TDC Options History — June 2013

In June 2013, TDC traded between $48.34 and $57.33. ATM implied volatility averaged 32.8%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.2% (HV 20d: 34.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2013-06-25: Highest Volume — 6,336 contracts
  • 2013-06-27: Largest IV drop — 10.3% change
  • 2013-06-25: Highest IV Rank — 45.7%
  • 2013-06-25: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.94$48.34$57.33$55.60$50.23
Max Pain$54.25$50.00$55.00$55.00$50.00
ATM IV32.8%30.0%37.4%32.2%33.0%
Expected Move9.4%8.7%10.7%9.2%9.5%
HV 20d34.0%28.7%39.1%36.4%35.8%
HV 60d37.4%36.2%40.1%36.6%37.0%
IV Rank32.2%24.1%45.7%30.4%32.9%
IV Percentile66.5%50.8%78.2%65.1%66.7%
Term Structure2.1%0.5%5.8%0.5%4.7%
VWIV33.4%30.6%37.7%32.2%33.9%
Skew 25d1.9%-1.4%3.8%3.8%0.9%
Skew 10d2.2%-12.1%10.3%10.3%0.3%
Call IV 25d32.9%30.2%39.3%31.5%34.7%
Put IV 25d34.8%32.3%37.9%35.3%35.6%
Bid-Ask Spread %54.6829.8672.6031.1954.29
Gamma HHI0.320.210.490.310.23
Net GEX1.2M-191.0K2.1M1.2M651.7K
Net DEX-12.7M-28.5M12.0M-17.2M-1.7M
Net VEX-187.2K-205.1K-145.1K-200.5K-197.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.034.000.460.41
Total Volume1,453.151126,336432529
Total OI24,430.5520,57929,56122,98429,172

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$55.60$55.0032.2%9.2%36.4%30.4%32.2%3.8%0.5%1.2M-17.2M-200.5K0.4631.19N/AN/A29513713,6909,294
2013-06-04$55.18$55.0030.9%8.9%35.8%26.8%31.5%2.0%0.7%1.2M-15.1M-196.9K0.0740.75N/AN/A4723313,6559,315
2013-06-05$54.79$55.0031.1%8.9%36.0%27.4%31.1%0.8%0.5%1.1M-13.4M-199.5K0.3357.20N/AN/A842814,0749,317
2013-06-06$55.21$55.0031.1%8.9%33.5%27.4%31.0%2.7%0.9%1.2M-15.7M-200.3K4.0054.19N/AN/A5321214,0629,323
2013-06-07$56.90$55.0030.0%9.1%34.5%24.1%30.9%2.2%2.5%1.5M-24.9M-198.9K0.0562.66N/AN/A6883514,0699,366
2013-06-10$57.33$55.0031.5%9.2%34.6%28.6%31.8%1.8%1.4%1.6M-28.5M-195.7K0.1863.93N/AN/A1713114,4159,413
2013-06-11$56.53$55.0033.0%9.6%33.6%33.0%33.4%2.1%0.9%1.5M-24.3M-196.0K0.2268.53N/AN/A49310814,4319,416
2013-06-12$55.86$55.0032.9%9.6%33.8%32.6%34.4%2.9%0.9%1.6M-21.5M-197.5K1.3071.80N/AN/A9712614,8559,465
2013-06-13$56.93$55.0033.5%9.6%34.1%34.4%34.5%2.8%1.4%1.7M-27.8M-196.2K0.9972.60N/AN/A34233714,8299,530
2013-06-14$56.08$55.0033.5%9.6%31.2%34.3%36.4%3.0%1.1%1.7M-22.8M-193.8K2.6172.56N/AN/A4110714,8389,711
2013-06-17$55.46$55.0033.3%9.5%31.0%33.7%33.4%3.5%2.1%1.8M-18.5M-187.7K0.2055.45N/AN/A3597214,8449,778
2013-06-18$55.34$55.0031.7%9.1%30.7%29.2%31.7%2.9%2.5%2.0M-18.4M-187.0K0.0358.64N/AN/A4791615,1519,796
2013-06-19$55.30$55.0030.5%8.7%28.7%25.6%30.6%2.6%3.7%2.1M-17.3M-181.1K1.1858.58N/AN/A47656414,8219,805
2013-06-20$52.92$55.0032.3%9.3%30.0%30.8%33.0%1.5%3.0%649.4K1.1M-168.5K0.3555.36N/AN/A46916314,35610,087
2013-06-21$50.70$55.0033.6%9.6%32.5%34.6%33.9%2.4%1.3%-191.0K9.0M-156.7K1.0531.73N/AN/A1,8991,99314,32310,087
2013-06-24$48.34$55.0034.5%9.9%36.0%37.2%36.4%-0.8%4.6%-166.1K12.0M-145.1K0.6529.86N/AN/A1,33487111,2559,324
2013-06-25$48.50$55.0037.4%10.7%36.1%45.7%37.7%-1.4%1.1%-89.5K10.6M-151.0K0.0446.26N/AN/A6,08125512,1519,720
2013-06-26$50.40$50.0036.3%10.4%39.1%42.6%37.4%0.1%2.8%1.0M-8.3M-189.6K0.5553.54N/AN/A3,2641,80817,3879,925
2013-06-27$51.11$50.0032.6%9.3%36.2%31.7%32.7%1.7%5.8%1.1M-11.4M-205.1K0.1654.51N/AN/A3,92261918,53111,030
2013-06-28$50.23$50.0033.0%9.5%35.8%32.9%33.9%0.9%4.7%651.7K-1.7M-197.3K0.4154.29N/AN/A37415517,58511,587