TDC Options History — May 2012

In May 2012, TDC traded between $65.38 and $77.14. ATM implied volatility averaged 33.3%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 6.8% (HV 20d: 40.1%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2012-05-03: Highest Volume — 9,443 contracts
  • 2012-05-03: Largest IV drop — 30.3% change
  • 2012-05-31: Highest IV Rank — 50.3%
  • 2012-05-31: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.32$65.38$77.14$71.09$66.48
Max Pain$70.68$65.00$75.00$70.00$70.00
ATM IV33.3%27.2%39.4%39.2%39.4%
Expected Move9.6%7.8%11.3%11.2%11.3%
HV 20d40.1%29.4%44.9%29.4%44.9%
HV 60d30.9%29.3%35.5%30.9%32.7%
IV Rank37.7%25.0%50.3%50.1%50.3%
IV Percentile42.3%19.4%63.1%62.3%63.1%
Term Structure-0.3%-7.2%1.9%-7.2%-1.7%
VWIV33.6%26.5%39.4%39.4%38.4%
Skew 25d3.6%0.9%4.9%4.9%4.4%
Skew 10d6.7%2.2%12.0%11.2%2.4%
Call IV 25d32.2%27.1%37.8%37.8%36.8%
Put IV 25d35.8%28.0%42.6%42.6%41.2%
Bid-Ask Spread %19.8713.6127.0913.7515.34
Gamma HHI0.410.220.800.500.25
Net GEX1.4M-4.4M4.8M1.9M150.0K
Net DEX-24.1M-79.5M9.6M-38.9M-584.9K
Net VEX-145.3K-163.0K-112.5K-137.6K-138.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.093.970.741.36
Total Volume2,220.52579,4433,4537,421
Total OI22,342.13616,22228,17418,41818,832

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$71.09$70.0039.2%11.2%29.4%50.1%39.4%4.9%-7.2%1.9M-38.9M-137.6K0.7413.75N/AN/A1,9811,47211,4856,933
2012-05-02$72.19$70.0039.1%11.2%29.6%49.7%38.2%3.4%-4.5%1.8M-43.9M-143.4K0.2815.87N/AN/A5,2901,49411,7398,219
2012-05-03$77.14$70.0027.2%7.8%35.3%25.0%26.5%0.9%1.2%2.1M-79.5M-112.5K0.3015.94N/AN/A7,2362,20713,4048,864
2012-05-04$73.14$75.0028.7%8.5%41.1%28.1%29.2%2.8%-0.7%2.6M-52.3M-152.3K0.4214.48N/AN/A2,4801,03714,4639,310
2012-05-07$72.19$75.0028.9%8.7%41.2%28.6%28.9%3.1%-0.1%2.9M-44.4M-155.6K0.8919.38N/AN/A66759614,9659,911
2012-05-08$71.33$75.0031.1%9.3%40.9%33.0%32.2%3.6%-0.4%2.9M-37.4M-163.0K1.4826.47N/AN/A52978215,12310,082
2012-05-09$72.35$75.0032.1%9.3%40.6%35.2%31.3%3.5%-0.1%2.9M-45.4M-156.6K0.5420.20N/AN/A34818815,16210,329
2012-05-10$71.25$75.0032.3%9.2%40.6%35.5%32.0%3.5%-0.3%3.2M-37.3M-159.6K3.3420.75N/AN/A28795815,19510,268
2012-05-11$71.14$75.0031.5%9.0%40.7%33.9%31.4%2.9%0.7%3.4M-34.6M-155.1K0.4124.61N/AN/A1,48061315,23010,721
2012-05-14$69.60$70.0033.4%9.6%40.5%37.8%33.4%3.3%-0.9%3.6M-21.2M-158.6K0.9320.34N/AN/A51748315,84211,167
2012-05-15$69.61$70.0033.0%9.5%39.1%37.0%32.7%3.4%0.7%4.8M-19.4M-156.3K0.2920.43N/AN/A1,14033615,84711,472
2012-05-16$67.85$70.0033.4%9.6%40.2%37.9%33.4%4.3%-0.2%2.4M-710.8K-147.3K3.9724.80N/AN/A2921,15816,65511,519
2012-05-17$66.33$70.0037.1%10.6%40.8%45.6%36.0%4.0%-1.2%-1.3M8.7M-138.5K0.9427.09N/AN/A14513716,59111,577
2012-05-18$65.38$70.0038.6%11.1%41.0%48.8%38.8%4.1%-1.6%-4.4M9.6M-134.1K0.7113.61N/AN/A88162616,58011,385
2012-05-21$68.09$70.0033.1%9.5%43.7%37.3%35.4%3.0%0.4%42.5K-4.2M-137.8K2.1624.66N/AN/A4319307,9478,275
2012-05-22$69.58$70.0032.6%9.4%43.4%36.3%33.5%3.9%0.3%203.0K-9.2M-138.1K0.5517.98N/AN/A5583078,1648,393
2012-05-23$70.47$70.0032.9%9.4%42.1%36.9%34.0%3.6%1.2%280.3K-11.8M-141.8K0.0917.96N/AN/A1,3371208,3128,597
2012-05-24$69.97$65.0031.9%9.2%41.6%34.8%35.4%4.3%1.7%500.6K-14.8M-144.9K3.3620.32N/AN/A591989,3288,609
2012-05-25$70.54$65.0031.8%9.1%41.6%34.6%33.1%3.6%1.9%554.2K-16.7M-144.4K1.2120.83N/AN/A4535509,3618,700
2012-05-29$71.61$65.0032.5%9.3%41.5%36.0%32.2%4.4%1.6%635.9K-21.1M-138.0K0.3318.05N/AN/A5361789,3788,883
2012-05-30$69.82$70.0033.4%9.6%42.0%37.8%34.7%3.6%1.8%575.3K-14.4M-141.7K1.1324.25N/AN/A1942199,7268,984
2012-05-31$66.48$70.0039.4%11.3%44.9%50.3%38.4%4.4%-1.7%150.0K-584.9K-138.7K1.3615.34N/AN/A3,1414,2809,8269,006