TDC Options History — May 2013

In May 2013, TDC traded between $50.65 and $58.24. ATM implied volatility averaged 31.1%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 7.1% (HV 20d: 38.2%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2013-05-03: Highest Volume — 9,963 contracts
  • 2013-05-03: Largest IV drop — 30.8% change
  • 2013-05-01: Highest IV Rank — 78.5%
  • 2013-05-01: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.61$50.65$58.24$51.34$55.75
Max Pain$52.73$50.00$55.00$50.00$55.00
ATM IV31.1%26.7%48.6%48.6%31.4%
Expected Move8.9%8.1%13.9%13.9%9.0%
HV 20d38.2%35.1%42.8%42.8%40.7%
HV 60d35.9%34.1%37.2%35.1%37.2%
IV Rank27.2%14.4%78.5%78.5%28.1%
IV Percentile44.2%13.9%96.8%96.8%61.9%
Term Structure-1.0%-11.5%1.3%-11.5%1.3%
VWIV31.4%28.2%48.8%48.8%31.2%
Skew 25d3.0%1.4%5.1%5.1%2.8%
Skew 10d8.1%4.8%15.4%4.8%10.5%
Call IV 25d30.4%26.4%46.4%46.4%30.7%
Put IV 25d33.4%29.3%51.5%51.5%33.5%
Bid-Ask Spread %41.9811.5673.7272.2234.75
Gamma HHI0.330.240.510.240.30
Net GEX928.9K203.5K1.7M397.8K1.2M
Net DEX-12.4M-38.0M9.2M3.6M-18.5M
Net VEX-188.8K-206.1K-158.0K-164.9K-204.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.051.440.360.31
Total Volume2,032.7273019,963489419
Total OI26,61619,21331,94424,60823,034

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$51.34$50.0048.6%13.9%42.8%78.5%48.8%5.1%-11.5%397.8K3.6M-164.9K0.3672.22N/AN/A36012915,0249,584
2013-05-02$53.06$50.0045.5%13.1%35.1%69.5%46.7%1.4%-9.5%695.4K-4.3M-172.5K0.4673.72N/AN/A4,5842,11615,0309,616
2013-05-03$50.65$50.0031.5%9.0%37.4%28.6%32.1%2.4%-0.7%203.5K9.2M-158.0K1.1411.56N/AN/A4,6495,31418,01610,552
2013-05-06$51.96$50.0030.4%8.9%38.7%25.4%31.1%2.9%-0.3%508.8K1.4M-193.1K0.8530.91N/AN/A1,2091,02718,74912,551
2013-05-07$52.05$50.0030.9%8.8%38.4%26.8%31.3%2.8%-0.6%443.9K1.4M-194.4K1.1712.05N/AN/A25629918,88412,871
2013-05-08$54.08$50.0029.8%8.5%38.0%23.5%30.1%2.0%-0.7%1.3M-12.9M-202.3K0.3423.65N/AN/A1,19340218,86612,864
2013-05-09$55.10$50.0029.3%8.3%38.4%22.0%28.9%2.6%-0.2%1.7M-21.1M-203.2K1.0628.49N/AN/A9711,02619,00812,831
2013-05-10$55.25$50.0026.7%8.2%38.4%14.4%28.2%3.1%-0.2%1.5M-20.6M-202.8K0.4229.06N/AN/A40316818,78612,989
2013-05-13$53.85$50.0028.8%8.3%38.5%20.7%28.9%3.1%0.3%1.1M-9.1M-193.4K0.3525.84N/AN/A31010918,80312,966
2013-05-14$53.47$50.0029.5%8.3%37.9%22.7%30.3%3.3%0.0%980.2K-6.1M-188.8K0.5046.25N/AN/A67233818,85112,995
2013-05-15$54.27$55.0027.0%8.1%35.2%15.4%29.8%3.3%0.4%1.5M-11.9M-190.6K1.4454.21N/AN/A14220418,90013,044
2013-05-16$56.57$55.0028.9%8.3%36.7%21.0%30.2%3.3%-0.1%1.3M-32.9M-181.8K0.4171.05N/AN/A1,01441118,54812,744
2013-05-17$57.34$55.0028.5%8.2%35.3%19.9%28.2%2.9%-0.3%691.2K-38.0M-178.4K0.1457.68N/AN/A1,20917218,59612,681
2013-05-20$56.61$55.0029.1%8.3%35.4%21.4%29.2%3.4%-0.3%666.8K-15.5M-181.3K0.5761.38N/AN/A50428910,3578,856
2013-05-21$58.24$55.0028.8%8.3%35.8%20.6%28.9%2.8%-0.0%688.5K-21.7M-185.0K0.0646.95N/AN/A5,09729610,5739,011
2013-05-22$56.17$55.0030.0%8.6%39.1%24.2%28.3%3.6%-0.5%1.3M-18.6M-206.1K0.0730.02N/AN/A3,86428013,9588,977
2013-05-23$54.90$55.0030.0%8.6%40.3%24.1%28.8%3.7%-0.3%809.3K-10.3M-192.8K0.3147.44N/AN/A99631112,0929,058
2013-05-24$54.40$55.0029.0%8.3%39.2%21.1%29.2%2.8%0.3%694.8K-7.7M-190.9K1.1952.42N/AN/A16519611,8189,192
2013-05-28$54.46$55.0029.0%8.3%38.9%21.3%29.3%1.7%-0.0%736.8K-8.0M-186.1K0.1948.12N/AN/A69813611,8329,259
2013-05-29$54.86$55.0028.9%8.3%38.7%20.8%29.6%2.8%0.5%885.9K-10.2M-189.3K0.5833.59N/AN/A19011112,2349,319
2013-05-30$57.10$55.0031.7%9.1%40.8%29.0%31.0%3.3%0.8%1.1M-21.4M-192.9K0.0532.21N/AN/A2,37410712,3179,316
2013-05-31$55.75$55.0031.4%9.0%40.7%28.1%31.2%2.8%1.3%1.2M-18.5M-204.3K0.3134.75N/AN/A3219813,7389,296