TDC Options History — November 2010

In November 2010, TDC traded between $38.86 and $41.18. ATM implied volatility averaged 34.8%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 12.4% (HV 20d: 22.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2010-11-04: Highest Volume — 4,316 contracts
  • 2010-11-04: Largest IV drop — 19.7% change
  • 2010-11-01: Highest IV Rank — 76.8%
  • 2010-11-01: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.50$38.86$41.18$40.15$41.09
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV34.8%30.0%45.5%45.5%33.2%
Expected Move10.0%8.6%13.0%13.0%9.5%
HV 20d22.4%19.3%29.6%29.6%23.7%
HV 60d33.7%32.0%35.0%35.0%32.0%
IV Rank45.6%31.5%76.8%76.8%40.7%
IV Percentile52.3%20.2%96.0%95.6%43.3%
Term Structure0.6%-8.0%3.6%-4.9%1.1%
VWIV34.9%24.2%45.6%45.5%34.0%
Skew 25d0.2%-4.8%3.4%1.7%-4.8%
Skew 10d1.2%-9.4%12.4%2.9%-9.4%
Call IV 25d35.4%30.2%45.9%45.7%35.3%
Put IV 25d35.6%27.9%49.3%47.4%30.5%
Bid-Ask Spread %22.8713.6955.0315.5713.69
Gamma HHI0.580.440.950.560.46
Net GEX1.9M656.4K12.4M1.5M767.0K
Net DEX-24.6M-33.1M-12.1M-29.5M-20.6M
Net VEX-97.7K-111.1K-82.8K-108.7K-82.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.023.140.410.17
Total Volume914.667454,3161,114137
Total OI23,432.61917,40226,83323,79818,375

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$40.15$40.0045.5%13.0%29.6%76.8%45.5%1.7%-4.9%1.5M-29.5M-108.7K0.4115.57N/AN/A79232217,2416,557
2010-11-02$40.86$40.0043.6%12.5%28.9%71.3%43.3%2.4%-3.8%1.5M-32.6M-106.6K0.1517.48N/AN/A86913017,0286,671
2010-11-03$40.23$40.0045.5%13.0%19.6%76.7%45.6%3.4%-8.0%1.5M-29.1M-105.9K0.2317.50N/AN/A1,08125217,1386,689
2010-11-04$40.41$40.0036.5%10.5%19.6%50.6%37.1%1.8%0.9%1.7M-29.8M-105.5K0.5731.55N/AN/A2,7451,57117,5396,858
2010-11-05$41.03$40.0034.5%9.9%19.5%44.6%35.0%-0.1%1.0%1.7M-33.1M-111.1K2.8721.86N/AN/A23166217,7787,805
2010-11-08$40.74$40.0034.9%10.0%19.6%45.9%34.7%1.4%1.2%1.7M-29.8M-110.0K0.3124.34N/AN/A70321517,6528,358
2010-11-09$40.76$40.0034.4%9.6%19.6%44.3%34.5%0.9%1.8%1.7M-29.1M-106.2K0.1231.17N/AN/A4175217,1408,568
2010-11-10$41.04$40.0034.1%9.9%19.4%43.3%34.7%1.3%1.5%1.7M-31.0M-106.5K0.1015.02N/AN/A89917,1808,591
2010-11-11$41.06$40.0034.2%9.8%19.3%43.8%34.1%0.9%0.6%1.8M-30.9M-103.5K0.7119.01N/AN/A83559717,2268,593
2010-11-12$40.20$40.0033.0%9.5%21.1%40.2%32.9%0.4%1.2%1.7M-24.3M-104.6K2.6026.36N/AN/A17345017,2349,160
2010-11-15$40.08$40.0033.5%9.6%20.7%41.7%35.6%0.4%2.1%1.9M-23.3M-98.6K0.2919.69N/AN/A1414116,9369,417
2010-11-16$38.92$40.0033.8%9.7%21.6%42.4%36.0%1.7%1.8%1.4M-14.6M-95.6K3.1022.75N/AN/A8927616,9919,420
2010-11-17$38.86$40.0034.5%9.9%21.2%44.7%24.2%0.0%0.5%1.5M-12.1M-93.0K3.1427.00N/AN/A144417,0109,561
2010-11-18$39.95$40.0031.2%8.9%22.5%34.8%0.0%-0.2%2.5%2.8M-21.1M-93.3K0.1723.84N/AN/A5589616,9819,567
2010-11-19$40.10$40.0030.5%8.7%22.4%32.9%30.5%2.9%2.8%12.4M-26.7M-90.4K0.1823.57N/AN/A2,82351717,2879,546
2010-11-22$41.18$40.0031.4%9.0%24.0%35.6%31.1%-1.2%1.9%656.4K-19.2M-82.8K0.1955.03N/AN/A99419010,9676,435
2010-11-23$40.49$40.0032.4%9.3%24.8%38.6%32.4%1.9%1.4%664.2K-18.1M-89.2K0.2427.47N/AN/A2315611,4986,460
2010-11-24$41.15$40.0030.0%8.6%24.6%31.5%30.6%-2.7%3.6%718.2K-20.7M-86.7K0.0314.33N/AN/A6322011,5016,422
2010-11-26$41.00$40.0031.7%9.1%24.7%36.4%31.9%-4.0%1.9%766.1K-20.5M-86.2K0.3117.18N/AN/A832611,9166,435
2010-11-29$41.14$40.0033.3%9.5%24.6%41.0%33.3%-3.5%0.5%777.9K-20.9M-83.6K0.0215.89N/AN/A44111,9196,435
2010-11-30$41.09$40.0033.2%9.5%23.7%40.7%34.0%-4.8%1.1%767.0K-20.6M-82.9K0.1713.69N/AN/A1172011,9396,436