TDC Options History — July 2011

In July 2011, TDC traded between $54.83 and $62.33. ATM implied volatility averaged 31.2%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 5.7% (HV 20d: 25.6%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2011-07-05: Highest Volume — 24,247 contracts
  • 2011-07-14: Largest IV spike — 45.4% change
  • 2011-07-29: Highest IV Rank — 76.5%
  • 2011-07-29: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.28$54.83$62.33$60.91$54.96
Max Pain$57.75$55.00$60.00$55.00$55.00
ATM IV31.2%18.9%46.9%23.4%46.9%
Expected Move9.7%6.7%13.4%6.7%13.4%
HV 20d25.6%19.3%30.1%22.3%28.5%
HV 60d25.0%23.3%26.8%23.3%26.4%
IV Rank32.4%0.0%76.5%3.5%76.5%
IV Percentile41.1%0.0%98.8%1.2%98.8%
Term Structure-2.1%-6.8%5.9%5.9%-6.8%
VWIV33.8%22.8%46.7%22.8%46.7%
Skew 25d1.6%-2.4%3.1%-2.4%2.9%
Skew 10d2.7%-6.2%7.7%-6.2%6.0%
Call IV 25d33.2%22.6%44.6%22.6%44.6%
Put IV 25d34.8%20.1%47.5%20.1%47.5%
Bid-Ask Spread %19.1911.4533.8316.8022.43
Gamma HHI0.420.300.750.680.30
Net GEX3.1M-86.0K7.6M4.3M198.0K
Net DEX-38.8M-115.5M14.0M-76.3M10.8M
Net VEX-254.8K-297.9K-193.3K-207.7K-263.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.042.360.130.13
Total Volume3,672.0542124,2471,0124,069
Total OI43,781.931,41352,70638,29942,055

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$60.91$55.0023.4%6.7%22.3%3.5%22.8%-2.4%5.9%4.3M-76.3M-207.7K0.1316.80N/AN/A89811421,10717,192
2011-07-05$61.58$55.0023.2%8.8%21.9%2.9%30.4%2.6%-1.0%4.7M-87.9M-193.3K0.0533.83N/AN/A23,1071,14021,42617,301
2011-07-06$61.63$60.0024.9%9.0%20.9%8.1%30.8%2.3%-1.8%7.1M-112.4M-297.9K0.2527.10N/AN/A43711034,38918,317
2011-07-07$62.33$60.0018.9%8.9%19.3%0.0%30.4%2.5%-1.9%6.1M-115.5M-274.3K0.1422.06N/AN/A4195731,88418,380
2011-07-08$61.17$60.0022.6%8.8%20.7%10.2%30.4%2.6%-1.9%7.6M-98.2M-276.2K0.2316.10N/AN/A62914231,71118,376
2011-07-11$59.26$60.0028.1%9.3%24.3%25.3%32.3%0.8%-2.3%6.5M-65.7M-257.2K0.1418.32N/AN/A1,05115031,99918,424
2011-07-12$58.43$60.0029.0%9.5%24.6%27.7%33.4%1.4%-3.4%5.2M-52.6M-252.1K0.2613.86N/AN/A94524632,27418,501
2011-07-13$58.49$60.0023.1%9.1%23.0%11.4%33.5%1.1%-2.3%7.0M-54.7M-240.7K1.5719.31N/AN/A58091232,92418,529
2011-07-14$58.16$60.0033.5%9.6%23.1%40.0%34.6%0.9%-3.1%3.7M-46.8M-238.2K0.2419.48N/AN/A80319332,92319,188
2011-07-15$57.77$60.0034.3%9.8%23.2%42.1%34.8%0.5%-2.2%2.3M-43.7M-238.8K2.3615.93N/AN/A6391,50733,42119,234
2011-07-18$56.70$60.0032.9%9.4%23.4%38.2%33.3%0.3%-1.0%1.6M-11.4M-227.5K0.5421.98N/AN/A12,4156,67022,7938,620
2011-07-19$59.31$60.0030.9%8.9%27.8%33.0%30.9%3.0%1.0%1.6M-21.2M-274.7K0.0722.63N/AN/A3,72925222,31814,239
2011-07-20$57.41$60.0034.6%9.9%29.9%42.9%34.0%2.1%-4.3%784.5K-8.2M-266.7K0.7415.43N/AN/A1,18287723,02914,520
2011-07-21$56.83$55.0033.0%9.5%30.0%38.7%32.6%1.7%-0.9%526.4K-3.0M-263.1K0.2815.68N/AN/A1,62446223,42214,500
2011-07-22$57.27$55.0033.6%9.6%30.1%40.3%33.4%2.1%-2.7%862.8K-8.9M-266.7K2.1514.75N/AN/A6931,48824,09214,542
2011-07-25$56.95$55.0035.7%10.2%29.9%46.1%35.8%0.9%-1.9%702.3K-6.6M-270.7K0.7911.45N/AN/A1,4221,12424,55615,286
2011-07-26$56.62$55.0036.6%10.5%29.8%48.5%36.3%3.1%-2.3%444.2K-774.5K-272.4K0.0414.24N/AN/A1,1174724,96916,031
2011-07-27$55.01$55.0039.3%11.3%29.2%55.9%39.4%2.5%-4.5%-26.6K12.5M-255.8K0.6515.78N/AN/A1,07569525,09016,054
2011-07-28$54.83$55.0040.0%11.5%29.2%57.6%39.9%1.5%-5.2%-86.0K14.0M-258.3K0.3026.72N/AN/A3259625,45516,567
2011-07-29$54.96$55.0046.9%13.4%28.5%76.5%46.7%2.9%-6.8%198.0K10.8M-263.8K0.1322.43N/AN/A3,60646325,50016,555