TDC Options History — June 2012

In June 2012, TDC traded between $64.64 and $72.97. ATM implied volatility averaged 31.5%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 4.4% (HV 20d: 35.9%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.25.

Notable Days

  • 2012-06-04: Highest Volume — 2,429 contracts
  • 2012-06-06: Largest IV drop — 18.9% change
  • 2012-06-04: Highest IV Rank — 58.9%
  • 2012-06-04: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.37$64.64$72.97$64.64$72.01
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV31.5%25.8%43.4%37.1%28.5%
Expected Move9.2%7.4%11.1%10.6%8.2%
HV 20d35.9%32.7%37.2%37.0%36.3%
HV 60d34.4%32.7%37.3%32.7%37.3%
IV Rank33.9%22.1%58.9%45.6%27.8%
IV Percentile32.5%15.1%75.4%54.4%19.8%
Term Structure5.1%0.3%10.8%0.3%10.8%
VWIV32.5%26.5%39.1%37.4%27.3%
Skew 25d4.4%3.0%5.7%4.4%4.4%
Skew 10d9.1%4.4%16.3%6.6%7.5%
Call IV 25d30.6%25.3%36.4%36.4%26.0%
Put IV 25d35.0%29.2%42.0%40.8%30.3%
Bid-Ask Spread %23.0714.4246.7122.2624.71
Gamma HHI0.230.160.480.260.21
Net GEX336.2K-650.0K1.3M-650.0K268.9K
Net DEX-13.7M-35.6M18.0M18.0M-21.2M
Net VEX-133.0K-161.7K-120.2K-161.7K-121.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.1112.310.370.25
Total Volume815.0951352,4291,932744
Total OI19,413.38115,91622,03122,03117,993

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$64.64$65.0037.1%10.6%37.0%45.6%37.4%4.4%0.3%-650.0K18.0M-161.7K0.3722.26N/AN/A1,4075259,98912,042
2012-06-04$65.21$65.0043.4%11.1%33.5%58.9%39.1%5.7%0.9%-127.1K3.7M-147.9K9.1246.71N/AN/A2402,18910,89310,191
2012-06-05$66.74$65.0039.9%10.9%34.9%51.4%36.7%5.3%2.3%89.8K-3.6M-149.1K0.8021.50N/AN/A35328410,95510,068
2012-06-06$69.04$65.0032.3%9.9%37.2%35.7%34.7%5.4%3.2%496.2K-15.7M-148.0K0.1117.59N/AN/A8509611,15110,102
2012-06-07$68.19$65.0029.8%9.6%36.9%30.3%35.1%5.0%4.1%315.3K-11.4M-145.2K0.9315.33N/AN/A18817411,10210,158
2012-06-08$68.66$65.0028.8%9.6%36.8%28.2%35.2%4.9%3.9%452.4K-14.3M-141.3K1.8122.58N/AN/A21639111,11910,239
2012-06-11$67.87$65.0033.6%9.7%37.0%38.3%34.0%5.2%4.3%267.8K-10.1M-137.9K0.5220.96N/AN/A1125811,19710,168
2012-06-12$68.69$65.0029.4%9.7%36.5%29.5%34.5%5.5%3.8%651.7K-14.5M-132.7K1.8134.07N/AN/A488711,20510,218
2012-06-13$68.52$65.0029.8%9.8%36.5%30.4%34.7%3.9%4.5%619.2K-13.5M-131.0K0.7338.57N/AN/A52838311,20310,258
2012-06-14$69.29$65.0033.5%9.6%35.5%38.0%34.3%4.2%4.2%1.3M-17.9M-128.8K0.9022.90N/AN/A36032311,26610,431
2012-06-15$72.11$65.0032.5%9.3%36.9%36.0%31.7%4.4%4.3%454.9K-35.6M-123.3K0.4321.61N/AN/A86537611,33710,558
2012-06-18$72.77$65.0028.6%8.2%36.3%27.8%28.8%4.9%5.7%350.2K-23.9M-120.7K0.1418.34N/AN/A1,1441637,9387,978
2012-06-19$72.97$65.0025.8%7.4%33.8%22.1%28.2%4.2%6.5%473.6K-26.5M-120.2K2.1618.54N/AN/A3537628,4688,028
2012-06-20$72.26$65.0028.0%8.0%33.4%26.7%26.5%3.7%4.4%540.5K-24.7M-120.5K0.3123.73N/AN/A157488,6827,844
2012-06-21$69.70$65.0030.1%8.6%35.7%31.1%30.5%3.4%6.9%398.7K-16.1M-122.8K6.8314.42N/AN/A2401,6398,7467,873
2012-06-22$71.38$65.0029.3%8.4%36.6%29.4%30.1%4.2%7.7%308.4K-18.8M-131.4K1.7016.29N/AN/A1041778,7228,761
2012-06-25$70.10$65.0030.5%8.7%37.1%31.8%31.1%3.9%7.1%254.0K-14.1M-129.7K0.4421.55N/AN/A96428,7328,840
2012-06-26$68.96$65.0030.8%8.8%37.1%32.5%32.3%3.0%6.8%221.6K-10.1M-128.3K12.3118.41N/AN/A263208,7558,838
2012-06-27$69.66$65.0030.0%8.6%36.2%30.8%30.1%3.2%7.7%209.8K-12.2M-126.9K4.3427.67N/AN/A964178,7538,981
2012-06-28$68.03$65.0029.8%8.6%32.7%30.5%31.0%3.5%8.2%121.5K-5.4M-125.1K1.3216.85N/AN/A2313058,8019,098
2012-06-29$72.01$65.0028.5%8.2%36.3%27.8%27.3%4.4%10.8%268.9K-21.2M-121.3K0.2524.71N/AN/A5961488,8079,186