TDC Options History — December 2012

In December 2012, TDC traded between $57.94 and $62.73. ATM implied volatility averaged 30.2%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.6% (HV 20d: 24.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2012-12-14: Highest Volume — 1,972 contracts
  • 2012-12-19: Largest IV spike — 6.0% change
  • 2012-12-31: Highest IV Rank — 47.8%
  • 2012-12-31: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.51$57.94$62.73$58.52$61.89
Max Pain$69.00$65.00$70.00$65.00$70.00
ATM IV30.2%28.7%32.9%28.9%32.9%
Expected Move8.7%8.3%9.4%8.3%9.4%
HV 20d24.6%19.8%28.4%20.8%25.4%
HV 60d28.1%26.2%30.3%30.3%27.4%
IV Rank40.4%36.3%47.8%37.0%47.8%
IV Percentile42.5%27.4%65.1%29.8%65.1%
Term Structure3.0%-0.9%4.7%-0.0%3.5%
VWIV30.4%29.3%32.4%29.3%30.8%
Skew 25d3.6%2.0%4.7%3.2%4.7%
Skew 10d6.1%-3.9%9.0%-2.5%7.7%
Call IV 25d29.5%28.5%31.1%29.3%30.7%
Put IV 25d33.1%31.3%35.3%32.5%35.3%
Bid-Ask Spread %22.6211.5483.8318.2114.36
Gamma HHI0.320.240.380.380.26
Net GEX-585.8K-1.0M17.6K-937.7K-314.2K
Net DEX26.4M18.2M35.8M34.4M23.9M
Net VEX-65.5K-79.1K-51.3K-64.3K-51.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.097.026.900.09
Total Volume686.9841,9721,1291,137
Total OI17,660.9514,30420,15217,20114,708

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$58.52$65.0028.9%8.3%20.8%37.0%29.3%3.2%-0.0%-937.7K34.4M-64.3K6.9018.21N/AN/A1439866,87510,326
2012-12-04$58.10$65.0029.5%8.4%20.4%38.5%30.1%2.0%0.0%-1.0M35.8M-67.5K1.4883.83N/AN/A1632416,94010,816
2012-12-05$57.94$65.0031.0%8.9%19.8%42.5%31.4%3.1%-0.9%-995.1K35.8M-67.7K1.7133.49N/AN/A6901,1797,01910,797
2012-12-06$58.70$65.0029.6%8.5%20.2%38.8%30.6%3.2%0.3%-873.2K32.1M-71.6K3.9042.78N/AN/A1264917,37610,628
2012-12-07$58.19$70.0028.7%8.5%20.2%36.3%29.6%4.5%3.5%-891.9K33.9M-64.0K0.3525.01N/AN/A4961747,39710,569
2012-12-10$58.63$70.0029.6%8.6%20.5%38.8%32.4%3.6%3.8%-828.3K32.0M-66.5K0.9917.84N/AN/A1751747,75710,602
2012-12-11$60.94$70.0030.0%8.6%25.3%40.0%30.4%3.3%3.2%-644.2K23.8M-79.1K1.6912.15N/AN/A2985057,81810,692
2012-12-12$61.19$70.0028.7%8.6%25.2%36.3%30.9%3.8%3.5%-698.0K23.5M-76.6K1.6113.71N/AN/A1682707,82910,885
2012-12-13$60.01$70.0030.0%8.6%25.9%39.9%29.9%3.5%3.6%-809.8K27.6M-72.8K0.6812.83N/AN/A1531047,85610,873
2012-12-14$59.43$70.0029.6%8.5%24.7%38.8%29.6%3.8%4.2%-878.7K29.8M-68.0K0.1814.67N/AN/A1,6732997,89110,898
2012-12-17$60.99$70.0030.1%8.6%26.6%40.3%30.5%3.9%4.0%-492.7K24.2M-69.4K0.4915.22N/AN/A4162049,15111,001
2012-12-18$62.72$70.0029.1%8.3%28.4%37.4%31.0%3.7%3.7%17.6K18.2M-73.8K0.6111.54N/AN/A4442728,95810,990
2012-12-19$62.50$70.0030.8%8.8%28.3%42.1%30.2%3.6%3.6%-353.4K18.9M-67.4K1.3812.57N/AN/A3875348,97110,941
2012-12-20$62.73$70.0029.5%8.5%28.2%38.6%29.8%3.1%3.4%-374.1K19.1M-67.5K1.1647.76N/AN/A1421658,64610,902
2012-12-21$62.40$70.0031.1%8.9%27.6%42.9%30.0%3.3%3.3%-383.2K20.0M-63.4K1.3114.17N/AN/A2212908,72110,910
2012-12-24$62.22$70.0030.9%8.9%27.6%42.3%30.0%3.6%4.2%-331.7K22.4M-59.2K0.4215.04N/AN/A59255,8908,414
2012-12-26$61.11$70.0030.6%8.8%28.2%41.6%30.1%4.0%3.9%-303.2K23.9M-54.7K0.3915.37N/AN/A197775,9168,431
2012-12-27$61.26$70.0030.8%8.8%24.4%42.0%29.3%4.0%4.7%-295.4K24.3M-52.6K0.3116.52N/AN/A191605,9268,431
2012-12-28$60.69$70.0032.0%9.2%24.6%45.3%31.9%4.3%4.1%-290.5K25.2M-51.3K7.0215.42N/AN/A513585,9908,478
2012-12-31$61.89$70.0032.9%9.4%25.4%47.8%30.8%4.7%3.5%-314.2K23.9M-51.8K0.0914.36N/AN/A1,040976,0078,701