TDC Options History — December 2011

In December 2011, TDC traded between $47.70 and $53.99. ATM implied volatility averaged 34.1%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 4.2% (HV 20d: 38.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2011-12-21: Highest Volume — 7,395 contracts
  • 2011-12-12: Largest IV spike — 30.4% change
  • 2011-12-30: Highest IV Rank — 42.5%
  • 2011-12-30: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.47$47.70$53.99$53.99$48.51
Max Pain$54.52$50.00$55.00$50.00$55.00
ATM IV34.1%28.0%37.7%30.4%37.7%
Expected Move10.0%8.7%10.8%8.7%10.8%
HV 20d38.4%31.0%41.7%41.2%31.6%
HV 60d44.2%42.2%45.7%45.7%42.4%
IV Rank34.5%20.7%42.5%26.1%42.5%
IV Percentile44.2%16.7%60.7%30.2%60.7%
Term Structure4.9%1.9%7.0%3.3%3.2%
VWIV34.7%25.9%38.9%25.9%38.0%
Skew 25d6.2%2.5%9.3%8.7%2.5%
Skew 10d12.9%6.5%19.9%19.9%6.5%
Call IV 25d32.8%25.4%37.7%25.4%37.7%
Put IV 25d38.9%34.1%41.6%34.1%40.2%
Bid-Ask Spread %22.0614.3449.7314.8916.42
Gamma HHI0.320.220.440.390.29
Net GEX822.5K-281.9K1.9M1.9M-281.9K
Net DEX853.6K-29.0M20.6M-29.0M20.6M
Net VEX-139.5K-183.9K-99.7K-183.9K-121.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.018.300.040.04
Total Volume1,908.7623907,3957522,889
Total OI29,722.90526,88033,52927,57531,736

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$53.99$50.0030.4%8.7%41.2%26.1%25.9%8.7%3.3%1.9M-29.0M-183.9K0.0414.89N/AN/A7203220,4167,159
2011-12-02$53.74$50.0030.6%8.8%40.9%26.6%31.0%9.3%1.9%1.8M-27.1M-181.1K0.1516.87N/AN/A4086020,3277,171
2011-12-05$53.40$55.0031.9%9.5%40.4%29.4%34.0%7.0%6.4%1.8M-24.0M-168.0K0.2024.54N/AN/A60011920,3727,163
2011-12-06$52.61$55.0029.7%9.2%40.6%24.4%32.4%6.8%7.0%1.7M-18.2M-163.8K0.0840.53N/AN/A7136020,5167,235
2011-12-07$52.28$55.0036.9%10.5%39.6%40.7%33.9%7.2%4.3%1.6M-15.0M-153.6K0.2518.86N/AN/A1,04926620,4477,239
2011-12-08$51.88$55.0037.0%10.7%36.9%41.0%38.5%7.2%5.1%1.6M-14.1M-156.7K0.7914.67N/AN/A60847821,1337,311
2011-12-09$52.77$55.0028.0%9.0%37.5%20.7%31.5%6.5%6.9%1.9M-18.2M-157.5K1.1331.70N/AN/A28732421,2627,554
2011-12-12$51.24$55.0036.6%10.3%37.8%40.0%34.2%8.2%5.5%1.3M-8.5M-140.0K0.6116.34N/AN/A56634621,3747,600
2011-12-13$49.70$55.0032.3%10.2%38.9%30.4%35.7%7.5%5.5%961.0K1.9M-120.5K5.3625.89N/AN/A3341,78921,2487,772
2011-12-14$48.97$55.0033.5%10.3%38.2%33.0%36.6%7.1%5.1%725.1K9.6M-117.1K8.3017.95N/AN/A1291,07121,5718,911
2011-12-15$48.97$55.0037.1%10.6%38.3%41.2%36.5%6.1%4.8%655.9K11.5M-123.1K1.2824.54N/AN/A70690221,5469,663
2011-12-16$49.28$55.0035.4%10.2%36.8%37.4%38.2%6.1%4.8%574.5K14.0M-127.7K1.9216.11N/AN/A17734021,57510,470
2011-12-19$48.98$55.0035.4%10.2%36.0%37.5%35.1%5.8%4.3%349.7K11.2M-117.8K1.6229.05N/AN/A20433117,9718,909
2011-12-20$50.48$55.0032.7%9.4%36.7%31.3%30.8%6.1%5.1%543.3K6.0M-128.9K0.1220.23N/AN/A4,41951517,9509,034
2011-12-21$47.70$55.0034.4%9.9%41.7%35.1%35.6%4.7%6.5%77.3K18.0M-99.7K2.5549.73N/AN/A2,0815,31417,9719,373
2011-12-22$48.15$55.0035.8%10.3%41.0%38.3%35.9%4.8%4.3%24.8K16.8M-124.8K2.3718.01N/AN/A1,3163,11518,69412,285
2011-12-23$48.97$55.0036.0%10.3%41.4%38.7%38.9%4.3%4.3%-62.2K16.4M-139.9K5.7116.81N/AN/A1771,01019,27814,005
2011-12-27$49.56$55.0034.2%9.8%39.8%34.6%33.6%4.8%5.1%-52.4K15.2M-136.4K0.6717.56N/AN/A1,20480719,35213,727
2011-12-28$49.03$55.0034.3%9.8%39.9%34.9%35.9%4.0%5.1%-50.9K17.4M-129.8K0.6718.30N/AN/A23315719,65513,677
2011-12-29$49.57$55.0036.9%10.6%31.0%40.8%36.4%4.5%4.1%85.0K13.4M-137.5K0.0114.34N/AN/A4,1893919,79113,738
2011-12-30$48.51$55.0037.7%10.8%31.6%42.5%38.0%2.5%3.2%-281.9K20.6M-121.8K0.0416.42N/AN/A2,77311617,97613,760