TDC Options History — October 2010

In October 2010, TDC traded between $37.31 and $39.70. ATM implied volatility averaged 43.1%, placing in the 69.6% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 6.5% (HV 20d: 36.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2010-10-19: Highest Volume — 4,779 contracts
  • 2010-10-11: Largest IV spike — 13.1% change
  • 2010-10-14: Highest IV Rank — 79.8%
  • 2010-10-14: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.41$37.31$39.70$39.08$39.36
Max Pain$37.86$35.00$40.00$35.00$40.00
ATM IV43.1%36.2%46.6%36.2%45.4%
Expected Move12.7%10.4%13.3%10.4%13.0%
HV 20d36.6%28.9%43.0%41.1%29.1%
HV 60d37.1%34.9%38.1%35.6%34.9%
IV Rank69.6%49.6%79.8%49.6%76.6%
IV Percentile88.9%67.5%95.6%67.5%94.8%
Term Structure-3.4%-5.8%5.1%5.1%-5.4%
VWIV44.5%36.1%48.4%36.1%46.2%
Skew 25d0.1%-1.9%3.5%-1.9%-0.2%
Skew 10d-2.5%-13.5%5.0%-5.3%-4.7%
Call IV 25d44.8%40.5%48.0%40.5%46.7%
Put IV 25d44.9%38.6%46.5%38.6%46.5%
Bid-Ask Spread %19.4312.2428.0322.4713.76
Gamma HHI0.580.480.750.600.55
Net GEX1.6M840.4K2.4M2.1M1.3M
Net DEX-32.9M-53.8M-16.6M-48.3M-25.7M
Net VEX-114.1K-125.5K-105.1K-125.5K-110.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.014.070.160.41
Total Volume1,089.8571404,779884140
Total OI27,268.09521,33834,93328,49423,786

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$39.08$35.0036.2%10.4%41.1%49.6%36.1%-1.9%5.1%2.1M-48.3M-125.5K0.1622.47N/AN/A75912523,9984,496
2010-10-04$38.72$35.0038.1%11.8%41.3%55.0%43.5%2.8%-1.2%2.2M-46.0M-119.6K0.2320.37N/AN/A60413824,3534,589
2010-10-05$39.70$35.0037.8%12.8%36.6%54.2%44.1%3.5%-5.0%2.3M-53.8M-120.5K0.1924.37N/AN/A1,72532524,3524,697
2010-10-06$37.44$35.0039.2%12.6%42.8%58.3%43.5%1.5%-2.9%1.9M-36.5M-113.9K0.9927.75N/AN/A92691524,6024,868
2010-10-07$37.45$35.0039.8%12.6%42.7%60.2%43.7%1.0%-2.2%1.9M-36.0M-112.6K0.4813.97N/AN/A72735224,5805,320
2010-10-08$38.09$35.0040.4%12.6%43.0%61.9%43.9%1.4%-3.9%2.1M-40.7M-114.6K0.0220.03N/AN/A1,7034024,8545,617
2010-10-11$37.91$35.0045.7%13.1%43.0%77.4%45.4%0.2%-5.5%2.0M-39.2M-109.7K0.0917.06N/AN/A5415024,8325,614
2010-10-12$37.99$35.0045.0%13.2%41.1%75.2%45.3%1.4%-5.1%2.0M-39.0M-106.8K0.0417.45N/AN/A2,4559024,8785,632
2010-10-13$38.46$35.0043.4%13.0%41.1%70.5%45.4%0.4%-5.3%2.4M-45.2M-115.5K3.9521.19N/AN/A13252227,0925,609
2010-10-14$38.33$40.0046.6%13.3%41.2%79.8%46.4%-1.1%-4.6%1.5M-41.3M-111.0K0.9322.85N/AN/A97591027,0676,131
2010-10-15$38.61$40.0045.3%13.0%41.0%76.2%46.3%-0.2%-3.2%1.4M-42.9M-114.4K0.4522.17N/AN/A31014027,8957,038
2010-10-18$38.25$40.0045.8%13.1%32.9%77.6%46.2%-0.2%-2.3%977.3K-20.6M-109.3K1.0324.25N/AN/A11011316,0025,336
2010-10-19$37.31$40.0046.4%13.3%34.1%79.3%48.4%-1.9%-4.5%840.4K-16.6M-105.1K0.3428.03N/AN/A3,5601,21916,0555,410
2010-10-20$37.80$40.0044.9%12.9%33.9%74.9%45.1%-0.4%-2.2%1.1M-23.4M-125.1K0.5321.81N/AN/A29315519,6196,571
2010-10-21$38.47$40.0043.5%12.5%34.4%71.1%43.6%-1.4%-2.8%1.1M-21.8M-117.7K4.0713.87N/AN/A17972917,0956,588
2010-10-22$38.35$40.0042.9%12.3%30.8%69.1%44.0%-0.6%-3.1%1.1M-21.0M-116.0K0.0813.90N/AN/A4833817,1616,876
2010-10-25$38.66$40.0043.9%12.6%30.2%72.1%44.0%-1.1%-3.8%1.2M-22.9M-113.4K2.4712.24N/AN/A9323017,0446,256
2010-10-26$38.39$40.0044.5%12.8%28.9%73.8%44.5%-1.3%-4.3%1.1M-21.5M-110.5K2.6715.43N/AN/A8221917,0706,307
2010-10-27$39.09$40.0045.1%12.9%29.6%75.7%45.2%-0.1%-4.4%1.2M-24.5M-112.2K0.5115.36N/AN/A1849417,0726,504
2010-10-28$39.07$40.0044.5%12.8%29.3%74.0%44.6%-0.3%-5.8%1.3M-24.7M-111.2K0.0119.70N/AN/A499317,1956,569
2010-10-29$39.36$40.0045.4%13.0%29.1%76.6%46.2%-0.2%-5.4%1.3M-25.7M-110.8K0.4113.76N/AN/A994117,2176,569