TDC Options History — September 2011

In September 2011, TDC traded between $48.09 and $57.12. ATM implied volatility averaged 47.3%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 9.8% (HV 20d: 57.0%). 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 8 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2011-09-26: Highest Volume — 8,587 contracts
  • 2011-09-15: Largest IV spike — 34.1% change
  • 2011-09-22: Highest IV Rank — 82.1%
  • 2011-09-12: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.96$48.09$57.12$50.93$53.53
Max Pain$54.52$50.00$55.00$50.00$55.00
ATM IV47.3%35.8%53.9%46.1%51.5%
Expected Move13.7%12.2%15.5%13.2%14.8%
HV 20d57.0%36.4%79.9%79.0%41.5%
HV 60d51.6%49.9%53.6%49.9%53.6%
IV Rank66.6%39.6%82.1%63.7%76.5%
IV Percentile90.4%57.5%97.6%93.7%96.0%
Term Structure-0.8%-6.9%4.0%-0.2%0.8%
VWIV47.6%42.3%59.0%44.8%51.1%
Skew 25d8.3%3.0%10.4%3.0%10.3%
Skew 10d19.2%-1.5%32.6%10.9%32.6%
Call IV 25d44.0%40.3%49.9%43.1%48.0%
Put IV 25d52.3%46.1%59.7%46.1%58.3%
Bid-Ask Spread %34.9017.1462.0535.8319.29
Gamma HHI0.300.180.620.210.59
Net GEX613.1K4522.2M275.5K1.3M
Net DEX190.2K-33.0M16.3M4.1M-6.6M
Net VEX-155.3K-199.1K-133.1K-176.8K-181.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.0711.730.813.01
Total Volume1,465.5241468,5876291,255
Total OI27,964.8121,50131,66630,00231,666

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$50.93$50.0046.1%13.2%79.0%63.7%44.8%3.0%-0.2%275.5K4.1M-176.8K0.8135.83N/AN/A34728215,48514,517
2011-09-02$49.03$50.0045.8%13.1%79.9%63.2%46.3%4.9%0.9%31.2K13.5M-155.8K2.6517.14N/AN/A25467314,98714,605
2011-09-06$49.88$55.0048.3%13.9%77.9%69.0%59.0%9.5%-4.4%82.4K12.1M-148.2K11.7335.15N/AN/A1691,98315,06814,276
2011-09-07$50.81$55.0047.9%13.7%74.9%68.1%46.7%9.5%-2.5%172.2K8.3M-155.1K0.6236.71N/AN/A22013715,11515,055
2011-09-08$49.68$55.0047.9%13.7%73.1%67.9%51.5%8.5%-2.5%175.9K10.7M-147.6K0.3628.14N/AN/A58821415,11314,551
2011-09-09$48.09$55.0053.5%14.6%72.3%81.1%53.2%10.3%-2.6%45216.3M-134.2K4.4747.18N/AN/A2721,21715,55614,599
2011-09-12$49.08$55.0051.4%15.5%71.5%76.2%54.7%9.8%-6.9%143.4K14.2M-133.1K0.3629.02N/AN/A2569215,60714,569
2011-09-13$48.91$55.0050.2%14.3%71.0%73.5%48.2%9.7%-3.7%153.3K13.4M-134.2K0.0745.77N/AN/A3362315,62514,579
2011-09-14$50.99$55.0035.8%13.7%72.7%39.6%47.7%7.8%-1.1%321.7K5.6M-144.8K0.4025.63N/AN/A32312815,62014,580
2011-09-15$51.45$55.0048.0%13.8%71.4%68.3%46.4%8.7%-1.5%346.2K3.2M-144.1K0.2030.28N/AN/A1222415,81714,490
2011-09-16$52.55$55.0042.4%12.2%48.0%55.2%44.3%7.5%1.0%446.3K-686.3K-147.0K0.4430.71N/AN/A72331915,81914,480
2011-09-19$52.46$55.0046.6%13.3%43.8%64.9%42.4%8.4%-0.3%436.9K1.1M-142.8K0.2337.50N/AN/A51412012,1799,322
2011-09-20$52.24$55.0044.6%12.8%42.6%60.2%43.2%5.7%1.6%517.3K-1.2M-142.5K3.4432.49N/AN/A5291,82212,5309,389
2011-09-21$52.86$55.0044.9%12.9%36.4%60.9%44.3%6.8%0.6%459.6K-1.9M-153.3K2.4562.05N/AN/A5081,24312,7139,935
2011-09-22$51.21$55.0053.9%15.5%38.4%82.1%51.2%9.3%-3.4%350.4K3.9M-142.9K1.5847.78N/AN/A6451,02113,0039,918
2011-09-23$53.38$55.0046.1%13.2%39.4%63.8%47.0%7.7%4.0%604.1K-2.6M-147.1K0.5347.63N/AN/A1296813,2899,597
2011-09-26$55.64$55.0046.8%13.4%41.1%65.4%42.3%8.8%0.8%865.4K-11.6M-152.0K0.0839.67N/AN/A7,93165613,2719,586
2011-09-27$57.12$55.0045.3%13.0%40.5%61.9%44.9%8.3%-0.1%2.2M-33.0M-199.1K0.0927.79N/AN/A2,05317719,8539,928
2011-09-28$56.27$55.0048.6%13.9%40.7%69.7%44.2%8.8%-1.3%2.2M-27.7M-197.9K0.5027.32N/AN/A55327520,32210,010
2011-09-29$55.05$55.0047.2%13.5%41.5%66.3%47.0%10.4%3.0%1.8M-17.2M-182.9K1.2329.83N/AN/A1,1571,41820,49710,140
2011-09-30$53.53$55.0051.5%14.8%41.5%76.5%51.1%10.3%0.8%1.3M-6.6M-181.0K3.0119.29N/AN/A31394220,36311,303