TDC Options History — March 2011

In March 2011, TDC traded between $46.40 and $51.14. ATM implied volatility averaged 32.3%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.3% (HV 20d: 34.6%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.68.

Notable Days

  • 2011-03-25: Highest Volume — 34,063 contracts
  • 2011-03-10: Largest IV drop — 11.2% change
  • 2011-03-09: Highest IV Rank — 51.0%
  • 2011-03-03: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.59$46.40$51.14$46.40$50.70
Max Pain$45.65$45.00$50.00$50.00$45.00
ATM IV32.3%27.1%37.7%32.8%27.1%
Expected Move9.2%7.8%10.5%9.4%7.8%
HV 20d34.6%19.5%40.7%34.2%19.5%
HV 60d30.6%27.7%31.3%27.7%30.3%
IV Rank36.0%21.7%51.0%37.3%21.7%
IV Percentile36.2%6.7%76.6%39.7%6.7%
Term Structure3.5%-3.0%9.0%-0.4%8.7%
VWIV32.7%26.9%41.3%34.4%26.9%
Skew 25d1.5%-7.5%4.2%-7.5%-3.0%
Skew 10d5.7%-6.4%13.5%-5.9%-6.4%
Call IV 25d32.3%26.8%38.3%38.3%26.8%
Put IV 25d33.7%23.7%38.5%30.9%23.7%
Bid-Ask Spread %24.1515.6340.9226.9615.63
Gamma HHI0.620.420.760.560.43
Net GEX2.9M1.5M5.4M1.5M5.4M
Net DEX-50.7M-74.6M-24.0M-24.0M-73.8M
Net VEX-174.3K-253.7K-121.8K-169.0K-244.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.0520.850.750.24
Total Volume2,159.6969834,063766427
Total OI34,191.1327,06249,98230,60149,982

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$46.40$50.0032.8%9.4%34.2%37.3%34.4%-7.5%-0.4%1.5M-24.0M-169.0K0.7526.96N/AN/A43732920,8829,719
2011-03-02$47.57$50.0035.4%10.1%34.6%44.6%34.9%-0.1%-2.4%1.7M-30.4M-173.8K0.2818.23N/AN/A2326421,0009,946
2011-03-03$50.55$50.0036.5%10.5%40.0%47.6%34.4%2.7%-3.0%2.2M-56.1M-177.6K2.0231.81N/AN/A7241,46621,1559,990
2011-03-04$49.79$45.0034.0%9.6%40.5%40.6%36.2%3.3%2.5%2.2M-50.0M-181.8K2.4426.11N/AN/A15437621,54210,139
2011-03-07$49.90$45.0033.9%9.9%40.0%40.3%34.6%2.5%2.0%2.3M-51.2M-174.7K0.3328.82N/AN/A2949721,44310,190
2011-03-08$50.35$45.0034.6%9.6%39.9%42.3%33.5%3.0%2.3%2.4M-55.4M-172.2K0.2522.16N/AN/A1674221,57410,221
2011-03-09$49.96$45.0037.7%9.2%40.0%51.0%34.3%2.2%4.6%2.5M-53.5M-171.4K1.3331.39N/AN/A15019921,65910,258
2011-03-10$48.85$45.0033.5%9.6%40.7%39.3%33.5%3.6%2.6%2.2M-42.0M-172.1K0.0720.19N/AN/A1351021,68910,374
2011-03-11$49.68$45.0033.8%9.7%36.1%40.0%34.4%3.2%2.1%2.5M-49.5M-167.0K0.3719.12N/AN/A762821,64210,367
2011-03-14$48.77$45.0034.1%9.8%35.2%40.9%34.1%1.7%3.3%2.3M-41.4M-159.7K1.8023.50N/AN/A356321,64110,369
2011-03-15$48.16$45.0033.2%9.5%35.1%38.6%35.2%2.3%2.9%2.1M-34.1M-152.1K2.2040.92N/AN/A30166321,65010,382
2011-03-16$48.16$45.0036.4%10.4%34.9%47.4%41.3%4.2%1.2%2.1M-35.5M-155.9K0.9928.64N/AN/A23823521,86110,352
2011-03-17$48.80$45.0033.9%9.7%35.1%40.4%36.6%1.5%0.1%2.7M-40.9M-156.9K0.8725.30N/AN/A1028921,82710,478
2011-03-18$49.35$45.0032.8%9.4%35.1%37.3%33.3%0.2%3.4%3.1M-43.6M-147.9K20.8522.48N/AN/A751,56421,81510,510
2011-03-21$50.29$45.0030.0%8.6%35.4%29.7%30.5%1.3%5.8%2.8M-52.6M-140.1K0.4017.15N/AN/A38915419,6438,933
2011-03-22$50.16$45.0030.8%8.8%33.1%31.8%32.0%0.8%3.7%2.8M-51.7M-142.5K0.2919.54N/AN/A38211020,0169,055
2011-03-23$50.15$45.0029.0%8.3%31.6%26.8%29.0%1.6%4.8%3.0M-52.1M-141.3K1.2123.98N/AN/A819820,3669,156
2011-03-24$50.40$45.0028.9%8.3%31.6%26.7%29.0%0.5%4.9%3.1M-53.9M-139.0K1.2122.48N/AN/A10312520,3389,243
2011-03-25$51.14$45.0029.7%8.5%31.7%28.9%29.3%2.4%8.0%3.0M-58.4M-121.8K0.0520.32N/AN/A32,4431,62019,3397,723
2011-03-28$50.42$45.0029.5%8.5%32.3%28.4%29.6%1.6%7.3%4.8M-70.6M-246.7K0.0520.02N/AN/A3,42517039,6349,100
2011-03-29$50.70$45.0028.3%8.1%29.8%25.0%27.9%3.0%7.5%5.0M-74.6M-253.7K0.2623.74N/AN/A92024340,0529,205
2011-03-30$50.40$45.0027.2%7.8%29.0%21.8%27.2%2.5%9.0%5.3M-70.3M-246.5K0.3527.02N/AN/A47416440,6539,283
2011-03-31$50.70$45.0027.1%7.8%19.5%21.7%26.9%-3.0%8.7%5.4M-73.8M-244.8K0.2415.63N/AN/A3458240,6129,370