TDC Options History — February 2012

In February 2012, TDC traded between $54.27 and $66.55. ATM implied volatility averaged 34.1%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 1.9% (HV 20d: 36.0%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2012-02-08: Highest Volume — 12,041 contracts
  • 2012-02-09: Largest IV drop — 38.2% change
  • 2012-02-06: Highest IV Rank — 69.9%
  • 2012-02-01: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.42$54.27$66.55$54.32$66.55
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV34.1%25.5%49.8%46.7%25.7%
Expected Move9.0%7.3%13.4%13.4%7.4%
HV 20d36.0%22.9%41.9%24.6%41.1%
HV 60d36.2%33.3%39.1%33.6%34.4%
IV Rank34.4%14.9%69.9%62.8%15.5%
IV Percentile37.4%5.2%93.3%88.9%6.3%
Term Structure-0.2%-10.3%2.6%-9.9%2.6%
VWIV31.1%24.6%46.8%46.8%25.1%
Skew 25d4.6%2.1%7.5%7.2%2.5%
Skew 10d11.0%4.6%21.1%19.4%6.8%
Call IV 25d29.7%24.6%45.6%44.3%24.6%
Put IV 25d34.3%27.1%53.0%51.4%27.1%
Bid-Ask Spread %35.0115.4667.3541.6864.65
Gamma HHI0.470.320.640.320.35
Net GEX1.3M-120.2K2.0M90.5K1.8M
Net DEX-52.3M-85.7M-9.3M-13.4M-68.6M
Net VEX-134.1K-151.6K-116.3K-146.2K-121.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.092.762.760.25
Total Volume2,074.723312,0412,1961,009
Total OI29,581.319,14138,55428,20221,566

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$54.32$55.0046.7%13.4%24.6%62.8%46.8%7.2%-9.9%90.5K-13.4M-146.2K2.7641.68N/AN/A5841,61213,32014,882
2012-02-02$54.27$55.0046.6%13.4%24.6%62.7%46.8%7.4%-10.3%-120.2K-9.3M-151.6K0.7615.46N/AN/A97874413,45416,041
2012-02-03$56.84$55.0047.5%10.2%28.1%64.7%32.9%6.3%-2.3%479.1K-28.7M-149.5K0.1836.70N/AN/A2,35542213,94816,147
2012-02-06$56.87$55.0049.8%10.3%23.6%69.9%38.2%6.0%-2.7%572.1K-29.2M-147.7K0.4246.92N/AN/A1646914,68216,376
2012-02-07$57.86$55.0046.9%9.1%23.1%63.4%31.9%7.1%-0.3%775.9K-35.6M-144.5K0.2841.22N/AN/A2,52370314,73616,350
2012-02-08$58.04$55.0045.2%9.0%22.9%59.5%31.8%7.5%0.9%1.1M-42.6M-145.1K1.9728.87N/AN/A4,0607,98116,33016,823
2012-02-09$63.94$55.0028.0%8.0%37.8%20.5%29.0%3.9%0.8%1.4M-85.7M-116.3K0.7516.83N/AN/A4,3163,23717,21919,222
2012-02-10$62.06$55.0032.8%9.4%40.9%31.4%32.1%5.2%0.5%1.3M-66.0M-142.1K1.4716.94N/AN/A63493017,95319,609
2012-02-13$61.62$55.0031.5%9.0%41.5%28.5%31.2%5.0%1.2%1.4M-62.2M-141.5K1.2825.26N/AN/A33242418,00620,037
2012-02-14$62.16$55.0031.1%8.9%41.4%27.6%30.5%5.3%1.3%1.4M-65.4M-137.2K0.2224.17N/AN/A3207117,92220,171
2012-02-15$61.75$55.0031.1%8.9%41.2%27.5%30.6%4.6%1.5%1.5M-63.5M-133.8K0.8343.54N/AN/A20216718,00520,205
2012-02-16$62.49$55.0030.8%8.8%40.7%26.9%27.7%4.8%1.6%1.4M-69.0M-132.3K0.1844.76N/AN/A4027218,06520,284
2012-02-17$62.63$55.0028.0%8.0%40.6%20.6%28.7%3.5%1.8%1.7M-71.1M-131.1K0.3333.77N/AN/A1,63954418,29120,263
2012-02-21$62.19$55.0028.3%8.1%41.0%21.4%28.0%3.2%1.7%2.0M-42.1M-127.0K2.0022.03N/AN/A27354712,8206,321
2012-02-22$64.02$55.0026.6%7.6%41.6%17.5%26.8%2.9%1.4%1.8M-51.9M-124.2K0.1243.71N/AN/A1,05912412,9456,710
2012-02-23$63.64$55.0025.5%7.3%41.9%14.9%26.7%2.9%1.6%2.0M-52.0M-128.8K0.8532.82N/AN/A13111213,4086,780
2012-02-24$65.48$55.0026.4%7.6%41.2%17.1%25.8%2.5%1.4%1.8M-61.1M-117.2K0.3931.74N/AN/A90035313,4156,818
2012-02-27$65.68$55.0026.6%7.6%41.3%17.5%26.5%2.5%1.6%1.8M-63.1M-123.5K0.0967.35N/AN/A8567614,0267,085
2012-02-28$65.92$55.0026.6%7.6%41.1%17.4%24.6%2.1%1.7%1.9M-64.7M-122.3K0.1021.72N/AN/A5175214,2567,135
2012-02-29$66.55$55.0025.7%7.4%41.1%15.5%25.1%2.5%2.6%1.8M-68.6M-121.0K0.2564.65N/AN/A80520414,4147,152