TDC Options History — March 2013

In March 2013, TDC traded between $56.28 and $59.62. ATM implied volatility averaged 25.5%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.8% (HV 20d: 30.3%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2013-03-07: Highest Volume — 3,579 contracts
  • 2013-03-07: Largest IV spike — 25.2% change
  • 2013-03-07: Highest IV Rank — 31.2%
  • 2013-03-07: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.98$56.28$59.62$58.56$58.51
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV25.5%22.4%28.0%23.5%23.2%
Expected Move7.4%6.7%8.3%6.7%6.7%
HV 20d30.3%21.8%37.8%36.3%23.2%
HV 60d30.0%29.2%31.4%30.1%29.6%
IV Rank20.9%7.6%31.2%20.3%7.6%
IV Percentile13.4%4.8%23.8%6.7%4.8%
Term Structure5.5%1.9%9.4%1.9%9.4%
VWIV26.3%23.8%28.9%24.4%23.8%
Skew 25d2.3%0.4%3.6%0.5%0.4%
Skew 10d3.7%-4.5%8.6%-4.5%-4.2%
Call IV 25d25.4%23.9%27.4%25.8%24.6%
Put IV 25d27.7%25.0%29.9%26.3%25.0%
Bid-Ask Spread %14.759.1219.7416.3510.55
Gamma HHI0.330.250.430.350.31
Net GEX192.0K-275.4K917.6K594.2K358.9K
Net DEX2.8M-6.1M9.4M3.3M-6.1M
Net VEX-88.5K-108.2K-72.5K-78.0K-108.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.086.870.650.57
Total Volume992.12043,579509326
Total OI17,247.4512,74119,99217,64617,426

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$58.56$60.0023.5%6.7%36.3%20.3%24.4%0.5%1.9%594.2K3.3M-78.0K0.6516.35N/AN/A30920013,3244,322
2013-03-04$58.38$60.0025.2%7.4%36.3%24.3%26.5%3.0%4.6%601.6K4.2M-75.4K0.0819.68N/AN/A1,1899513,5224,457
2013-03-05$59.62$60.0022.8%7.1%37.3%18.6%25.5%2.5%4.5%917.6K178.0K-79.5K0.9814.60N/AN/A26425813,6454,491
2013-03-06$59.30$60.0022.4%7.1%36.8%17.4%24.6%2.9%4.6%836.7K2.0M-79.3K0.4812.32N/AN/A26212613,8024,646
2013-03-07$57.44$60.0028.0%8.3%37.8%31.2%28.9%2.6%3.0%389.0K7.1M-72.5K0.6810.79N/AN/A2,1291,45013,8094,646
2013-03-08$59.03$60.0023.9%7.4%30.6%21.2%26.5%2.1%3.9%32.1K5.3M-80.8K0.329.12N/AN/A42413512,6925,322
2013-03-11$59.06$60.0025.5%7.1%29.9%25.1%25.6%2.3%4.5%46.4K5.6M-78.2K1.0418.27N/AN/A10911312,7225,350
2013-03-12$58.88$60.0026.3%7.0%29.8%27.2%27.0%2.8%4.6%6.1K6.7M-75.5K0.2116.67N/AN/A76816412,7835,406
2013-03-13$58.35$60.0023.9%7.2%29.7%21.2%27.0%2.3%4.4%3.2K6.9M-81.2K2.1212.34N/AN/A5551,17813,3405,513
2013-03-14$58.51$60.0024.9%7.1%29.6%23.7%25.7%2.9%4.5%-166.4K6.7M-88.8K0.6819.74N/AN/A16611313,6146,378
2013-03-15$57.73$60.0025.2%7.2%29.6%24.3%27.1%2.8%4.2%-186.6K9.4M-83.9K0.2418.42N/AN/A1,25230313,5976,358
2013-03-18$56.93$60.0027.9%8.0%29.5%31.0%25.9%3.6%5.0%-275.4K4.3M-81.3K0.4312.70N/AN/A3891687,7484,993
2013-03-19$56.28$60.0027.8%8.0%28.7%20.5%27.6%2.7%6.8%-262.6K5.2M-83.9K0.1712.59N/AN/A2,9644988,0505,070
2013-03-20$57.60$60.0026.3%7.5%29.8%16.3%27.1%1.5%6.9%180.1K-1.6M-104.5K0.8115.11N/AN/A30124310,3935,304
2013-03-21$57.23$60.0027.2%7.8%29.7%18.9%26.5%2.1%6.8%134.4K-614.3K-104.6K0.2117.06N/AN/A65713710,4655,322
2013-03-22$57.13$60.0027.3%7.8%27.6%19.0%26.4%2.8%6.6%197.7K-1.1M-107.6K1.3616.06N/AN/A14519711,0105,380
2013-03-25$56.80$60.0027.6%7.9%27.6%20.0%27.6%2.9%6.6%135.7K162.3K-102.0K0.5316.87N/AN/A1337111,1005,427
2013-03-26$56.94$60.0026.3%7.5%24.7%16.3%25.8%1.9%8.0%125.4K-555.8K-102.4K0.2315.51N/AN/A3949011,1995,485
2013-03-27$57.25$60.0025.5%7.3%21.8%14.1%25.3%1.0%8.9%171.6K-1.7M-103.4K6.8710.28N/AN/A1991,36811,3045,534
2013-03-28$58.51$60.0023.2%6.7%23.2%7.6%23.8%0.4%9.4%358.9K-6.1M-108.2K0.5710.55N/AN/A20811811,4415,985