TDC Options History — April 2011

In April 2011, TDC traded between $49.49 and $55.92. ATM implied volatility averaged 32.0%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 15.0% (HV 20d: 17.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2011-04-29: Highest Volume — 29,230 contracts
  • 2011-04-14: Largest IV spike — 61.2% change
  • 2011-04-28: Highest IV Rank — 46.5%
  • 2011-04-28: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.72$49.49$55.92$50.59$55.92
Max Pain$49.75$45.00$50.00$45.00$50.00
ATM IV32.0%22.4%37.7%26.2%36.6%
Expected Move10.3%7.5%10.8%7.5%10.5%
HV 20d17.0%14.2%19.0%18.7%18.3%
HV 60d29.2%27.5%30.1%30.1%27.7%
IV Rank31.7%0.5%46.5%19.3%43.3%
IV Percentile40.3%0.4%77.0%5.2%67.9%
Term Structure-2.4%-5.2%9.4%9.4%-3.9%
VWIV36.9%29.8%39.8%29.8%37.3%
Skew 25d2.0%-0.3%4.4%0.6%2.7%
Skew 10d3.5%-2.0%9.3%3.1%9.3%
Call IV 25d36.3%29.3%39.1%29.3%37.2%
Put IV 25d38.3%29.9%40.7%29.9%40.0%
Bid-Ask Spread %25.9715.8859.2118.8624.35
Gamma HHI0.520.330.730.440.60
Net GEX5.3M1.6M13.6M5.6M4.2M
Net DEX-51.5M-73.8M-16.7M-73.8M-58.2M
Net VEX-212.4K-239.5K-172.6K-239.5K-230.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.015.240.440.04
Total Volume2,110.8510229,2301,33129,230
Total OI44,598.1534,25454,21250,06736,627

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$50.59$45.0026.2%7.5%18.7%19.3%29.8%0.6%9.4%5.6M-73.8M-239.5K0.4418.86N/AN/A92540640,6439,424
2011-04-04$50.50$50.0028.0%10.3%18.7%24.2%36.1%0.8%-1.5%5.8M-70.1M-230.9K2.1218.84N/AN/A18639441,2909,750
2011-04-05$50.42$50.0027.2%10.2%18.4%22.0%37.8%1.2%-1.7%6.0M-67.3M-223.9K1.9218.63N/AN/A6001,14941,16510,113
2011-04-06$49.73$50.0028.1%10.2%18.9%24.6%36.6%-0.3%-2.0%5.8M-56.3M-227.2K0.5819.52N/AN/A53131041,59611,000
2011-04-07$50.28$50.0026.4%10.0%17.3%19.8%35.8%1.8%-1.4%6.6M-64.0M-225.8K0.7421.06N/AN/A19814742,08811,203
2011-04-08$50.31$50.0024.6%10.4%16.4%12.9%38.4%2.5%-3.0%7.3M-65.2M-227.1K5.2430.08N/AN/A13269242,17211,266
2011-04-11$50.19$50.0027.6%10.6%14.8%20.1%37.9%1.7%-3.1%7.9M-61.9M-215.8K2.1519.54N/AN/A7315742,25711,897
2011-04-12$49.49$50.0025.3%10.5%15.0%9.2%36.7%-0.1%-3.0%8.4M-48.2M-203.1K0.0123.02N/AN/A138242,24411,968
2011-04-13$50.39$50.0022.4%10.4%16.1%0.5%37.1%2.1%-2.3%10.6M-70.8M-204.4K0.2322.94N/AN/A1042442,20311,784
2011-04-14$50.21$50.0036.1%10.3%15.7%41.7%37.5%2.6%-2.5%13.6M-63.5M-194.7K1.0017.85N/AN/A515142,20711,799
2011-04-15$50.74$50.0037.5%10.7%15.6%45.9%39.1%4.4%-3.9%2.4M-42.2M-185.3K1.0215.95N/AN/A1,1321,15232,43811,800
2011-04-18$50.57$50.0036.3%10.4%14.2%42.3%36.2%3.7%-2.3%1.6M-16.7M-172.6K1.5921.47N/AN/A21233827,2786,976
2011-04-19$50.96$50.0036.6%10.5%14.4%43.1%36.5%3.2%-2.8%1.8M-19.0M-180.7K0.1057.83N/AN/A1351327,3927,194
2011-04-20$52.52$50.0036.4%10.5%17.8%42.8%35.2%2.6%-2.9%2.4M-29.7M-199.0K0.1620.15N/AN/A4647527,4627,201
2011-04-21$53.64$50.0036.1%10.4%19.0%41.8%36.8%1.2%-2.8%3.0M-39.2M-217.1K0.1615.88N/AN/A1,08717127,6547,257
2011-04-25$53.74$50.0037.1%10.6%18.5%44.7%39.8%0.6%-3.7%3.1M-40.9M-212.1K0.7451.54N/AN/A37827828,4187,261
2011-04-26$54.43$50.0036.9%10.6%17.7%44.2%37.0%1.9%-3.9%3.4M-45.4M-218.3K1.4659.21N/AN/A15021928,4997,487
2011-04-27$54.87$50.0037.3%10.7%17.8%45.4%38.0%3.3%-5.2%3.7M-49.3M-219.7K0.4921.79N/AN/A39519528,6107,706
2011-04-28$54.84$50.0037.7%10.8%17.5%46.5%37.8%2.8%-4.5%3.7M-48.5M-219.8K4.3020.91N/AN/A6126228,7697,865
2011-04-29$55.92$50.0036.6%10.5%18.3%43.3%37.3%2.7%-3.9%4.2M-58.2M-230.3K0.0424.35N/AN/A28,23299828,7517,876