TDC Options History — January 2011

In January 2011, TDC traded between $42.00 and $46.05. ATM implied volatility averaged 32.9%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 9.1% (HV 20d: 23.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-01-31: Highest Volume — 14,038 contracts
  • 2011-01-07: Largest IV spike — 32.9% change
  • 2011-01-28: Highest IV Rank — 62.6%
  • 2011-01-28: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.38$42.00$46.05$42.58$42.99
Max Pain$44.00$40.00$45.00$40.00$45.00
ATM IV32.9%23.6%40.6%26.7%40.2%
Expected Move9.6%6.8%11.7%7.7%11.5%
HV 20d23.8%20.3%30.8%20.3%30.4%
HV 60d21.8%20.8%23.9%20.9%23.7%
IV Rank40.0%12.9%62.6%21.8%61.4%
IV Percentile47.7%2.8%86.5%12.7%84.9%
Term Structure-2.8%-9.5%6.9%6.0%-7.9%
VWIV33.8%23.0%40.7%27.3%37.8%
Skew 25d2.2%-0.7%7.9%0.7%7.9%
Skew 10d1.4%-11.3%8.6%2.9%8.6%
Call IV 25d33.3%23.6%41.2%26.9%35.2%
Put IV 25d35.4%25.6%43.1%27.6%43.1%
Bid-Ask Spread %26.9211.8037.0223.8011.80
Gamma HHI0.580.310.950.480.31
Net GEX1.5M138.2K9.5M942.2K138.2K
Net DEX-26.7M-43.7M-6.1M-23.2M-6.1M
Net VEX-44.2K-51.6K-36.2K-50.7K-45.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.009.630.680.20
Total Volume1,343.83514,03810614,038
Total OI15,260.67,23319,70615,9859,416

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$42.58$40.0026.7%7.7%20.3%21.8%27.3%0.7%6.0%942.2K-23.2M-50.7K0.6823.80N/AN/A63439,7466,239
2011-01-04$42.00$40.0026.4%7.6%20.8%20.8%26.3%-0.7%6.2%885.5K-20.9M-49.3K0.0021.98N/AN/A3509,7356,276
2011-01-05$42.71$40.0024.3%7.0%21.6%14.8%24.8%2.2%6.5%961.3K-23.7M-48.5K0.0023.76N/AN/A9609,7586,276
2011-01-06$43.44$40.0023.6%6.8%22.3%12.9%23.0%3.4%6.9%1.1M-26.8M-44.1K0.3023.07N/AN/A233719,7866,276
2011-01-07$44.15$45.0031.4%10.1%22.9%35.6%35.1%0.8%-4.1%1.0M-29.1M-47.0K0.0334.92N/AN/A4,6131569,7796,332
2011-01-10$44.42$45.0030.9%9.5%21.4%34.1%33.7%1.1%-2.4%1.6M-34.3M-51.6K0.1533.06N/AN/A5278112,9426,359
2011-01-11$45.46$45.0030.2%9.4%21.8%32.0%32.8%0.9%-1.4%1.7M-40.3M-47.6K1.0037.02N/AN/A10210213,1636,363
2011-01-12$45.66$45.0028.5%9.7%21.8%27.1%32.8%3.9%-2.9%1.8M-42.1M-46.2K0.9134.31N/AN/A958613,1526,330
2011-01-13$45.30$45.0033.7%9.7%22.1%42.2%33.7%2.6%-3.4%1.9M-39.7M-45.3K0.1425.92N/AN/A701013,1486,369
2011-01-14$46.05$45.0033.6%9.6%22.6%42.0%32.9%2.2%-4.9%2.1M-43.7M-41.9K0.0031.31N/AN/A1,446113,1856,379
2011-01-18$46.04$45.0034.9%10.0%22.2%45.8%34.6%2.4%-3.6%1.6M-41.9M-38.0K0.3031.06N/AN/A2096312,5436,380
2011-01-19$46.01$45.0034.8%10.0%21.8%45.5%34.8%2.8%-4.3%1.8M-42.4M-38.7K5.7132.06N/AN/A6336012,6456,431
2011-01-20$45.43$45.0034.6%9.9%22.5%44.9%34.6%2.8%-4.6%2.7M-39.2M-41.5K0.0531.42N/AN/A1,1596212,6596,790
2011-01-21$44.91$45.0037.3%10.7%21.1%52.6%37.7%3.0%-6.2%9.5M-34.4M-41.1K0.4133.80N/AN/A1335512,8936,813
2011-01-24$45.80$45.0035.2%10.1%21.7%46.7%35.9%1.0%-7.0%311.6K-11.6M-36.2K0.9226.20N/AN/A1391284,7682,465
2011-01-25$43.62$45.0037.6%10.8%28.7%53.6%40.7%2.9%-7.7%273.6K-8.5M-39.6K1.7723.21N/AN/A5981,0594,8522,573
2011-01-26$44.33$45.0038.0%10.9%29.0%54.7%38.4%2.0%-6.2%251.5K-9.5M-44.4K5.2516.78N/AN/A593105,2533,315
2011-01-27$43.89$45.0035.8%10.3%29.4%48.5%38.4%1.9%-5.6%233.0K-9.0M-43.4K0.0422.28N/AN/A5625,2723,617
2011-01-28$42.88$45.0040.6%11.7%30.8%62.6%40.4%-0.4%-9.5%198.5K-7.1M-44.0K9.6320.65N/AN/A525015,3153,619
2011-01-31$42.99$45.0040.2%11.5%30.4%61.4%37.8%7.9%-7.9%138.2K-6.1M-45.0K0.2011.80N/AN/A11,6602,3785,3454,071