TDC Options History — August 2011

In August 2011, TDC traded between $43.35 and $56.00. ATM implied volatility averaged 47.6%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 6.6% (HV 20d: 54.2%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.87.

Notable Days

2011-08-03: Highest Volume — 11,930 contracts
2011-08-18: Largest IV spike — 57.3% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-18: Largest Expected Move — 17.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.33	$43.35	$56.00	$55.44	$52.36
Max Pain	$53.04	$50.00	$55.00	$55.00	$50.00
ATM IV	47.6%	37.0%	61.6%	46.4%	44.9%
Expected Move	13.4%	10.6%	17.6%	13.3%	12.9%
HV 20d	54.2%	28.3%	78.5%	28.3%	78.5%
HV 60d	38.1%	26.1%	49.9%	26.2%	49.7%
IV Rank	71.3%	46.0%	100.0%	75.1%	60.9%
IV Percentile	92.1%	71.0%	100.0%	98.0%	89.7%
Term Structure	-2.1%	-9.3%	5.0%	-9.3%	4.2%
VWIV	46.8%	36.5%	59.9%	45.8%	44.9%
Skew 25d	6.5%	-0.1%	12.3%	4.8%	6.5%
Skew 10d	12.8%	1.7%	22.8%	7.9%	14.3%
Call IV 25d	44.0%	34.0%	58.2%	44.6%	41.3%
Put IV 25d	50.5%	41.6%	65.5%	49.3%	47.8%
Bid-Ask Spread %	30.76	19.29	60.30	22.97	20.32
Gamma HHI	0.31	0.18	0.58	0.29	0.33
Net GEX	-206.7K	-2.0M	626.7K	626.7K	389.9K
Net DEX	17.4M	-3.0M	59.9M	1.5M	3.2M
Net VEX	-184.3K	-276.4K	-104.0K	-276.4K	-156.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.14	2.52	0.88	0.44
Total Volume	2,663.826	324	11,930	3,373	4,563
Total OI	39,714.522	22,719	50,763	44,569	26,786

