0%50.6%36.8%1.4%0.4%1.7M-20.8M-58.0K0.078.57N/AN/A7,33253012,4703,803
2010-09-13$35.12$30.0038.0%10.9%35.7%54.8%37.7%2.2%-0.7%2.2M-27.5M-70.2K0.0714.16N/AN/A9936916,8774,182
2010-09-14$34.08$30.0036.5%10.5%38.2%50.6%36.9%0.2%0.0%1.7M-17.6M-65.2K0.1312.49N/AN/A6598515,5154,182
2010-09-15$34.51$30.0037.1%10.6%38.1%52.3%37.7%0.6%-0.6%1.9M-19.0M-66.9K0.5917.15N/AN/A1016015,8454,258
2010-09-16$34.68$30.0036.2%10.4%38.1%49.6%38.2%1.8%0.5%2.4M-19.9M-66.2K0.2813.35N/AN/A1343715,7634,256
2010-09-17$34.47$30.0034.1%9.8%38.2%43.4%34.1%-1.0%2.1%1.9M-16.3M-62.5K0.2014.58N/AN/A60011915,7554,274
2010-09-20$37.05$30.0038.5%11.0%44.7%56.1%41.1%-4.6%8.5%1.1M-25.5M-64.1K0.1619.59N/AN/A10,2101,66012,2811,783
2010-09-21$37.39$35.0037.6%10.8%44.3%53.7%41.8%-3.9%3.9%1.8M-34.2M-91.0K0.0214.91N/AN/A3,8008318,9223,081
2010-09-22$36.83$35.0038.1%10.9%44.6%55.1%38.7%-4.6%2.1%1.4M-26.5M-85.2K0.0822.12N/AN/A2,13918017,4443,130
2010-09-23$36.96$35.0037.0%10.6%44.1%52.0%44.3%-6.9%4.3%1.6M-30.0M-100.6K0.0917.63N/AN/A4,20836320,5293,135
2010-09-24$38.57$35.0041.3%11.8%42.4%64.3%41.6%-1.5%4.4%1.9M-44.1M-124.2K0.0214.52N/AN/A3,1497222,4663,443
2010-09-27$37.85$35.0040.2%11.5%42.7%61.2%40.1%-4.1%2.1%1.8M-40.1M-119.8K0.1219.24N/AN/A2,38427922,5453,470
2010-09-28$38.83$35.0037.6%10.8%41.9%53.6%37.0%-1.9%6.0%2.0M-46.5M-126.5K0.0430.05N/AN/A1,7427023,3083,663
2010-09-29$38.96$35.0037.4%10.7%41.4%53.2%37.2%5.5%5.0%2.1M-46.7M-119.2K3.5819.71N/AN/A11641522,8933,673
2010-09-30$38.56$35.0036.9%10.6%41.1%51.7%35.8%-1.8%4.0%2.0M-44.5M-120.1K0.5021.09N/AN/A1,26863222,8663,922