TDC Options History — May 2011

In May 2011, TDC traded between $52.73 and $55.79. ATM implied volatility averaged 30.7%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.4% (HV 20d: 24.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2011-05-20: Highest Volume — 5,823 contracts
  • 2011-05-05: Largest IV drop — 24.0% change
  • 2011-05-04: Highest IV Rank — 50.0%
  • 2011-05-04: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.27$52.73$55.79$55.48$55.79
Max Pain$54.29$50.00$55.00$50.00$55.00
ATM IV30.7%27.3%38.9%38.1%28.9%
Expected Move8.8%7.8%11.1%10.9%8.3%
HV 20d24.3%18.7%27.5%18.7%26.6%
HV 60d25.8%21.5%28.2%27.7%21.5%
IV Rank25.4%15.3%50.0%47.7%19.9%
IV Percentile26.6%7.5%83.7%81.3%14.7%
Term Structure-0.1%-5.6%3.3%-3.4%1.3%
VWIV31.6%28.0%40.0%38.4%29.0%
Skew 25d2.1%0.4%4.5%1.3%2.9%
Skew 10d4.7%-7.4%17.3%5.2%3.3%
Call IV 25d31.0%27.4%40.6%39.2%28.5%
Put IV 25d33.1%29.6%42.7%40.4%31.5%
Bid-Ask Spread %22.979.8361.8226.2823.07
Gamma HHI0.490.380.670.520.66
Net GEX3.6M2.1M5.7M5.2M3.1M
Net DEX-35.1M-63.7M-19.4M-63.7M-37.2M
Net VEX-187.9K-267.5K-142.6K-267.5K-187.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.022.150.610.35
Total Volume988.857425,8231,567358
Total OI50,093.09538,48155,78047,07841,785

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$55.48$50.0038.1%10.9%18.7%47.7%38.4%1.3%-3.4%5.2M-63.7M-267.5K0.6126.28N/AN/A97659138,7858,293
2011-05-03$54.28$50.0038.3%11.0%20.9%48.4%38.3%1.6%-5.6%4.5M-48.7M-252.5K0.1818.55N/AN/A4297644,0968,700
2011-05-04$53.99$50.0038.9%11.1%21.0%50.0%40.0%2.1%-5.4%4.3M-45.3M-247.4K1.6917.60N/AN/A6891,16444,3778,720
2011-05-05$52.95$55.0029.5%8.5%21.7%22.0%32.1%4.5%-0.1%3.1M-27.0M-196.2K0.6520.43N/AN/A84955644,6529,480
2011-05-06$53.80$55.0030.4%9.1%22.0%24.7%31.7%1.4%-0.5%4.0M-37.0M-210.7K0.9418.50N/AN/A27826245,1089,475
2011-05-09$53.72$55.0029.6%8.6%22.1%22.1%30.9%1.1%1.9%3.9M-34.8M-195.9K0.2014.19N/AN/A35745,0269,512
2011-05-10$54.71$55.0028.5%8.4%22.6%19.0%30.1%2.6%1.9%4.4M-41.6M-194.6K1.7417.46N/AN/A7813645,0509,517
2011-05-11$53.35$55.0030.7%8.3%24.1%25.5%29.7%1.2%0.9%3.2M-26.7M-171.9K0.3222.22N/AN/A912945,0559,548
2011-05-12$54.33$55.0027.7%7.9%24.1%16.3%28.3%4.1%3.3%3.9M-35.7M-176.6K2.1521.21N/AN/A5511845,0239,545
2011-05-13$53.31$55.0027.3%7.8%25.3%15.3%28.0%1.2%0.4%3.1M-26.9M-164.4K0.3419.43N/AN/A792745,0409,538
2011-05-16$52.73$55.0028.0%8.0%25.6%17.3%32.3%2.6%0.4%2.5M-19.4M-142.6K1.0317.43N/AN/A586045,0459,557
2011-05-17$53.67$55.0029.9%8.6%26.1%23.2%32.0%2.1%-0.3%3.3M-25.9M-144.1K0.1317.15N/AN/A1,22215845,0339,517
2011-05-18$54.25$55.0029.1%8.3%26.2%20.7%30.7%2.2%1.4%4.5M-33.1M-163.3K1.1117.64N/AN/A25328146,1469,634
2011-05-19$54.86$55.0028.6%8.2%24.4%19.2%29.2%2.5%1.7%5.7M-40.7M-167.6K0.039.83N/AN/A237645,9369,773
2011-05-20$55.68$55.0031.3%9.0%23.9%27.4%31.3%3.4%0.2%5.2M-60.9M-181.0K1.1718.52N/AN/A2,6803,14345,5859,773
2011-05-23$53.75$55.0032.8%9.4%27.3%31.8%33.1%0.4%-1.4%2.1M-22.2M-167.5K1.3915.84N/AN/A1,1501,59632,0616,420
2011-05-24$54.29$55.0031.1%8.9%27.1%26.6%31.9%1.1%-2.0%2.3M-26.2M-180.7K0.2624.05N/AN/A70918432,7227,061
2011-05-25$54.27$55.0029.7%8.5%26.9%22.5%29.9%1.4%0.5%2.2M-23.0M-172.8K0.4024.74N/AN/A43517632,9797,133
2011-05-26$55.09$55.0027.9%8.0%27.5%16.9%28.3%2.7%2.4%2.7M-28.9M-180.7K0.4156.48N/AN/A31212733,2537,237
2011-05-27$55.37$55.0027.8%8.0%26.6%16.9%28.5%2.1%1.3%2.9M-31.5M-179.9K0.0261.82N/AN/A1,0712533,4347,331
2011-05-31$55.79$55.0028.9%8.3%26.6%19.9%29.0%2.9%1.3%3.1M-37.2M-187.0K0.3523.07N/AN/A2669234,4447,341