TDC Options History — January 2012

In January 2012, TDC traded between $47.37 and $54.01. ATM implied volatility averaged 41.0%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 9.7% (HV 20d: 31.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.29.

Notable Days

  • 2012-01-10: Highest Volume — 6,293 contracts
  • 2012-01-12: Largest IV spike — 11.6% change
  • 2012-01-20: Highest IV Rank — 57.3%
  • 2012-01-10: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.85$47.37$54.01$49.53$53.56
Max Pain$51.50$50.00$55.00$55.00$55.00
ATM IV41.0%35.8%44.2%38.6%43.0%
Expected Move12.0%10.3%13.0%11.1%12.3%
HV 20d31.3%25.1%36.1%32.9%25.1%
HV 60d38.7%33.5%41.4%41.4%33.5%
IV Rank50.1%38.2%57.3%44.6%54.6%
IV Percentile69.8%47.6%79.4%65.9%74.6%
Term Structure-4.2%-7.4%3.8%2.3%-7.4%
VWIV42.8%36.9%46.6%38.8%44.7%
Skew 25d5.2%1.9%7.1%2.2%6.9%
Skew 10d9.9%-2.2%17.0%5.5%16.5%
Call IV 25d41.0%36.5%43.7%38.8%42.3%
Put IV 25d46.2%38.3%50.2%41.1%49.2%
Bid-Ask Spread %31.6212.5358.1012.5356.76
Gamma HHI0.410.290.640.300.32
Net GEX-676.0K-2.0M277.0K-181.7K-57.6K
Net DEX15.0M-13.4M51.1M15.5M-6.9M
Net VEX-137.7K-153.4K-101.7K-124.2K-149.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.084.581.280.36
Total Volume1,795.251706,2931,820202
Total OI34,638.8523,55244,29032,04328,120

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$49.53$55.0038.6%11.1%32.9%44.6%38.8%2.2%2.3%-181.7K15.5M-124.2K1.2812.53N/AN/A7981,02218,27113,772
2012-01-04$49.45$55.0036.6%10.5%32.9%40.2%37.0%2.0%3.3%-447.5K19.3M-117.7K1.3428.18N/AN/A47563818,60714,340
2012-01-05$49.03$55.0035.8%10.3%32.7%38.2%36.9%1.9%3.8%-613.1K23.5M-118.0K0.4856.96N/AN/A1155518,74214,816
2012-01-06$47.37$50.0039.2%12.5%34.5%45.9%42.2%5.7%-3.3%-601.7K31.0M-101.7K3.6017.18N/AN/A5151,85618,78114,788
2012-01-09$48.55$50.0042.8%12.9%36.1%54.0%45.0%5.7%-5.9%-767.5K29.4M-119.4K3.1718.55N/AN/A1,2353,92018,97116,386
2012-01-10$48.49$50.0039.2%13.0%35.3%46.0%45.5%5.8%-6.2%-1.2M38.2M-140.1K4.5814.43N/AN/A1,1285,16519,96319,836
2012-01-11$48.04$50.0039.1%12.6%34.1%45.6%45.0%4.7%-4.9%-1.7M51.1M-149.6K1.0422.86N/AN/A27528520,40323,128
2012-01-12$48.42$50.0043.6%12.5%32.7%55.8%43.8%5.3%-5.0%-1.6M46.1M-146.3K0.2823.35N/AN/A79322420,24622,191
2012-01-13$48.80$50.0042.5%12.2%32.4%53.5%42.1%4.9%-5.2%-1.7M44.2M-146.2K0.4724.37N/AN/A23010720,26022,301
2012-01-17$49.68$50.0042.1%12.1%33.1%52.6%42.4%4.6%-4.2%-2.0M36.7M-139.2K1.0422.48N/AN/A56358620,36922,303
2012-01-18$51.22$50.0044.0%12.6%34.7%56.9%43.2%4.8%-6.5%-1.5M18.1M-142.4K0.0847.00N/AN/A2,71620920,55721,833
2012-01-19$52.61$50.0040.4%11.6%35.6%48.6%40.8%5.4%-4.9%-470.9K-1.9M-137.9K0.2422.79N/AN/A68816422,20621,792
2012-01-20$52.53$50.0044.2%12.7%34.2%57.3%45.6%5.2%-6.6%-426.3K-2.6M-139.3K0.3328.31N/AN/A2,36078022,42421,866
2012-01-23$52.88$50.0042.9%12.3%26.3%54.3%44.2%6.0%-4.3%-216.3K-3.0M-139.6K0.4826.06N/AN/A1,10452710,60012,952
2012-01-24$53.23$50.0039.3%11.3%26.3%46.2%40.0%5.2%-4.3%-164.8K-5.9M-139.1K0.1938.98N/AN/A2,34544811,08413,115
2012-01-25$54.01$50.0039.5%11.3%26.1%46.6%42.6%6.3%-4.7%277.0K-13.4M-150.6K0.7841.24N/AN/A73557012,81213,249
2012-01-26$52.98$50.0042.2%12.1%27.3%52.7%42.7%6.1%-6.0%37.3K-7.4M-149.7K3.7143.50N/AN/A4051,50212,84713,399
2012-01-27$53.37$55.0042.1%12.1%26.8%52.4%46.1%7.0%-6.7%-81.7K-6.2M-153.4K1.9428.71N/AN/A30859712,95714,475
2012-01-30$53.30$55.0043.5%12.5%26.8%55.6%46.6%7.1%-7.3%-122.0K-5.3M-150.4K0.5058.10N/AN/A1738713,16414,851
2012-01-31$53.56$55.0043.0%12.3%25.1%54.6%44.7%6.9%-7.4%-57.6K-6.9M-149.0K0.3656.76N/AN/A1485413,25514,865