TDC Options History — November 2011

In November 2011, TDC traded between $49.48 and $58.14. ATM implied volatility averaged 41.1%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 5.3% (HV 20d: 46.5%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2011-11-18: Highest Volume — 6,890 contracts
  • 2011-11-08: Largest IV drop — 18.8% change
  • 2011-11-01: Highest IV Rank — 78.2%
  • 2011-11-01: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.49$49.48$58.14$56.75$54.23
Max Pain$54.52$50.00$60.00$55.00$50.00
ATM IV41.1%31.7%53.5%53.5%31.7%
Expected Move11.9%9.1%15.3%15.3%9.1%
HV 20d46.5%36.2%52.4%52.2%41.7%
HV 60d49.6%43.9%59.0%59.0%45.8%
IV Rank50.2%28.9%78.2%78.2%28.9%
IV Percentile71.5%35.3%96.4%96.4%35.3%
Term Structure0.2%-4.3%3.0%-2.9%3.0%
VWIV41.1%31.8%50.9%50.1%31.8%
Skew 25d8.5%5.0%15.1%9.8%5.0%
Skew 10d18.4%11.7%35.5%18.4%11.7%
Call IV 25d37.6%30.9%47.4%47.3%30.9%
Put IV 25d46.1%36.0%57.8%57.1%36.0%
Bid-Ask Spread %34.8615.5383.1849.3083.18
Gamma HHI0.310.250.420.320.33
Net GEX400.5K-1.1M1.5M-403.0K1.5M
Net DEX-6.8M-27.0M11.7M-4.5M-27.0M
Net VEX-175.8K-233.4K-132.9K-233.4K-175.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.017.890.120.07
Total Volume1,739.9521286,8901,7322,967
Total OI33,957.57121,88840,76438,66425,743

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$56.75$55.0053.5%15.3%52.2%78.2%50.1%9.8%-2.9%-403.0K-4.5M-233.4K0.1249.30N/AN/A1,55218018,02920,635
2011-11-02$57.67$55.0049.2%14.1%52.4%68.5%50.9%10.3%-4.3%-270.4K-9.8M-229.9K0.3560.74N/AN/A1,01535817,86120,680
2011-11-03$58.14$55.0041.1%11.8%49.9%50.2%42.7%15.1%-1.2%-163.9K-14.1M-220.9K0.4071.48N/AN/A1,73370018,42220,871
2011-11-04$56.90$60.0043.3%12.3%49.5%55.2%43.1%9.3%-0.3%-549.3K-4.8M-219.6K7.8935.51N/AN/A1661,31018,63521,048
2011-11-07$56.40$60.0042.8%12.3%47.3%54.1%38.9%9.8%-1.3%-820.0K-396.9K-204.0K0.1339.84N/AN/A7379818,70121,730
2011-11-08$57.60$60.0034.8%10.7%47.5%35.9%39.1%8.3%0.4%-123.7K-14.6M-193.8K4.5023.13N/AN/A5622,53019,08220,255
2011-11-09$55.15$60.0040.8%12.5%49.9%49.5%49.3%8.8%-1.3%-1.1M11.7M-193.8K2.9715.98N/AN/A4881,44918,91321,851
2011-11-10$55.33$60.0041.9%12.0%49.7%51.9%40.3%8.9%0.1%30.6K1.2M-176.4K1.9216.44N/AN/A22142519,16418,690
2011-11-11$56.38$55.0041.7%12.0%49.5%51.6%41.7%8.7%-0.6%559.8K-11.6M-171.3K4.0318.72N/AN/A11044319,23618,102
2011-11-14$56.04$55.0043.2%12.4%48.3%55.0%43.9%8.3%0.2%831.7K-8.6M-160.9K0.3737.33N/AN/A1,34850519,20318,398
2011-11-15$56.84$55.0042.6%12.2%47.2%53.5%43.8%8.6%-0.0%1.0M-19.7M-163.6K1.6222.83N/AN/A36458820,32218,395
2011-11-16$56.15$55.0043.5%12.5%46.2%55.6%42.1%8.0%-0.6%1.3M-18.6M-161.7K2.2219.45N/AN/A21247020,49317,907
2011-11-17$54.11$55.0044.3%12.7%45.7%57.4%43.8%8.6%-0.3%1.5M2.4M-153.5K0.5051.12N/AN/A47123520,65417,711
2011-11-18$52.77$55.0037.7%10.8%46.4%42.5%39.4%6.5%0.9%265.8K9.4M-132.9K0.2315.53N/AN/A5,5991,29120,74617,134
2011-11-21$51.27$50.0040.1%11.5%46.8%47.9%39.2%8.4%1.4%614.8K-5.0M-149.1K0.0922.54N/AN/A4,27738215,1076,781
2011-11-22$51.32$50.0038.6%11.1%46.8%44.7%35.1%7.4%1.6%908.2K-9.2M-162.5K0.1825.18N/AN/A4077217,1396,825
2011-11-23$49.95$50.0038.6%11.1%47.3%44.6%41.8%7.1%2.3%786.5K-3.8M-148.3K2.0323.73N/AN/A15731917,3936,838
2011-11-25$49.48$50.0037.8%10.8%36.8%42.7%37.6%7.4%2.7%675.4K-463.4K-138.3K0.1918.85N/AN/A1082017,3947,100
2011-11-28$51.10$50.0038.1%10.9%38.1%43.5%35.8%7.9%2.3%886.5K-7.3M-149.1K0.0121.74N/AN/A1,9671017,4377,100
2011-11-29$50.70$50.0038.1%10.9%36.2%43.5%33.4%6.6%2.1%961.4K-7.3M-152.8K0.0759.46N/AN/A6454818,2807,104
2011-11-30$54.23$50.0031.7%9.1%41.7%28.9%31.8%5.0%3.0%1.5M-27.0M-175.2K0.0783.18N/AN/A2,78518218,6727,071