TDC Options History — February 2011

In February 2011, TDC traded between $43.83 and $49.45. ATM implied volatility averaged 39.2%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.6% (HV 20d: 32.5%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.86.

Notable Days

  • 2011-02-10: Highest Volume — 11,896 contracts
  • 2011-02-10: Largest IV drop — 38.5% change
  • 2011-02-09: Highest IV Rank — 100.0%
  • 2011-02-03: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.79$43.83$49.45$43.83$47.82
Max Pain$45.79$40.00$50.00$45.00$50.00
ATM IV39.2%33.7%55.5%38.1%35.0%
Expected Move10.4%9.7%12.2%10.9%10.0%
HV 20d32.5%27.8%37.5%28.8%31.8%
HV 60d25.7%23.9%27.2%24.0%27.1%
IV Rank56.3%39.8%100.0%55.0%43.4%
IV Percentile71.6%49.6%100.0%79.8%57.9%
Term Structure-2.7%-7.9%0.3%-6.8%-1.6%
VWIV36.6%33.4%45.3%38.1%35.3%
Skew 25d1.9%-0.1%4.8%3.6%4.8%
Skew 10d1.5%-7.1%6.2%0.9%6.2%
Call IV 25d36.1%32.2%44.2%38.3%32.2%
Put IV 25d38.0%35.4%44.0%41.9%37.0%
Bid-Ask Spread %21.499.4230.5027.499.58
Gamma HHI0.690.560.840.640.60
Net GEX2.0M1.1M4.1M1.1M1.7M
Net DEX-34.8M-56.8M-15.7M-15.7M-32.9M
Net VEX-169.2K-196.1K-131.8K-132.8K-178.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.0012.020.440.19
Total Volume1,670.1051911,896193163
Total OI28,845.36822,85532,75322,85530,623

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$43.83$45.0038.1%10.9%28.8%55.0%38.1%3.6%-6.8%1.1M-15.7M-132.8K0.4427.49N/AN/A1345916,7856,070
2011-02-02$44.34$45.0038.4%11.0%28.4%56.1%38.5%2.4%-7.3%1.2M-18.4M-136.9K0.1122.93N/AN/A1071216,8656,049
2011-02-03$44.00$45.0042.5%12.2%28.1%68.1%45.3%-0.1%-7.9%1.2M-17.0M-131.8K0.0017.13N/AN/A1,990616,9256,039
2011-02-04$45.01$40.0044.6%10.4%28.6%74.2%36.4%1.6%-3.5%1.5M-23.8M-146.6K0.2026.20N/AN/A1,41628518,6036,045
2011-02-07$45.70$40.0050.6%10.7%28.5%91.8%37.5%0.2%-3.5%1.8M-29.1M-152.9K0.3116.46N/AN/A1,47845119,4736,241
2011-02-08$45.50$45.0052.8%10.8%28.6%98.2%37.9%0.0%-4.1%1.8M-28.5M-156.2K0.4023.53N/AN/A60824620,4346,605
2011-02-09$44.90$45.0055.5%11.1%27.8%100.0%38.8%0.3%-4.1%1.6M-25.1M-150.9K0.1525.02N/AN/A2,14331520,6506,818
2011-02-10$47.50$45.0034.1%9.8%34.4%41.0%33.4%2.2%0.2%2.5M-42.6M-164.3K0.2226.71N/AN/A9,7402,15621,2117,014
2011-02-11$48.97$45.0033.7%9.7%35.6%39.8%33.9%1.9%0.1%3.0M-56.8M-196.1K0.2116.88N/AN/A64213524,3977,081
2011-02-14$48.29$45.0034.8%10.0%35.8%42.8%36.2%2.2%-1.7%2.9M-52.7M-187.7K12.0220.19N/AN/A1281,53924,2967,061
2011-02-15$47.80$45.0034.1%9.8%36.1%41.0%34.3%1.9%-0.9%2.6M-44.8M-186.3K0.5520.59N/AN/A58732124,3348,240
2011-02-16$48.21$45.0034.4%9.9%36.1%41.7%34.4%1.9%-0.9%2.7M-47.8M-184.6K2.6424.61N/AN/A7820624,2858,318
2011-02-17$48.82$45.0034.1%9.8%35.8%41.1%34.4%1.8%-0.7%3.0M-52.1M-184.6K1.9925.12N/AN/A17234224,0988,366
2011-02-18$49.45$45.0035.0%10.0%35.5%43.6%36.0%1.8%0.3%4.1M-55.3M-184.0K7.6212.62N/AN/A5274,01524,1108,643
2011-02-22$47.83$50.0036.0%10.3%37.5%46.4%36.5%2.0%-2.4%1.6M-35.8M-192.4K0.8628.73N/AN/A12210520,8579,529
2011-02-23$46.69$50.0037.4%10.7%33.9%50.2%37.3%2.3%-3.4%1.5M-25.4M-184.6K6.8130.50N/AN/A1771,20620,9029,552
2011-02-24$46.87$50.0036.4%10.4%33.6%47.3%36.4%2.2%-1.5%1.4M-26.1M-180.8K0.5524.66N/AN/A663620,91510,019
2011-02-25$47.48$50.0036.7%10.5%33.4%48.1%34.1%3.4%-1.8%1.6M-30.5M-181.8K0.009.42N/AN/A19020,9129,697
2011-02-28$47.82$50.0035.0%10.0%31.8%43.4%35.3%4.8%-1.6%1.7M-32.9M-178.7K0.199.58N/AN/A1372620,9269,697