TDC Options History — July 2013

In July 2013, TDC traded between $50.02 and $59.59. ATM implied volatility averaged 37.7%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 0.7% (HV 20d: 37.1%). 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 3 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2013-07-11: Highest Volume — 4,415 contracts
  • 2013-07-11: Largest IV spike — 20.4% change
  • 2013-07-29: Highest IV Rank — 66.0%
  • 2013-07-29: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.83$50.02$59.59$50.64$59.12
Max Pain$52.05$50.00$55.00$50.00$55.00
ATM IV37.7%31.0%44.3%33.6%42.8%
Expected Move11.1%9.1%12.7%9.6%12.3%
HV 20d37.1%31.0%43.8%36.1%31.0%
HV 60d36.5%34.9%37.9%36.6%34.9%
IV Rank46.7%27.0%66.0%34.5%61.4%
IV Percentile76.4%56.0%91.3%69.0%88.1%
Term Structure-4.0%-9.3%5.6%4.7%-7.8%
VWIV39.0%31.9%45.6%34.1%43.4%
Skew 25d2.0%0.5%3.2%2.4%2.3%
Skew 10d6.1%1.3%13.4%9.2%1.6%
Call IV 25d38.5%32.6%44.1%34.4%42.2%
Put IV 25d40.5%33.6%45.9%36.8%44.4%
Bid-Ask Spread %58.0828.3574.5554.9228.35
Gamma HHI0.310.230.600.230.27
Net GEX1.0M659.3K2.8M697.5K898.2K
Net DEX-27.4M-57.6M-494.0K-3.8M-28.2M
Net VEX-192.0K-200.1K-182.3K-195.0K-196.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.064.810.220.87
Total Volume1,174.3181764,4156831,892
Total OI28,097.22721,40433,80829,28524,027

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$50.64$50.0033.6%9.6%36.1%34.5%34.1%2.4%4.7%697.5K-3.8M-195.0K0.2254.92N/AN/A56212117,64211,643
2013-07-02$50.02$50.0032.1%9.2%36.2%30.4%33.1%1.5%5.5%659.3K-494.0K-193.5K0.2661.18N/AN/A62516218,08211,669
2013-07-03$51.39$50.0031.6%9.1%37.9%28.7%31.9%1.0%5.6%913.0K-9.6M-200.1K0.8474.55N/AN/A1068918,36011,760
2013-07-05$51.69$50.0031.0%10.7%37.9%27.0%36.8%2.3%-1.9%974.2K-11.4M-195.6K0.0660.05N/AN/A1661018,40911,801
2013-07-08$51.35$50.0031.6%11.0%35.8%28.8%37.2%3.2%-3.2%941.7K-9.2M-190.2K0.2653.43N/AN/A2115518,39211,794
2013-07-09$51.76$50.0031.7%10.9%35.8%29.0%37.7%2.0%-3.1%1.0M-12.5M-187.3K1.4147.42N/AN/A25636118,54811,788
2013-07-10$52.80$50.0031.3%10.6%36.7%27.8%37.3%2.1%-4.0%1.2M-19.5M-189.8K0.2346.58N/AN/A71416618,64911,847
2013-07-11$56.17$50.0037.6%10.8%43.2%46.3%37.3%1.9%-3.1%1.4M-42.9M-190.2K2.2349.94N/AN/A1,3663,04918,55611,812
2013-07-12$55.91$50.0038.5%11.0%42.6%48.9%37.9%2.7%-4.2%846.3K-38.1M-196.1K0.6449.20N/AN/A44928818,71013,623
2013-07-15$57.00$50.0039.9%11.5%42.9%53.2%39.7%2.6%-5.0%1.1M-47.6M-187.6K0.2045.77N/AN/A80315719,04313,606
2013-07-16$57.32$50.0038.9%11.2%42.7%50.2%39.2%1.2%-4.6%1.0M-45.7M-182.3K0.2957.69N/AN/A3,00587018,24513,665
2013-07-17$57.49$50.0039.4%11.3%42.6%51.5%39.4%2.5%-4.9%1.4M-49.9M-190.2K0.7263.72N/AN/A26519020,19313,615
2013-07-18$59.25$50.0039.7%11.4%43.8%52.5%39.7%1.2%-5.7%2.8M-57.6M-184.3K1.0365.22N/AN/A1,7171,76319,54713,100
2013-07-19$58.08$55.0038.9%11.1%41.1%50.0%39.1%0.5%-5.9%1.0M-47.0M-194.9K1.0562.22N/AN/A26527919,45314,286
2013-07-22$58.07$55.0039.0%11.2%37.1%50.5%39.4%2.6%-5.7%806.1K-24.5M-191.3K0.3664.44N/AN/A1645912,4878,917
2013-07-23$57.36$55.0040.5%11.6%32.0%54.7%39.6%2.1%-5.9%777.1K-21.8M-190.2K2.2368.65N/AN/A13129212,6158,939
2013-07-24$57.71$55.0040.9%11.7%32.0%56.1%41.2%1.7%-7.1%788.0K-23.5M-189.9K0.4064.26N/AN/A2389612,6689,069
2013-07-25$59.59$55.0041.2%11.8%31.3%56.8%41.3%2.2%-6.9%885.9K-31.6M-191.6K1.3861.62N/AN/A1,1871,63512,8199,147
2013-07-26$58.25$55.0041.3%11.9%33.0%57.3%42.9%2.5%-6.6%806.8K-23.6M-198.1K0.9266.66N/AN/A40537313,3529,744
2013-07-29$58.56$55.0044.3%12.7%31.8%66.0%44.4%2.5%-9.1%902.8K-26.4M-195.1K0.5267.75N/AN/A24612913,5849,591
2013-07-30$58.73$55.0044.1%12.7%31.9%65.4%45.6%1.7%-9.3%938.4K-26.8M-195.6K4.8164.11N/AN/A15876013,6509,692
2013-07-31$59.12$55.0042.8%12.3%31.0%61.4%43.4%2.3%-7.8%898.2K-28.2M-196.1K0.8728.35N/AN/A1,01188113,74910,278