TDC Options History — October 2011

In October 2011, TDC traded between $50.82 and $62.18. ATM implied volatility averaged 43.8%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 3.4% (HV 20d: 47.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-10-24: Highest Volume — 10,829 contracts
  • 2011-10-04: Largest IV drop — 27.2% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-03: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.62$50.82$62.18$50.82$59.66
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV43.8%36.0%63.1%63.1%44.0%
Expected Move13.0%11.3%18.1%18.1%12.6%
HV 20d47.2%43.6%51.9%43.6%49.1%
HV 60d56.4%54.5%59.3%54.5%59.3%
IV Rank56.3%38.8%100.0%100.0%56.7%
IV Percentile79.1%57.9%100.0%100.0%79.0%
Term Structure-1.1%-8.8%5.9%-8.8%-3.9%
VWIV44.8%37.4%52.8%52.8%43.1%
Skew 25d9.0%7.1%15.5%15.5%7.8%
Skew 10d19.2%14.1%29.5%26.6%23.4%
Call IV 25d41.1%34.5%48.9%48.9%41.8%
Put IV 25d50.1%42.7%64.4%64.4%49.6%
Bid-Ask Spread %36.9721.3067.3834.1859.88
Gamma HHI0.500.240.840.460.27
Net GEX2.1M-52.1K6.6M604.9K260.6K
Net DEX-22.6M-58.8M9.0M9.0M-29.5M
Net VEX-176.6K-220.6K-141.2K-154.6K-220.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.013.861.840.97
Total Volume2,360.57135610,8293,7492,901
Total OI34,586.23819,45039,92632,42836,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$50.82$55.0063.1%18.1%43.6%100.0%52.8%15.5%-8.8%604.9K9.0M-154.6K1.8434.18N/AN/A1,3192,43020,45211,976
2011-10-04$52.55$55.0046.0%13.2%44.7%61.3%49.3%11.6%5.9%785.2K6.7M-169.8K0.4221.30N/AN/A1,19049520,74713,451
2011-10-05$52.58$55.0045.6%13.1%44.3%60.4%46.9%7.8%4.9%1.0M1.1M-158.8K1.1933.70N/AN/A1,1161,32821,49511,903
2011-10-06$55.16$55.0042.0%12.1%46.2%52.4%42.0%7.8%5.9%1.9M-12.8M-181.1K0.3032.99N/AN/A1,40442122,43512,914
2011-10-07$53.72$55.0041.9%13.8%45.6%52.1%50.1%9.8%-2.4%1.4M-6.3M-177.6K0.3223.06N/AN/A2758722,70613,116
2011-10-10$56.09$55.0040.4%13.9%47.3%48.6%48.6%10.1%-3.6%2.5M-21.2M-177.7K0.3522.39N/AN/A48817022,76812,831
2011-10-11$57.12$55.0040.7%13.9%47.3%49.4%45.0%10.2%-3.1%3.2M-30.9M-180.8K0.0527.82N/AN/A1,2986722,78612,825
2011-10-12$57.27$55.0036.0%12.7%45.6%38.8%44.0%8.1%-0.4%3.5M-30.0M-171.2K0.1529.99N/AN/A1,84128122,53512,889
2011-10-13$57.96$55.0043.3%12.4%45.6%55.2%42.6%8.2%-1.6%4.4M-40.2M-179.7K0.8733.44N/AN/A92179923,52912,911
2011-10-14$59.31$55.0040.8%11.7%45.7%49.6%43.0%7.5%-0.9%5.7M-58.8M-186.0K2.3733.92N/AN/A4881,15724,18213,670
2011-10-17$57.47$55.0044.6%12.8%47.6%58.1%41.1%9.5%-2.2%3.7M-29.1M-164.2K0.3242.16N/AN/A2708624,13514,160
2011-10-18$59.25$55.0039.5%11.3%48.3%46.6%41.8%7.8%-1.1%6.6M-56.0M-169.5K0.1647.09N/AN/A1,73428324,08014,198
2011-10-19$57.48$55.0045.6%13.1%49.9%60.3%41.5%8.0%-3.4%4.0M-30.3M-160.8K0.0142.57N/AN/A706524,80314,310
2011-10-20$55.17$55.0046.0%13.2%50.9%61.3%46.2%8.6%-2.9%885.2K-7.2M-146.5K0.2030.33N/AN/A2,61953225,11714,311
2011-10-21$55.50$55.0044.9%12.9%49.0%58.9%44.4%9.9%-2.6%1.8M-16.8M-146.2K0.0741.66N/AN/A1,1728725,67214,254
2011-10-24$56.39$55.0045.9%13.2%47.0%61.1%50.3%8.7%-2.1%456.4K-12.0M-141.2K1.6538.80N/AN/A4,0916,73810,5908,860
2011-10-25$56.05$55.0045.4%13.0%46.1%59.8%45.8%7.1%0.2%27.1K-12.9M-213.5K3.8641.09N/AN/A2871,10713,91915,427
2011-10-26$56.51$55.0044.6%12.8%45.9%58.1%43.8%9.0%-1.5%-52.1K-13.3M-215.2K3.0830.90N/AN/A3791,16614,08716,447
2011-10-27$60.81$55.0039.8%11.4%51.9%47.2%40.5%7.9%-0.5%391.8K-37.3M-205.0K0.0867.38N/AN/A1,1949714,22717,358
2011-10-28$62.18$55.0039.8%11.4%50.7%47.3%37.4%8.3%0.6%749.9K-47.9M-189.2K0.6041.76N/AN/A4,0912,45214,55017,369
2011-10-31$59.66$55.0044.0%12.6%49.1%56.7%43.1%7.8%-3.9%260.6K-29.5M-220.6K0.9759.88N/AN/A1,4711,43016,92819,388