TDC Options History — August 2012

In August 2012, TDC traded between $66.10 and $77.77. ATM implied volatility averaged 29.6%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 5.2% (HV 20d: 34.8%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.11.

Notable Days

  • 2012-08-02: Highest Volume — 9,898 contracts
  • 2012-08-02: Largest IV drop — 36.2% change
  • 2012-08-01: Highest IV Rank — 77.2%
  • 2012-08-01: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.53$66.10$77.77$66.10$76.38
Max Pain$73.04$65.00$75.00$70.00$75.00
ATM IV29.6%21.8%52.2%52.2%28.6%
Expected Move8.9%7.5%15.0%15.0%8.2%
HV 20d34.8%15.7%49.9%49.4%15.7%
HV 60d41.5%38.9%43.6%40.3%38.9%
IV Rank29.9%13.6%77.2%77.2%27.9%
IV Percentile24.1%3.6%96.0%96.0%21.8%
Term Structure1.3%-10.2%3.2%-10.2%2.7%
VWIV31.0%26.5%54.0%54.0%26.5%
Skew 25d4.9%4.1%9.0%9.0%5.2%
Skew 10d10.5%7.5%18.5%18.5%17.7%
Call IV 25d28.7%25.8%47.4%47.4%25.8%
Put IV 25d33.6%30.3%56.4%56.4%31.0%
Bid-Ask Spread %18.8112.5643.2843.2814.35
Gamma HHI0.280.160.580.220.23
Net GEX682.2K-222.8K1.6M174.4K403.9K
Net DEX-21.0M-39.1M1.6M1.6M-14.5M
Net VEX-100.2K-119.2K-85.3K-105.7K-98.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.154.322.672.27
Total Volume1,634.6961499,8987,2581,577
Total OI16,425.82611,80520,62814,54913,664

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$66.10$70.0052.2%15.0%49.4%77.2%54.0%9.0%-10.2%174.4K1.6M-105.7K2.6743.28N/AN/A1,9805,2787,6836,866
2012-08-02$67.30$65.0033.3%9.5%49.9%37.6%32.6%4.8%2.6%-222.8K471.0K-112.3K2.9015.64N/AN/A2,5377,3618,36210,500
2012-08-03$72.70$65.0028.6%8.2%40.2%27.8%29.9%5.9%3.2%614.2K-23.7M-119.2K0.2612.56N/AN/A2,6146908,49112,137
2012-08-06$72.15$65.0032.5%9.7%40.5%36.0%33.3%4.6%0.7%971.2K-22.9M-106.8K0.5017.63N/AN/A1,2196048,6669,281
2012-08-07$73.80$70.0028.4%9.0%37.1%27.4%33.2%5.0%1.8%1.3M-30.2M-105.9K0.9013.50N/AN/A4253819,0889,539
2012-08-08$74.44$70.0028.3%9.1%37.0%27.3%31.8%5.4%1.3%1.3M-32.6M-104.1K4.3220.98N/AN/A1385969,1039,717
2012-08-09$75.12$75.0027.0%9.0%36.0%24.5%31.9%4.8%0.9%1.3M-35.3M-103.1K1.1616.41N/AN/A3213739,11710,030
2012-08-10$75.70$75.0025.9%8.8%36.0%22.3%30.7%4.3%1.8%1.2M-37.3M-98.3K1.2721.68N/AN/A1131449,15110,274
2012-08-13$75.98$75.0026.9%8.6%35.0%24.3%30.1%4.7%1.8%1.3M-39.1M-93.1K0.1520.78N/AN/A1,2681919,18610,391
2012-08-14$75.48$75.0024.3%8.6%35.4%18.8%30.0%4.5%1.5%1.3M-36.6M-92.9K1.2013.57N/AN/A4755709,54110,421
2012-08-15$75.40$75.0021.8%8.3%34.8%13.6%28.6%4.6%1.9%1.3M-34.9M-94.0K0.8915.94N/AN/A2452189,50710,900
2012-08-16$75.67$75.0028.9%8.3%34.4%28.4%29.3%4.9%2.0%1.6M-36.1M-85.3K0.3417.77N/AN/A4831649,25310,501
2012-08-17$76.09$75.0030.1%8.6%33.1%31.0%28.3%5.1%0.6%722.1K-38.7M-88.1K2.1622.77N/AN/A1,2132,6189,33910,584
2012-08-20$75.23$75.0031.7%9.1%33.3%34.4%31.7%4.5%0.7%-12.7K-7.2M-96.6K0.5315.30N/AN/A9805215,1426,663
2012-08-21$75.37$75.0030.0%8.6%32.6%30.9%29.1%5.0%1.9%189.8K-9.6M-104.5K0.4117.98N/AN/A226925,9086,839
2012-08-22$74.71$75.0029.4%8.4%33.0%29.5%31.7%4.7%1.9%207.2K-8.0M-103.4K0.9323.57N/AN/A2732536,0276,817
2012-08-23$74.55$75.0029.4%8.4%31.7%29.6%28.2%4.4%1.6%221.1K-8.1M-102.2K0.3918.10N/AN/A145566,1296,856
2012-08-24$75.47$75.0028.7%8.2%31.8%28.1%28.4%4.7%2.4%287.3K-11.0M-102.2K0.4319.91N/AN/A190816,2016,877
2012-08-27$76.09$75.0029.6%8.5%31.4%30.0%29.8%4.1%1.8%345.8K-13.0M-98.6K0.3417.60N/AN/A123426,2516,913
2012-08-28$76.27$75.0029.3%8.4%31.3%29.4%28.3%4.2%2.2%350.6K-13.7M-98.0K0.7516.19N/AN/A85646,2736,933
2012-08-29$77.77$75.0026.3%7.5%29.7%22.9%28.3%4.5%2.9%444.6K-18.6M-95.0K0.3317.65N/AN/A180596,3136,993
2012-08-30$76.49$75.0029.3%8.4%30.7%29.3%28.4%4.6%2.2%398.5K-14.9M-96.0K0.3319.38N/AN/A3251076,3667,001
2012-08-31$76.38$75.0028.6%8.2%15.7%27.9%26.5%5.2%2.7%403.9K-14.5M-98.5K2.2714.35N/AN/A4821,0956,6107,054