TDC Options History — October 2012

In October 2012, TDC traded between $67.70 and $76.06. ATM implied volatility averaged 39.3%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 10.4% (HV 20d: 28.9%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 4.77.

Notable Days

  • 2012-10-31: Highest Volume — 6,998 contracts
  • 2012-10-11: Largest IV spike — 34.7% change
  • 2012-10-22: Highest IV Rank — 88.5%
  • 2012-10-22: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.85$67.70$76.06$74.47$68.31
Max Pain$75.71$75.00$80.00$75.00$75.00
ATM IV39.3%26.6%49.1%31.4%47.4%
Expected Move11.6%7.6%14.1%9.0%13.6%
HV 20d28.9%24.3%35.4%35.0%26.3%
HV 60d30.9%26.8%32.0%31.8%26.8%
IV Rank62.1%29.8%88.5%33.8%84.1%
IV Percentile69.9%16.3%98.4%41.3%96.4%
Term Structure-4.5%-10.8%7.6%5.1%-10.7%
VWIV41.0%26.7%51.1%31.8%51.1%
Skew 25d6.2%4.1%7.5%4.1%7.0%
Skew 10d12.8%8.6%25.8%8.9%25.8%
Call IV 25d38.4%25.8%46.9%30.9%46.9%
Put IV 25d44.7%30.2%53.9%35.0%53.9%
Bid-Ask Spread %21.7612.7055.4715.9224.59
Gamma HHI0.370.210.590.280.49
Net GEX-1.1M-2.3M219.3K219.3K-939.0K
Net DEX20.6M-4.1M39.5M-4.1M32.3M
Net VEX-117.1K-167.7K-76.3K-76.3K-138.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.770.1925.484.702.31
Total Volume2,529.9052666,9981,6586,998
Total OI19,002.85712,85824,20912,85819,175

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$74.47$75.0031.4%9.0%35.0%33.8%31.8%4.1%5.1%219.3K-4.1M-76.3K4.7015.92N/AN/A2911,3675,5607,298
2012-10-02$75.92$75.0030.4%8.7%35.4%31.6%31.8%4.6%5.8%-128.9K909.0K-93.9K1.7718.15N/AN/A961705,7069,185
2012-10-03$76.06$75.0026.6%7.6%35.1%29.8%26.7%4.4%7.6%40.2K-2.1M-83.5K6.3018.25N/AN/A1841,1605,6898,582
2012-10-04$74.34$75.0030.9%8.9%34.0%41.1%31.6%4.8%6.7%-369.9K6.3M-88.1K2.1112.70N/AN/A1,2982,7345,6469,358
2012-10-05$75.67$80.0029.6%10.6%34.8%37.5%37.3%5.7%-3.4%-492.9K3.9M-100.7K2.6826.30N/AN/A4441,1916,19710,575
2012-10-08$74.36$80.0030.9%10.7%24.3%40.8%39.5%5.9%-3.9%-578.1K8.5M-93.5K0.5826.76N/AN/A5082956,22810,900
2012-10-09$72.17$75.0035.1%11.7%26.3%52.0%39.0%6.0%-4.6%-611.7K17.7M-86.2K8.4624.48N/AN/A2091,7686,38010,875
2012-10-10$72.72$75.0030.8%11.1%26.5%40.7%38.8%6.4%-4.5%-798.7K17.4M-93.3K2.9223.03N/AN/A3329686,42611,608
2012-10-11$73.00$75.0041.5%11.9%26.6%68.7%44.1%6.7%-6.3%-967.6K19.3M-98.1K25.4819.97N/AN/A1884,7916,32712,374
2012-10-12$74.59$75.0041.8%12.0%27.7%69.5%42.3%6.3%-6.5%-1.8M22.4M-137.5K8.6520.72N/AN/A3753,2456,43417,216
2012-10-15$75.00$75.0043.1%12.4%27.4%72.8%43.2%7.4%-7.8%-1.7M21.2M-125.2K3.5455.47N/AN/A1987016,36717,007
2012-10-16$75.54$75.0042.6%12.2%27.5%71.6%43.9%7.5%-7.8%-1.9M16.4M-120.6K2.2228.66N/AN/A2896426,37216,976
2012-10-17$74.45$75.0043.0%12.3%27.9%72.7%44.4%7.1%-8.0%-2.2M25.5M-121.0K10.9518.46N/AN/A1421,5556,30017,389
2012-10-18$73.90$80.0042.5%12.2%27.9%71.4%42.2%7.0%-7.6%-2.3M31.3M-114.3K0.4717.54N/AN/A9874686,08817,380
2012-10-19$72.29$75.0048.2%13.8%28.3%86.1%45.7%7.0%-10.8%-1.3M36.8M-115.8K9.2818.21N/AN/A6265,8096,75217,457
2012-10-22$71.56$75.0049.1%14.1%27.4%88.5%46.9%7.0%-9.5%-1.9M35.1M-162.8K1.8930.61N/AN/A9861,8634,01013,913
2012-10-23$71.35$75.0046.8%13.4%27.4%82.5%45.5%5.3%-7.8%-1.8M34.7M-167.7K2.5013.43N/AN/A1,0962,7394,69614,293
2012-10-24$68.67$75.0044.8%12.8%29.9%77.3%44.6%6.7%-6.1%-1.5M39.5M-154.6K1.9415.03N/AN/A1,6793,2625,57213,324
2012-10-25$67.83$75.0043.9%12.6%26.0%75.0%43.9%6.9%-6.7%-955.2K34.3M-143.2K1.1514.42N/AN/A3474006,73811,820
2012-10-26$67.70$75.0044.9%12.9%26.0%77.6%47.4%7.1%-7.0%-955.2K34.7M-144.7K0.1914.27N/AN/A6091186,88211,985
2012-10-31$68.31$75.0047.4%13.6%26.3%84.1%51.1%7.0%-10.7%-939.0K32.3M-138.4K2.3124.59N/AN/A2,1174,8817,14512,030