TDC Options History — July 2012

In July 2012, TDC traded between $62.79 and $72.62. ATM implied volatility averaged 40.8%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 9.9% (HV 20d: 50.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2012-07-06: Highest Volume — 6,796 contracts
  • 2012-07-06: Largest IV spike — 32.4% change
  • 2012-07-25: Highest IV Rank — 68.8%
  • 2012-07-25: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.88$62.79$72.62$71.88$67.62
Max Pain$69.29$65.00$70.00$65.00$70.00
ATM IV40.8%26.2%48.2%29.2%47.9%
Expected Move12.0%7.5%13.8%8.4%13.7%
HV 20d50.6%33.9%55.4%36.3%49.0%
HV 60d42.6%37.0%44.3%37.3%40.2%
IV Rank53.3%22.9%68.8%29.1%68.1%
IV Percentile65.0%12.3%92.1%21.8%90.9%
Term Structure-3.2%-10.0%9.1%8.9%-10.0%
VWIV41.9%24.1%47.8%29.7%47.3%
Skew 25d5.9%3.3%7.9%4.0%5.0%
Skew 10d12.2%6.9%14.9%13.8%11.0%
Call IV 25d39.9%24.3%46.2%26.7%46.2%
Put IV 25d45.9%29.6%51.8%30.6%51.2%
Bid-Ask Spread %25.5813.6176.6513.6116.36
Gamma HHI0.200.140.250.220.20
Net GEX-100.8K-541.6K323.6K281.0K201.2K
Net DEX1.3M-24.8M20.1M-21.1M-3.1M
Net VEX-114.0K-126.0K-104.7K-115.7K-107.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.083.121.260.24
Total Volume1,3022456,796397855
Total OI18,917.28613,46423,85917,98213,867

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$71.88$65.0029.2%8.4%36.3%29.1%29.7%4.0%8.9%281.0K-21.1M-115.7K1.2613.61N/AN/A1762218,8339,149
2012-07-03$72.42$65.0028.3%8.1%35.7%27.3%24.1%5.3%9.1%304.1K-23.2M-113.1K0.4631.01N/AN/A5772688,8389,083
2012-07-05$72.62$65.0026.2%7.5%33.9%22.9%27.8%3.3%8.3%323.6K-24.8M-111.2K0.0876.65N/AN/A810658,8609,108
2012-07-06$65.01$70.0034.7%12.2%52.5%40.6%41.8%6.2%-3.4%69.4K5.9M-107.0K1.3618.27N/AN/A2,8833,9139,3559,129
2012-07-09$65.41$70.0038.2%12.6%52.5%48.0%43.6%6.3%-4.1%-380.7K10.3M-126.0K0.2814.90N/AN/A2,23663010,12411,484
2012-07-10$62.79$70.0038.7%12.7%54.2%49.0%43.5%6.9%-4.1%-37.2K17.6M-119.0K2.9525.55N/AN/A6902,03711,59411,311
2012-07-11$62.85$70.0037.0%12.6%53.9%45.4%43.7%6.4%-4.3%-410.6K20.1M-117.2K3.1219.82N/AN/A16451110,83311,655
2012-07-12$64.84$70.0043.6%12.5%55.4%59.3%44.3%6.2%-4.3%-424.7K12.3M-122.6K1.1913.71N/AN/A40247710,89611,800
2012-07-13$65.59$70.0042.6%12.2%55.4%57.2%43.4%5.9%-3.5%-449.0K8.8M-122.2K1.3216.12N/AN/A20627210,88612,047
2012-07-16$64.62$70.0043.7%12.5%53.2%59.3%42.4%6.2%-4.0%-541.6K14.5M-113.9K0.3418.58N/AN/A57019310,82112,090
2012-07-17$65.17$70.0043.6%12.5%53.1%59.1%43.6%5.9%-3.8%-509.7K11.3M-113.3K0.1519.61N/AN/A5648210,96612,060
2012-07-18$66.92$70.0044.3%12.7%54.3%60.8%43.7%5.8%-4.9%-353.9K-264.4K-115.7K0.5122.20N/AN/A1,02252311,25012,070
2012-07-19$68.30$70.0042.5%12.2%54.9%56.8%42.9%5.9%-4.5%-215.3K-7.6M-115.6K0.1329.78N/AN/A1,32516911,15312,078
2012-07-20$66.97$70.0044.7%12.8%53.9%61.5%42.7%6.0%-4.7%-112.5K-3.9M-114.9K0.1419.45N/AN/A6509011,70112,158
2012-07-23$66.37$70.0046.9%13.4%53.1%66.1%47.8%5.6%-6.8%-49.1K3.7M-112.0K2.1918.46N/AN/A891956,3977,067
2012-07-24$65.55$70.0047.4%13.6%52.9%67.1%46.9%6.4%-6.4%-92.9K6.1M-110.4K0.5516.39N/AN/A158876,4107,181
2012-07-25$65.77$70.0048.2%13.8%52.7%68.8%47.4%7.3%-7.7%-82.0K5.2M-110.0K0.8444.44N/AN/A2752316,4377,236
2012-07-26$67.93$70.0043.2%12.4%54.0%58.4%43.6%5.7%-5.3%23.7K-153.8K-111.6K0.1225.62N/AN/A1,1541356,4917,195
2012-07-27$68.26$70.0041.5%11.9%53.4%54.8%42.1%6.0%-4.6%140.2K-2.2M-110.7K1.5024.94N/AN/A7051,0586,8527,150
2012-07-30$67.66$70.0043.9%12.6%49.0%59.8%47.2%7.9%-6.6%198.7K-1.8M-104.7K0.2351.77N/AN/A5491256,8926,756
2012-07-31$67.62$70.0047.9%13.7%49.0%68.1%47.3%5.0%-10.0%201.2K-3.1M-107.2K0.2416.36N/AN/A6891667,1156,752