TDC Options History — April 2013

In April 2013, TDC traded between $49.41 and $57.16. ATM implied volatility averaged 37.8%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 0.2% (HV 20d: 38.0%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2013-04-04: Highest Volume — 21,037 contracts
  • 2013-04-04: Largest IV spike — 52.2% change
  • 2013-04-29: Highest IV Rank — 78.4%
  • 2013-04-29: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.06$49.41$57.16$57.02$51.07
Max Pain$55.00$50.00$60.00$60.00$50.00
ATM IV37.8%26.0%48.6%26.6%48.3%
Expected Move11.2%7.5%13.9%7.6%13.8%
HV 20d38.0%24.1%43.6%24.7%43.0%
HV 60d33.9%29.0%35.9%29.3%35.1%
IV Rank47.4%14.5%78.4%17.1%77.4%
IV Percentile69.4%11.5%96.8%16.3%96.4%
Term Structure-4.4%-11.0%8.7%8.5%-10.2%
VWIV39.4%24.5%47.8%25.5%47.8%
Skew 25d3.3%-3.4%6.8%0.5%6.7%
Skew 10d5.1%-8.6%11.5%-8.6%10.1%
Call IV 25d38.5%24.2%46.2%25.8%45.1%
Put IV 25d41.8%23.1%51.8%26.3%51.8%
Bid-Ask Spread %44.699.1066.329.1057.43
Gamma HHI0.330.230.780.350.23
Net GEX-124.2K-4.6M803.8K15.0K305.0K
Net DEX6.3M-11.2M26.7M-560.1K5.6M
Net VEX-151.9K-193.5K-82.7K-100.5K-159.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.085.921.760.76
Total Volume2,724.90924021,0371,6041,047
Total OI26,723.81817,56534,09617,56523,974

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$57.02$60.0026.6%7.6%24.7%17.1%25.5%0.5%8.5%15.0K-560.1K-100.5K1.769.10N/AN/A5821,02211,5436,022
2013-04-02$57.16$60.0026.0%7.5%24.7%15.4%24.5%1.8%8.5%-28.4K-793.1K-106.0K0.2412.87N/AN/A1934711,9626,665
2013-04-03$56.07$60.0026.1%7.5%24.1%15.6%26.4%-3.4%8.7%-281.0K3.8M-101.6K0.2112.59N/AN/A47910211,9856,710
2013-04-04$51.89$60.0039.7%11.4%35.8%54.1%38.5%2.5%4.2%-315.1K16.3M-82.7K0.6818.70N/AN/A12,4888,54911,8316,790
2013-04-05$53.35$55.0031.5%10.8%36.5%29.8%38.2%1.9%-5.0%88.0K5.2M-158.6K0.9515.28N/AN/A3,2413,06718,69411,340
2013-04-08$53.30$55.0029.9%10.5%34.6%24.4%37.0%3.4%-5.2%-153.0K10.1M-186.9K0.6018.36N/AN/A1,9511,16418,74013,640
2013-04-09$54.02$55.0029.6%10.6%35.2%23.1%37.6%2.3%-4.8%-144.4K6.3M-188.5K2.9217.21N/AN/A30288318,29114,089
2013-04-10$56.26$55.0026.7%10.5%38.7%14.5%37.1%2.1%-4.9%516.3K-11.2M-193.5K0.5953.81N/AN/A1,8551,08718,56914,305
2013-04-11$55.41$55.0037.7%10.8%38.9%46.6%40.2%2.4%-5.3%230.7K-4.8M-192.5K0.7044.21N/AN/A81957718,70514,396
2013-04-12$55.20$55.0037.8%10.8%38.8%46.9%39.3%1.9%-5.3%337.5K-3.8M-188.2K0.8258.78N/AN/A55745519,03914,154
2013-04-15$53.88$55.0039.1%11.2%39.4%50.6%41.7%2.2%-6.7%266.3K7.4M-176.7K0.3559.56N/AN/A67423419,38114,259
2013-04-16$54.93$55.0038.1%10.9%40.0%47.8%39.1%2.0%-5.7%803.8K-2.6M-180.5K0.4260.24N/AN/A34014319,65914,320
2013-04-17$52.71$55.0040.6%11.7%42.3%55.2%42.8%3.9%-7.2%-109.9K15.4M-168.2K0.2659.05N/AN/A1,96350419,77014,326
2013-04-18$51.54$55.0043.9%12.6%41.6%64.6%43.0%4.4%-8.8%-825.0K22.5M-149.9K2.1159.33N/AN/A29862818,53014,095
2013-04-19$50.35$55.0044.4%12.7%42.0%66.3%44.4%4.9%-9.5%-4.6M26.7M-139.6K5.1566.32N/AN/A2581,32818,52214,274
2013-04-22$49.85$55.0042.8%12.3%42.0%61.4%41.9%6.8%-6.4%-72.3K12.4M-130.4K0.3158.42N/AN/A1,31841111,9118,037
2013-04-23$49.41$55.0041.6%11.9%42.0%58.1%42.6%5.9%-6.4%-63.4K13.0M-130.2K0.6358.21N/AN/A74146512,5108,068
2013-04-24$49.86$55.0045.2%13.0%42.3%68.6%45.3%5.3%-8.8%95.3K9.6M-139.8K0.0862.77N/AN/A1,56513012,7758,120
2013-04-25$50.43$50.0042.8%12.3%42.6%61.6%42.0%5.3%-7.7%248.6K6.6M-143.9K0.7458.19N/AN/A1,3691,01313,6888,186
2013-04-26$52.09$50.0043.8%12.6%43.6%64.4%43.8%4.5%-7.7%520.1K-367.5K-161.6K0.5859.93N/AN/A1,26073614,0228,625
2013-04-29$51.57$50.0048.6%13.9%43.0%78.4%47.4%5.4%-11.0%440.1K2.1M-161.2K5.9262.91N/AN/A5933,51014,5198,883
2013-04-30$51.07$50.0048.3%13.8%43.0%77.4%47.8%6.7%-10.2%305.0K5.6M-159.8K0.7657.43N/AN/A59445314,6139,361