TDC Options History — April 2012

In April 2012, TDC traded between $66.16 and $70.88. ATM implied volatility averaged 29.8%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.2% (HV 20d: 23.6%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2012-04-27: Highest Volume — 2,531 contracts
  • 2012-04-12: Largest IV spike — 30.5% change
  • 2012-04-24: Highest IV Rank — 43.9%
  • 2012-04-24: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.67$66.16$70.88$69.04$69.78
Max Pain$66.75$60.00$70.00$60.00$70.00
ATM IV29.8%21.1%36.3%21.1%36.1%
Expected Move8.9%6.0%10.4%6.0%10.3%
HV 20d23.6%18.2%29.0%20.5%29.0%
HV 60d30.7%29.3%32.0%30.5%32.0%
IV Rank30.3%12.2%43.9%12.2%43.5%
IV Percentile30.1%1.2%51.6%1.2%51.6%
Term Structure-1.0%-6.0%8.8%8.6%-5.0%
VWIV31.5%21.5%36.3%21.5%36.3%
Skew 25d4.5%2.7%7.6%5.7%4.7%
Skew 10d9.7%4.2%14.7%13.3%9.7%
Call IV 25d29.2%16.7%35.0%17.7%35.0%
Put IV 25d33.7%23.3%39.7%23.3%39.7%
Bid-Ask Spread %23.9212.4566.3820.7113.81
Gamma HHI0.540.310.780.390.50
Net GEX1.6M1.1M2.6M1.2M1.6M
Net DEX-44.0M-62.6M-14.7M-51.6M-28.9M
Net VEX-117.6K-139.4K-96.9K-102.2K-136.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.076.270.280.21
Total Volume1,137.853362,5313441,238
Total OI20,103.914,12826,06418,76517,452

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$69.04$60.0021.1%6.0%20.5%12.2%21.5%5.7%8.6%1.2M-51.6M-102.2K0.2820.71N/AN/A2687611,3567,409
2012-04-03$69.83$60.0021.5%6.2%18.2%13.1%23.3%7.6%8.8%1.2M-55.0M-96.9K0.0827.16N/AN/A1,0778311,3747,474
2012-04-04$67.80$60.0022.6%6.5%19.5%15.3%28.2%2.9%8.1%1.3M-46.8M-106.4K1.8818.15N/AN/A6381,19911,6327,529
2012-04-05$68.10$60.0022.1%6.3%19.3%14.3%22.4%2.7%8.4%1.3M-48.7M-103.8K1.8012.45N/AN/A26948411,7938,485
2012-04-09$67.30$65.0026.6%9.6%19.8%23.7%32.4%4.0%-2.7%1.2M-44.7M-104.4K0.1321.26N/AN/A6418411,7668,887
2012-04-10$66.16$65.0027.7%9.9%20.8%26.0%34.2%3.6%-3.5%1.3M-39.7M-108.1K0.1020.44N/AN/A8558212,0398,903
2012-04-11$67.52$65.0024.1%9.3%21.5%18.4%33.5%4.5%-2.9%1.1M-44.1M-104.2K0.1422.24N/AN/A2944211,7598,953
2012-04-12$68.90$65.0031.4%9.0%22.6%33.7%31.4%4.0%-1.9%1.3M-50.5M-97.7K0.0722.50N/AN/A1,67011411,7958,955
2012-04-13$69.02$65.0031.6%9.1%22.5%34.2%31.6%3.9%-2.0%1.7M-54.7M-110.4K0.1752.12N/AN/A1,14119213,1049,029
2012-04-16$67.39$70.0035.4%10.1%24.1%42.0%35.1%4.7%-4.3%1.5M-48.3M-113.7K0.7320.81N/AN/A78657513,9379,213
2012-04-17$69.41$70.0032.8%9.4%26.4%36.7%33.1%3.7%-3.6%2.2M-59.0M-121.8K0.2266.38N/AN/A1,64636614,3669,671
2012-04-18$69.66$70.0031.9%9.2%24.9%34.9%32.1%3.4%-2.6%2.6M-62.6M-125.5K0.1519.26N/AN/A5848815,1979,825
2012-04-19$68.96$70.0032.1%9.2%24.2%35.2%34.0%4.5%-2.9%2.3M-58.0M-128.8K1.3322.53N/AN/A38751415,5709,889
2012-04-20$68.90$70.0032.2%9.2%24.2%35.3%32.3%4.3%-3.2%1.6M-56.4M-130.2K0.2215.71N/AN/A77417115,82810,236
2012-04-23$68.46$70.0033.4%9.6%24.2%37.8%36.2%5.0%-3.2%1.4M-22.7M-126.3K6.2720.66N/AN/A1116969,2134,915
2012-04-24$66.81$70.0036.3%10.4%25.3%43.9%34.3%6.8%-6.0%1.1M-14.7M-127.8K0.7518.93N/AN/A1,0697989,2905,530
2012-04-25$69.04$70.0031.7%9.1%27.7%34.3%31.3%6.3%-2.6%1.7M-26.0M-139.4K0.1618.88N/AN/A5338310,1436,232
2012-04-26$70.40$70.0032.3%9.2%28.3%35.5%33.1%4.5%-3.5%1.9M-33.1M-135.8K0.4724.21N/AN/A40719110,3726,270
2012-04-27$70.88$70.0032.7%9.4%28.4%36.5%33.8%3.7%-3.6%1.9M-34.9M-133.2K0.6020.10N/AN/A1,58394810,3056,382
2012-04-30$69.78$70.0036.1%10.3%29.0%43.5%36.3%4.7%-5.0%1.6M-28.9M-136.0K0.2113.81N/AN/A1,02721110,5456,907