TDC Options History — November 2012

In November 2012, TDC traded between $59.27 and $64.18. ATM implied volatility averaged 30.6%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.0% (HV 20d: 30.6%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2012-11-08: Highest Volume — 5,825 contracts
  • 2012-11-08: Largest IV drop — 9.8% change
  • 2012-11-05: Highest IV Rank — 53.5%
  • 2012-11-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.37$59.27$64.18$63.75$59.48
Max Pain$65.95$65.00$75.00$75.00$65.00
ATM IV30.6%28.3%35.0%35.0%28.4%
Expected Move8.8%8.1%10.0%10.0%8.1%
HV 20d30.6%20.5%33.5%33.5%20.5%
HV 60d30.1%29.8%30.7%30.2%30.4%
IV Rank41.5%35.2%53.5%51.6%35.5%
IV Percentile39.1%21.8%61.1%60.3%23.8%
Term Structure0.6%-2.6%2.0%-2.6%0.9%
VWIV31.0%27.6%36.0%34.9%32.3%
Skew 25d3.7%2.8%5.2%2.8%4.6%
Skew 10d6.8%1.2%16.4%6.2%9.5%
Call IV 25d29.4%26.4%35.4%35.4%28.2%
Put IV 25d33.1%30.7%38.1%38.1%32.8%
Bid-Ask Spread %25.1514.3163.3948.7919.31
Gamma HHI0.380.280.700.450.35
Net GEX-1.1M-3.1M-380.3K-1.9M-895.9K
Net DEX43.6M22.7M68.5M61.9M32.1M
Net VEX-87.1K-114.4K-52.6K-114.4K-72.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0810.251.981.28
Total Volume1,014.3811115,8253,339387
Total OI19,465.38112,71527,28023,57817,149

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$63.75$75.0035.0%10.0%33.5%51.6%34.9%2.8%-2.6%-1.9M61.9M-114.4K1.9848.79N/AN/A1,1192,2208,06115,517
2012-11-02$63.08$75.0033.9%9.7%33.3%48.8%36.0%2.9%-1.8%-2.0M65.4M-105.9K1.7418.64N/AN/A1973427,90115,670
2012-11-05$63.60$65.0035.0%9.2%33.4%53.5%32.9%3.6%0.8%-2.2M63.2M-108.2K4.9423.67N/AN/A633117,93815,724
2012-11-06$64.18$65.0033.8%9.1%32.7%50.1%32.8%3.4%1.1%-2.4M60.4M-106.9K0.0814.68N/AN/A979807,96615,516
2012-11-07$63.11$65.0032.9%9.0%32.7%47.7%32.0%3.8%0.8%-2.2M64.1M-100.2K0.4616.95N/AN/A105488,74715,498
2012-11-08$63.27$65.0029.7%9.0%31.8%39.0%33.7%3.7%1.0%-2.3M64.5M-98.6K2.0617.31N/AN/A1,9043,9218,75915,518
2012-11-09$63.33$65.0028.4%9.0%31.5%35.7%31.2%3.0%1.0%-3.1M68.5M-114.3K0.3114.31N/AN/A1233810,26017,020
2012-11-12$63.77$65.0030.5%8.7%31.7%41.2%30.5%3.1%1.4%-782.7K45.6M-96.6K1.8520.40N/AN/A7213310,29812,174
2012-11-13$64.18$65.0028.7%8.6%30.3%36.3%30.8%3.4%1.3%-826.6K44.2M-99.9K0.5620.56N/AN/A1769810,32412,197
2012-11-14$63.78$65.0029.8%8.7%29.9%39.4%30.3%3.1%1.3%-788.4K46.1M-95.0K3.1823.09N/AN/A10132110,42612,240
2012-11-15$62.21$65.0031.4%9.0%29.9%43.7%32.3%3.6%2.0%-440.9K47.5M-82.0K1.2424.68N/AN/A31539010,31611,707
2012-11-16$62.44$65.0031.0%8.9%30.2%42.6%29.1%3.4%1.3%-411.9K46.9M-81.4K2.9319.55N/AN/A8524910,36711,824
2012-11-19$61.97$65.0029.9%8.6%30.2%39.7%27.6%4.0%1.0%-424.1K23.3M-74.7K0.1319.37N/AN/A539725,5417,174
2012-11-20$61.44$65.0028.9%8.3%29.8%36.9%28.4%4.1%1.7%-386.1K24.6M-71.4K0.6622.85N/AN/A149995,9257,167
2012-11-21$61.18$65.0029.1%8.4%29.9%37.6%29.6%4.2%1.3%-380.3K25.2M-67.5K1.4818.82N/AN/A871295,9907,244
2012-11-23$62.28$65.0029.9%8.6%31.2%39.5%28.6%4.3%-0.4%-385.5K23.2M-72.1K1.0621.51N/AN/A54576,0387,215
2012-11-26$62.13$65.0030.1%8.6%28.9%40.2%29.1%3.5%-0.6%-386.3K22.7M-74.0K3.0463.39N/AN/A972956,0587,249
2012-11-27$61.55$65.0029.2%8.4%28.8%37.7%29.4%3.7%0.6%-430.5K24.8M-68.1K1.5521.86N/AN/A60936,1477,468
2012-11-28$59.27$65.0029.5%8.5%31.0%38.6%31.2%5.2%0.0%-437.9K28.9M-52.6K10.2559.21N/AN/A3984,0816,1877,501
2012-11-29$59.79$65.0028.3%8.1%31.0%35.2%28.5%3.9%0.7%-927.9K31.8M-73.1K0.5119.30N/AN/A8694466,45410,298
2012-11-30$59.48$65.0028.4%8.1%20.5%35.5%32.3%4.6%0.9%-895.9K32.1M-72.4K1.2819.31N/AN/A1702176,79710,352