TDC Options History — March 2012

In March 2012, TDC traded between $63.62 and $69.38. ATM implied volatility averaged 23.2%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 4.8% (HV 20d: 28.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2012-03-05: Highest Volume — 1,328 contracts
  • 2012-03-15: Largest IV spike — 56.7% change
  • 2012-03-20: Highest IV Rank — 20.3%
  • 2012-03-07: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.28$63.62$69.38$67.02$68.15
Max Pain$57.95$55.00$60.00$55.00$60.00
ATM IV23.2%15.3%27.0%25.8%20.5%
Expected Move7.0%5.9%8.2%7.4%5.9%
HV 20d28.0%21.2%42.6%41.1%22.0%
HV 60d32.8%30.6%35.3%34.4%30.6%
IV Rank13.9%0.0%20.3%15.5%11.0%
IV Percentile3.9%0.0%11.1%6.7%0.8%
Term Structure5.8%1.5%8.9%1.5%8.9%
VWIV24.7%20.7%29.9%24.3%20.7%
Skew 25d3.1%-1.6%4.5%-0.2%4.5%
Skew 10d6.7%-4.8%14.7%-2.6%12.7%
Call IV 25d23.2%19.1%27.5%24.0%19.1%
Put IV 25d26.3%23.5%31.6%23.8%23.6%
Bid-Ask Spread %21.4313.2751.4713.2714.71
Gamma HHI0.310.240.420.320.33
Net GEX1.4M887.4K2.1M1.7M1.3M
Net DEX-57.9M-75.5M-37.8M-71.4M-47.8M
Net VEX-111.0K-139.5K-91.3K-117.6K-102.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.071.700.280.07
Total Volume525.9092311,328332618
Total OI20,327.81815,72023,10121,95218,568

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$67.02$55.0025.8%7.4%41.1%15.5%24.3%-0.2%1.5%1.7M-71.4M-117.6K0.2813.27N/AN/A2597314,6847,268
2012-03-02$66.59$55.0026.1%7.5%41.3%16.3%24.8%-1.6%1.8%1.8M-68.8M-121.7K1.7027.20N/AN/A40368514,6867,317
2012-03-05$65.12$55.0026.5%8.0%40.6%17.2%28.9%4.4%4.3%1.9M-60.3M-122.7K1.0751.47N/AN/A64168714,6307,464
2012-03-06$63.62$55.0027.0%8.1%41.9%18.5%29.9%4.1%3.9%2.1M-51.7M-139.5K1.1521.55N/AN/A18821715,0077,871
2012-03-07$65.54$60.0026.4%8.2%42.6%17.0%29.6%4.3%4.5%1.7M-62.3M-130.7K0.9317.93N/AN/A30728714,8967,924
2012-03-08$66.16$55.0025.3%8.0%42.6%14.6%28.2%4.0%4.7%1.7M-67.0M-125.8K0.5833.24N/AN/A21512415,0167,998
2012-03-09$66.41$55.0024.3%7.7%26.0%12.3%27.0%3.6%5.6%1.6M-68.1M-122.0K0.9218.21N/AN/A18717214,9188,094
2012-03-12$66.39$60.0025.8%7.7%23.2%15.7%26.2%3.7%5.4%1.6M-69.1M-116.2K0.3218.02N/AN/A1976415,0098,092
2012-03-13$67.32$55.0021.6%7.5%23.1%6.1%25.6%3.6%5.5%1.4M-73.4M-112.7K0.1422.91N/AN/A3114515,0148,041
2012-03-14$67.60$55.0015.3%6.8%23.1%0.0%24.6%3.3%5.9%1.0M-74.2M-105.6K0.1119.06N/AN/A3664114,9268,059
2012-03-15$68.08$55.0023.9%6.9%22.8%18.1%24.6%2.9%5.5%1.0M-75.3M-101.7K0.8815.41N/AN/A15513614,7828,051
2012-03-16$68.24$60.0023.1%6.6%22.6%16.4%24.7%3.0%6.1%984.3K-75.5M-101.2K0.1238.69N/AN/A2983514,8178,124
2012-03-19$68.28$60.0022.4%6.4%22.6%15.0%23.0%2.8%6.5%887.4K-42.5M-91.3K0.4018.79N/AN/A4291729,1936,527
2012-03-20$66.78$60.0025.0%7.2%24.2%20.3%23.0%4.3%6.0%962.6K-37.8M-99.8K0.1215.92N/AN/A9091119,3426,682
2012-03-21$68.22$60.0021.9%6.3%23.3%13.9%24.3%2.5%7.1%1.1M-43.4M-106.8K0.8915.32N/AN/A22820410,0926,742
2012-03-22$68.10$60.0022.1%6.3%23.1%14.3%24.4%2.5%6.8%1.1M-43.5M-103.6K0.1219.49N/AN/A92810910,1206,881
2012-03-23$68.62$60.0021.3%6.1%21.2%12.6%22.3%2.5%6.9%1.2M-48.0M-108.4K0.1715.21N/AN/A1973410,7786,972
2012-03-26$69.38$60.0021.3%6.1%21.5%12.5%21.5%2.6%7.4%1.2M-52.1M-97.3K0.8619.90N/AN/A24220810,8406,979
2012-03-27$68.46$60.0021.1%6.1%22.2%12.2%22.4%2.3%7.2%1.2M-47.6M-104.7K0.1522.23N/AN/A3715610,8547,159
2012-03-28$67.94$60.0021.9%6.3%22.2%13.9%21.7%4.5%7.0%1.3M-46.3M-105.7K1.1114.06N/AN/A20122411,0227,196
2012-03-29$68.11$60.0021.1%6.0%22.1%12.2%21.2%4.5%8.5%1.3M-47.3M-105.4K0.6218.94N/AN/A1469011,1737,404
2012-03-30$68.15$60.0020.5%5.9%22.0%11.0%20.7%4.5%8.9%1.3M-47.8M-102.1K0.0714.71N/AN/A5764211,1737,395