TDC Options History — January 2013

In January 2013, TDC traded between $62.29 and $69.34. ATM implied volatility averaged 35.4%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 10.8% (HV 20d: 24.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.69.

Notable Days

  • 2013-01-25: Highest Volume — 5,819 contracts
  • 2013-01-10: Largest IV spike — 33.4% change
  • 2013-01-31: Highest IV Rank — 95.6%
  • 2013-01-31: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.44$62.29$69.34$63.71$66.66
Max Pain$66.19$65.00$70.00$70.00$70.00
ATM IV35.4%25.8%50.6%28.3%50.6%
Expected Move10.5%8.1%14.5%8.1%14.5%
HV 20d24.6%21.0%27.7%26.1%25.4%
HV 60d27.3%24.4%28.4%28.2%24.4%
IV Rank54.6%28.5%95.6%35.4%95.6%
IV Percentile67.1%10.7%99.6%23.0%99.6%
Term Structure-4.6%-13.5%4.9%4.9%-13.5%
VWIV37.0%30.4%50.8%30.4%48.9%
Skew 25d5.2%3.7%7.1%4.2%7.1%
Skew 10d11.7%8.7%19.6%11.0%14.4%
Call IV 25d34.6%28.1%48.1%28.1%47.5%
Put IV 25d39.9%32.3%54.6%32.3%54.6%
Bid-Ask Spread %26.9717.6867.3518.5718.43
Gamma HHI0.400.230.610.320.23
Net GEX658.8K43.1K2.2M43.1K94.3K
Net DEX5.7M-15.1M22.3M18.0M316.8K
Net VEX-77.2K-111.6K-57.0K-57.0K-111.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.067.661.542.20
Total Volume1,805.7142385,8195,391534
Total OI18,741.4769,04325,33915,68817,165

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$63.71$70.0028.3%8.1%26.1%35.4%30.4%4.2%4.9%43.1K18.0M-57.0K1.5418.57N/AN/A2,1263,2656,9568,732
2013-01-03$62.29$70.0035.3%10.1%27.5%54.3%32.9%5.8%1.9%73.5K22.3M-73.6K0.9017.68N/AN/A1,4251,2828,44411,380
2013-01-04$62.83$65.0028.8%9.7%27.5%36.8%35.3%4.9%-1.3%209.7K20.7M-77.4K0.9520.96N/AN/A3453279,01912,194
2013-01-07$63.85$65.0031.2%9.9%27.6%43.0%35.5%5.1%-2.2%503.2K14.8M-75.5K3.5521.99N/AN/A3101,1029,20612,054
2013-01-08$63.74$65.0029.0%9.9%27.3%37.2%36.7%5.0%-2.5%441.6K17.0M-74.1K2.6821.11N/AN/A6241,6719,30612,847
2013-01-09$63.81$65.0025.8%9.6%27.3%28.5%34.8%5.4%-2.3%622.7K17.6M-73.9K0.7321.04N/AN/A6594799,33913,464
2013-01-10$64.66$65.0034.4%9.9%24.4%51.7%37.9%5.8%-3.1%796.3K13.8M-72.3K7.6620.54N/AN/A1661,2729,07713,603
2013-01-11$65.34$65.0033.8%9.7%24.6%50.1%35.7%5.4%-3.0%945.0K11.3M-74.5K2.0624.74N/AN/A2525189,15114,644
2013-01-14$66.03$65.0034.9%10.0%23.1%53.1%34.7%5.5%-3.7%1.1M7.3M-67.7K1.2920.10N/AN/A2853699,08014,908
2013-01-15$66.05$65.0035.9%10.3%22.6%55.8%34.3%5.2%-5.6%1.2M7.2M-67.6K0.2267.35N/AN/A1,7763839,08714,928
2013-01-16$65.11$65.0035.0%10.0%22.2%53.5%35.3%5.5%-5.1%2.2M11.9M-75.4K1.3430.36N/AN/A39853210,15215,034
2013-01-17$66.31$65.0034.6%9.9%21.0%52.3%34.6%4.7%-4.5%754.9K1.0M-67.6K1.3226.11N/AN/A35246510,07615,098
2013-01-18$65.61$65.0033.4%9.6%21.4%49.1%36.2%4.8%-4.2%1.6M2.8M-68.5K1.2124.55N/AN/A65879810,17015,169
2013-01-22$65.57$65.0034.3%9.8%21.5%51.6%34.6%5.2%-4.1%80.4K-2.4M-64.2K0.0819.38N/AN/A1,3261083,8215,222
2013-01-23$66.08$65.0033.9%9.7%21.4%50.4%35.3%4.7%-4.3%411.1K-6.0M-74.7K0.7230.72N/AN/A1381005,0515,260
2013-01-24$66.50$65.0034.5%9.9%21.3%52.0%32.9%4.3%-5.0%480.2K-6.8M-75.2K0.0627.06N/AN/A577375,1005,312
2013-01-25$69.34$65.0035.1%10.1%23.8%53.7%35.0%3.7%-6.3%787.1K-15.1M-79.0K0.9136.01N/AN/A3,0402,7795,5295,326
2013-01-28$68.11$70.0037.5%10.7%25.3%60.2%37.6%5.1%-8.3%780.7K-11.0M-91.8K2.3818.87N/AN/A3197587,2466,222
2013-01-29$66.14$65.0047.6%13.6%27.7%87.4%46.8%5.9%-12.0%494.3K-5.9M-91.9K2.7639.84N/AN/A1,0852,9987,2896,061
2013-01-30$66.60$70.0049.9%14.3%27.1%93.8%50.8%6.4%-12.5%141.3K-48.7K-106.8K0.9040.88N/AN/A1,2021,0807,5918,258
2013-01-31$66.66$70.0050.6%14.5%25.4%95.6%48.9%7.1%-13.5%94.3K316.8K-111.6K2.2018.43N/AN/A1673678,0649,101