TDC Options History — June 2011

In June 2011, TDC traded between $52.98 and $60.20. ATM implied volatility averaged 28.0%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.2% (HV 20d: 24.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.91.

Notable Days

  • 2011-06-14: Highest Volume — 7,583 contracts
  • 2011-06-09: Largest IV drop — 9.3% change
  • 2011-06-07: Highest IV Rank — 35.3%
  • 2011-06-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.02$52.98$60.20$54.68$60.20
Max Pain$52.27$50.00$55.00$55.00$55.00
ATM IV28.0%22.6%34.0%31.5%22.6%
Expected Move7.9%6.5%9.2%9.0%6.5%
HV 20d24.8%22.6%26.9%26.4%23.3%
HV 60d22.4%21.6%23.5%22.0%23.5%
IV Rank17.3%1.0%35.3%28.0%1.0%
IV Percentile15.3%0.8%50.0%34.5%0.8%
Term Structure2.8%-2.7%8.4%-2.2%5.9%
VWIV28.0%22.5%32.2%31.6%22.5%
Skew 25d1.2%-2.0%8.2%-0.5%8.2%
Skew 10d2.3%-5.7%13.0%6.4%13.0%
Call IV 25d27.9%17.3%34.0%32.1%17.3%
Put IV 25d29.1%24.9%33.3%31.6%25.4%
Bid-Ask Spread %19.9811.6941.8229.7114.94
Gamma HHI0.620.450.830.630.67
Net GEX2.2M441.1K4.3M2.5M4.3M
Net DEX-34.4M-68.2M-4.9M-29.1M-68.2M
Net VEX-181.8K-229.6K-153.5K-173.0K-218.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.910.0221.371.000.41
Total Volume2,252.0452767,5831,621543
Total OI40,527.09126,46451,62641,89038,204

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$54.68$55.0031.5%9.0%26.4%28.0%31.6%-0.5%-2.2%2.5M-29.1M-173.0K1.0029.71N/AN/A81181034,5427,348
2011-06-02$54.49$55.0032.2%9.2%26.4%30.0%32.2%-0.7%-2.7%2.3M-26.1M-181.1K4.4922.76N/AN/A2801,25634,9708,014
2011-06-03$53.73$50.0030.3%8.5%25.9%24.2%29.8%0.5%2.0%1.4M-15.6M-169.3K0.1741.82N/AN/A3055135,0798,983
2011-06-06$53.43$50.0032.0%8.5%25.4%29.5%30.0%0.7%1.5%1.3M-13.6M-161.0K0.2517.57N/AN/A2205635,2508,998
2011-06-07$54.78$50.0034.0%8.2%26.9%35.3%29.1%0.3%0.7%1.9M-24.6M-171.0K1.6621.99N/AN/A33455635,3979,011
2011-06-08$53.89$50.0030.9%8.4%26.7%25.9%29.2%-0.1%1.9%1.2M-15.4M-162.7K4.1718.63N/AN/A2481,03435,5199,505
2011-06-09$53.45$50.0028.0%8.0%25.3%17.3%30.7%0.3%2.9%884.1K-8.8M-153.5K0.0218.80N/AN/A1,8093135,6899,927
2011-06-10$52.98$50.0028.4%8.1%24.6%18.5%28.4%0.6%0.8%803.8K-4.9M-154.0K0.1015.29N/AN/A98810236,7939,945
2011-06-13$54.07$50.0029.5%8.5%24.8%22.0%29.1%1.8%0.1%909.9K-14.3M-167.4K8.1021.23N/AN/A7863237,6029,981
2011-06-14$55.54$50.0028.5%8.2%26.0%18.9%28.6%1.3%1.2%1.2M-34.0M-177.5K0.0614.17N/AN/A7,15442937,4789,607
2011-06-15$55.24$50.0028.3%8.1%25.5%18.4%28.8%0.7%1.9%2.9M-40.2M-181.1K5.4115.48N/AN/A5502,97341,1019,370
2011-06-16$55.03$50.0027.4%7.9%25.4%15.5%30.7%1.0%4.3%441.1K-28.3M-173.3K14.0828.74N/AN/A1542,16839,78410,800
2011-06-17$56.12$50.0029.4%8.4%26.0%21.7%29.5%2.4%2.3%1.8M-50.8M-177.9K0.4411.69N/AN/A2,3191,02539,61812,008
2011-06-20$56.99$50.0027.2%7.8%26.0%14.8%27.2%2.0%4.7%3.3M-43.2M-173.7K0.6515.13N/AN/A1,50198219,9656,499
2011-06-21$57.91$55.0025.8%7.4%22.6%10.8%27.3%1.6%4.2%3.6M-50.9M-180.2K1.0512.74N/AN/A1,2631,32520,2796,954
2011-06-22$57.66$55.0026.3%7.5%22.7%12.2%25.3%-1.3%2.6%3.3M-47.0M-178.5K3.6426.76N/AN/A6002,18219,9377,833
2011-06-23$58.04$55.0023.9%6.9%22.7%5.0%25.9%1.7%7.6%3.3M-48.4M-184.2K3.7514.01N/AN/A3111,16720,2089,059
2011-06-24$57.43$55.0024.3%7.0%22.8%6.2%24.9%-2.0%8.4%2.7M-42.6M-183.1K21.3715.11N/AN/A2625,59920,3389,837
2011-06-27$57.93$55.0025.7%7.4%22.9%10.5%24.9%-0.2%4.4%2.4M-38.8M-225.9K14.7113.17N/AN/A2243,29520,40614,570
2011-06-28$59.58$55.0025.5%7.3%24.6%9.8%26.0%1.8%4.4%3.1M-57.2M-229.6K0.2624.78N/AN/A1,78546320,43917,020
2011-06-29$59.32$55.0024.0%6.9%23.2%5.4%23.9%5.5%5.5%3.4M-55.8M-223.9K0.1724.98N/AN/A1,42624420,62417,105
2011-06-30$60.20$55.0022.6%6.5%23.3%1.0%22.5%8.2%5.9%4.3M-68.2M-218.7K0.4114.94N/AN/A38615721,00817,196