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$55.44	$55.00	46.4%	13.3%	28.3%	75.1%	45.8%	4.8%	-9.3%	626.7K	1.5M	-276.4K	0.88	22.97	N/A	N/A	1,793	1,580	28,011	16,558
2011-08-02	$53.76	$55.00	44.0%	12.6%	29.1%	68.7%	44.1%	1.9%	-6.7%	51.2K	13.6M	-245.6K	0.14	24.84	N/A	N/A	2,956	427	27,841	16,155
2011-08-03	$54.35	$55.00	45.8%	13.1%	29.6%	73.6%	47.5%	6.2%	-8.5%	70.0K	12.5M	-248.2K	0.59	19.75	N/A	N/A	7,510	4,420	27,101	16,303
2011-08-04	$54.23	$55.00	38.3%	11.0%	29.0%	53.1%	39.3%	4.9%	-1.0%	164.7K	2.1M	-262.1K	0.51	26.66	N/A	N/A	4,161	2,135	32,302	18,461
2011-08-05	$53.76	$55.00	43.3%	11.8%	28.6%	66.8%	41.1%	5.9%	-3.9%	134.9K	8.0M	-248.2K	0.24	36.65	N/A	N/A	1,547	370	31,063	17,668
2011-08-08	$50.81	$55.00	58.2%	14.4%	32.6%	100.0%	49.6%	7.2%	-5.6%	-60.8K	28.8M	-213.5K	0.24	24.82	N/A	N/A	3,478	825	31,165	17,760
2011-08-09	$53.95	$55.00	49.5%	12.5%	40.3%	77.8%	46.2%	6.2%	-3.2%	-437.9K	16.5M	-218.4K	0.61	45.82	N/A	N/A	2,264	1,377	30,137	17,663
2011-08-10	$51.27	$55.00	57.1%	14.8%	43.6%	97.2%	48.8%	12.3%	-3.7%	-388.3K	29.2M	-203.9K	0.36	32.43	N/A	N/A	580	211	29,656	17,940
2011-08-11	$53.31	$55.00	44.1%	12.6%	46.5%	64.1%	45.8%	9.8%	-2.0%	-573.1K	19.1M	-211.1K	0.28	30.27	N/A	N/A	949	269	29,791	17,926
2011-08-12	$55.15	$55.00	42.7%	12.2%	48.4%	60.5%	43.0%	7.2%	-2.9%	-799.4K	4.8M	-212.1K	0.50	23.95	N/A	N/A	1,028	516	29,471	17,993
2011-08-15	$56.00	$55.00	37.7%	10.8%	48.4%	47.9%	39.0%	7.6%	-0.3%	-1.1M	-3.0M	-197.7K	2.02	26.74	N/A	N/A	228	460	28,881	18,049
2011-08-16	$54.58	$55.00	37.0%	10.6%	46.0%	46.0%	36.5%	8.6%	-0.8%	-2.0M	12.5M	-186.8K	1.00	26.25	N/A	N/A	216	217	28,859	18,084
2011-08-17	$52.40	$55.00	39.1%	11.2%	46.8%	51.4%	37.8%	8.9%	3.6%	-938.9K	34.5M	-160.1K	1.53	24.60	N/A	N/A	413	630	28,973	18,109
2011-08-18	$45.42	$55.00	61.6%	17.6%	67.9%	100.0%	57.9%	3.1%	-1.5%	-179.1K	57.7M	-113.2K	0.88	33.23	N/A	N/A	2,036	1,797	28,943	17,962
2011-08-19	$43.35	$50.00	59.9%	17.2%	68.6%	96.2%	59.9%	8.7%	-3.0%	-98.8K	59.9M	-104.0K	0.44	21.15	N/A	N/A	2,370	1,037	29,978	18,642
2011-08-22	$45.09	$50.00	56.6%	16.2%	71.1%	88.3%	59.0%	5.0%	-2.2%	-7.7K	19.8M	-117.7K	1.79	54.62	N/A	N/A	1,153	2,068	12,342	10,377
2011-08-23	$48.22	$50.00	49.8%	14.3%	76.4%	72.3%	53.7%	6.2%	0.2%	-4.9K	16.3M	-137.4K	2.52	60.30	N/A	N/A	735	1,853	12,498	12,063
2011-08-24	$48.88	$50.00	51.3%	14.7%	76.4%	76.0%	49.5%	-0.1%	-4.6%	-26.0K	13.3M	-149.8K	0.28	26.81	N/A	N/A	417	118	12,624	13,536
2011-08-25	$47.69	$50.00	53.7%	15.4%	76.7%	81.5%	55.4%	7.1%	-3.1%	-63.1K	16.3M	-144.2K	1.87	26.99	N/A	N/A	113	211	12,702	13,587
2011-08-26	$48.67	$50.00	44.4%	12.7%	77.2%	59.7%	42.5%	7.3%	5.0%	-17.5K	16.3M	-136.9K	0.94	32.88	N/A	N/A	332	312	12,707	13,567
2011-08-29	$50.33	$50.00	44.5%	12.8%	78.3%	60.1%	44.6%	8.1%	1.2%	186.8K	10.8M	-145.6K	0.37	46.03	N/A	N/A	408	151	12,833	13,771
2011-08-30	$51.48	$50.00	45.7%	13.1%	78.3%	62.9%	45.0%	7.0%	0.3%	280.0K	7.0M	-149.4K	1.46	19.29	N/A	N/A	420	614	12,745	13,851
2011-08-31	$52.36	$50.00	44.9%	12.9%	78.5%	60.9%	44.9%	6.5%	4.2%	389.9K	3.2M	-156.1K	0.44	20.32	N/A	N/A	3,171	1,392	12,808	13,978