TDC Options History — September 2012

In September 2012, TDC traded between $73.46 and $80.62. ATM implied volatility averaged 29.2%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.3% (HV 20d: 28.9%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2012-09-11: Highest Volume — 3,500 contracts
  • 2012-09-10: Largest IV spike — 47.2% change
  • 2012-09-10: Highest IV Rank — 45.0%
  • 2012-09-10: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.22$73.46$80.62$77.42$75.41
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV29.2%25.0%36.8%31.0%28.6%
Expected Move8.4%7.6%9.7%8.9%8.2%
HV 20d28.9%14.4%35.1%15.7%34.8%
HV 60d40.0%38.4%42.1%39.0%39.3%
IV Rank29.0%20.4%45.0%32.9%27.8%
IV Percentile25.7%8.7%56.7%32.5%24.2%
Term Structure3.6%0.5%6.6%0.5%5.8%
VWIV30.5%24.7%33.9%27.7%30.4%
Skew 25d5.0%3.4%6.2%6.2%5.1%
Skew 10d11.3%7.7%17.4%16.7%16.1%
Call IV 25d27.4%24.8%31.5%25.4%26.8%
Put IV 25d32.4%28.9%37.2%31.6%31.9%
Bid-Ask Spread %22.3310.3169.2916.6315.09
Gamma HHI0.330.160.680.180.32
Net GEX503.6K-314.5K1.6M289.1K269.0K
Net DEX-13.8M-29.7M259.0K-14.4M-6.3M
Net VEX-91.4K-109.3K-71.5K-105.0K-78.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.044.260.041.77
Total Volume1,126.6842523,500313477
Total OI16,808.57911,23920,74814,98112,613

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$77.42$75.0031.0%8.9%15.7%32.9%27.7%6.2%0.5%289.1K-14.4M-105.0K0.0416.63N/AN/A301126,9098,072
2012-09-05$78.35$75.0027.8%8.0%14.4%26.1%28.0%3.5%2.4%355.5K-18.5M-103.9K0.8913.49N/AN/A5625007,0088,077
2012-09-06$80.62$75.0026.4%7.6%16.9%23.2%24.7%4.1%2.8%589.6K-28.5M-98.4K0.1419.09N/AN/A1,2531747,2838,240
2012-09-07$80.20$75.0025.0%8.1%17.1%20.4%30.7%3.4%3.8%946.9K-28.6M-95.5K2.1113.03N/AN/A931968,2768,272
2012-09-10$74.63$75.0036.8%9.7%31.6%45.0%33.1%5.7%0.5%252.3K-4.4M-98.7K2.7117.52N/AN/A8132,2058,2768,203
2012-09-11$75.14$75.0029.8%9.2%31.7%30.3%33.7%4.8%1.5%-314.5K-677.2K-104.0K0.2318.27N/AN/A2,8486528,6849,678
2012-09-12$75.02$75.0029.3%9.0%31.6%29.2%33.6%5.5%2.0%346.4K-9.3M-109.3K0.1010.31N/AN/A1,64915710,4689,888
2012-09-13$74.95$75.0030.3%8.7%31.6%31.5%31.7%5.1%2.7%479.5K-7.9M-105.9K0.3816.01N/AN/A26910110,6529,912
2012-09-14$75.24$75.0030.0%8.6%31.6%30.7%30.0%5.0%3.0%561.2K-10.5M-103.9K0.5326.88N/AN/A26914210,7909,958
2012-09-17$76.21$75.0030.6%8.8%31.9%32.0%30.1%4.8%2.4%666.2K-18.9M-94.5K2.0714.70N/AN/A8031,66510,7569,932
2012-09-18$75.92$75.0029.6%8.5%31.7%29.9%33.9%5.0%3.8%1.4M-19.5M-92.7K3.3423.51N/AN/A15451510,7719,345
2012-09-19$76.36$75.0029.3%8.4%31.7%29.4%32.7%4.7%3.9%1.2M-24.2M-88.4K0.3868.98N/AN/A1917210,7849,483
2012-09-20$76.08$75.0029.2%8.4%31.6%29.2%30.8%5.5%3.4%1.6M-24.3M-84.2K0.3369.29N/AN/A1896310,7739,509
2012-09-21$77.04$75.0028.5%8.2%31.8%27.7%32.8%5.5%5.0%277.3K-29.7M-76.2K0.4912.63N/AN/A1,5087469,8739,235
2012-09-24$75.25$75.0027.6%7.9%32.7%25.8%28.2%5.3%6.6%140.0K-5.0M-71.5K0.7018.20N/AN/A4763324,8496,390
2012-09-25$74.62$75.0027.9%8.0%32.7%26.4%30.1%4.6%6.1%180.1K-4.1M-73.9K4.2620.62N/AN/A1717285,0986,584
2012-09-26$73.46$75.0028.5%8.2%33.1%27.6%30.5%5.0%6.3%94.3K259.0K-75.4K1.1516.28N/AN/A2803225,1617,166
2012-09-27$76.20$75.0028.0%8.0%35.1%26.6%27.4%5.4%6.3%218.1K-7.6M-77.1K0.1013.65N/AN/A473465,2707,125
2012-09-28$75.41$75.0028.6%8.2%34.8%27.8%30.4%5.1%5.8%269.0K-6.3M-78.0K1.7715.09N/AN/A1723055,4757,138