TDC Options History — December 2010

In December 2010, TDC traded between $41.16 and $43.50. ATM implied volatility averaged 29.7%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 9.4% (HV 20d: 20.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2010-12-22: Highest Volume — 1,930 contracts
  • 2010-12-14: Largest IV spike — 37.4% change
  • 2010-12-14: Highest IV Rank — 57.7%
  • 2010-12-06: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.14$41.16$43.50$41.74$41.16
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV29.7%24.8%39.0%32.5%26.3%
Expected Move8.5%7.1%9.5%9.3%7.5%
HV 20d20.3%16.4%24.1%23.6%16.4%
HV 60d26.3%19.8%30.3%30.3%19.8%
IV Rank30.6%16.2%57.7%38.9%20.6%
IV Percentile25.1%5.6%81.7%39.7%11.5%
Term Structure4.0%0.6%7.4%1.0%6.8%
VWIV29.5%25.3%33.0%32.8%26.3%
Skew 25d1.7%-2.0%4.2%-2.0%-1.3%
Skew 10d3.9%-6.5%23.4%-4.5%-3.8%
Call IV 25d29.0%23.9%34.4%34.4%26.8%
Put IV 25d30.7%25.5%34.3%32.4%25.5%
Bid-Ask Spread %21.8512.8963.3313.4019.59
Gamma HHI0.490.470.530.470.53
Net GEX910.5K785.3K1.0M857.9K830.5K
Net DEX-23.8M-30.3M-17.4M-23.5M-17.4M
Net VEX-65.3K-80.5K-53.0K-80.5K-53.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.008.790.698.79
Total Volume444.318121,930213597
Total OI17,286.13615,13618,94818,40015,536

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$41.74$40.0032.5%9.3%23.6%38.9%32.8%-2.0%1.0%857.9K-23.5M-80.5K0.6913.40N/AN/A1268711,9476,453
2010-12-02$41.27$40.0031.0%8.9%23.2%34.4%32.1%1.8%2.5%785.3K-21.6M-79.8K0.0715.30N/AN/A2541911,9846,463
2010-12-03$41.55$40.0030.5%8.8%23.3%33.0%30.4%-2.0%3.7%824.3K-22.9M-79.2K0.0119.60N/AN/A78112,0556,467
2010-12-06$41.85$40.0031.0%9.5%22.8%34.3%33.0%2.6%1.8%877.0K-24.1M-74.8K1.5312.89N/AN/A40962711,9596,467
2010-12-07$41.76$40.0028.7%9.2%22.7%27.6%32.1%3.5%2.0%833.9K-23.2M-77.4K0.1913.92N/AN/A1011912,0046,944
2010-12-08$41.85$40.0029.3%9.3%22.7%29.6%31.8%2.6%0.6%815.0K-23.3M-75.4K3.0215.83N/AN/A18154611,8476,944
2010-12-09$41.98$40.0031.8%9.2%22.6%36.6%32.2%3.0%1.9%901.0K-23.7M-72.8K1.7321.07N/AN/A498511,6596,643
2010-12-10$43.04$40.0036.0%9.3%24.1%49.1%30.7%1.6%2.8%1.0M-28.1M-69.1K0.1228.22N/AN/A2433011,6326,724
2010-12-13$42.43$40.0028.4%9.0%23.3%26.7%30.1%3.5%3.8%992.1K-26.5M-67.8K0.2526.02N/AN/A2486111,6106,726
2010-12-14$42.45$40.0039.0%9.0%23.3%57.7%28.9%2.6%3.5%1.0M-26.4M-65.9K0.0026.20N/AN/A12011,7816,738
2010-12-15$42.82$40.0030.5%8.7%19.9%32.9%29.4%2.1%3.1%932.0K-27.6M-64.0K0.0138.51N/AN/A345311,7316,738
2010-12-16$42.86$40.0029.3%8.4%19.9%29.4%30.8%2.5%3.3%964.5K-28.0M-62.6K0.0416.36N/AN/A56211,8636,740
2010-12-17$43.50$40.0028.5%8.2%18.4%27.2%28.0%3.0%4.4%890.0K-30.3M-60.4K0.2717.88N/AN/A2426511,8246,742
2010-12-20$43.06$40.0026.0%7.4%19.1%19.7%31.2%3.7%7.3%954.0K-26.8M-58.2K2.3928.27N/AN/A2716489,8355,487
2010-12-21$43.06$40.0024.8%7.1%17.0%16.2%25.3%4.2%7.4%972.6K-26.7M-55.7K2.8715.65N/AN/A1664769,7585,428
2010-12-22$42.10$40.0027.2%7.8%18.0%23.2%27.2%0.6%5.4%991.7K-22.3M-57.1K0.8723.95N/AN/A1,0328989,7815,355
2010-12-23$41.89$40.0028.0%8.0%17.3%25.6%27.1%1.0%6.0%910.9K-21.2M-60.2K0.1019.28N/AN/A188189,8755,785
2010-12-27$41.73$40.0029.1%8.3%17.3%28.8%27.8%0.1%5.2%888.7K-20.2M-56.7K0.9263.33N/AN/A1201109,7555,803
2010-12-28$41.65$40.0029.4%8.4%17.3%29.6%27.0%1.3%4.3%898.2K-19.8M-55.7K0.0015.89N/AN/A2009,8325,794
2010-12-29$41.62$40.0028.6%8.2%17.3%27.2%28.1%0.4%5.7%907.3K-19.9M-54.5K0.0015.25N/AN/A36209,8355,794
2010-12-30$41.65$40.0027.8%8.0%16.4%24.9%27.7%2.1%5.9%959.5K-20.4M-55.4K0.0014.21N/AN/A980010,1635,794
2010-12-31$41.16$40.0026.3%7.5%16.4%20.6%26.3%-1.3%6.8%830.5K-17.4M-53.0K8.7919.59N/AN/A615369,7425,794