TDC Options History — August 2013

In August 2013, TDC traded between $58.56 and $64.77. ATM implied volatility averaged 28.5%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 5.4% (HV 20d: 33.9%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2013-08-01: Highest Volume — 5,970 contracts
  • 2013-08-15: Largest IV spike — 25.6% change
  • 2013-08-15: Highest IV Rank — 25.6%
  • 2013-08-15: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.85$58.56$64.77$63.17$58.56
Max Pain$59.55$55.00$60.00$55.00$60.00
ATM IV28.5%24.3%30.5%30.1%29.1%
Expected Move8.4%7.8%8.7%8.6%8.3%
HV 20d33.9%25.8%38.4%36.7%26.6%
HV 60d35.6%34.2%37.3%37.3%35.1%
IV Rank19.2%7.4%25.6%24.5%20.1%
IV Percentile29.5%3.2%52.0%48.4%34.5%
Term Structure1.7%-1.2%2.8%-1.2%2.5%
VWIV29.4%27.4%30.8%27.5%29.7%
Skew 25d2.1%0.3%4.1%4.1%1.8%
Skew 10d4.4%-5.0%13.7%4.4%-3.0%
Call IV 25d28.8%26.5%30.3%26.5%29.6%
Put IV 25d30.9%28.9%31.9%30.7%31.4%
Bid-Ask Spread %70.1050.2881.7256.6881.72
Gamma HHI0.250.170.440.310.18
Net GEX811.7K282.1K1.5M1.3M282.1K
Net DEX-32.7M-57.7M-8.7M-51.5M-8.7M
Net VEX-194.1K-212.4K-177.0K-181.7K-177.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.147.401.431.61
Total Volume853.136805,9705,970284
Total OI24,298.27319,52228,74624,75720,105

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$63.17$55.0030.1%8.6%36.7%24.5%27.5%4.1%-1.2%1.3M-51.5M-181.7K1.4356.68N/AN/A2,4543,51614,00610,751
2013-08-02$63.37$55.0027.3%7.8%36.8%16.2%27.4%0.7%1.3%1.2M-48.9M-209.7K0.6150.28N/AN/A59836415,17712,820
2013-08-05$64.70$60.0028.9%8.4%36.4%21.0%30.0%2.3%0.8%1.2M-57.0M-206.1K0.8262.83N/AN/A54144115,56212,953
2013-08-06$63.26$60.0027.9%8.3%38.4%18.0%29.6%2.1%1.4%1.2M-47.7M-212.4K0.7667.42N/AN/A48536915,60813,042
2013-08-07$63.16$60.0028.6%8.3%38.4%20.0%28.7%2.4%1.5%1.2M-46.5M-211.5K3.6367.15N/AN/A5720715,66913,077
2013-08-08$63.84$60.0028.1%8.3%33.0%18.4%30.2%2.3%1.4%1.3M-52.1M-207.0K0.1463.72N/AN/A2,28930915,68213,008
2013-08-09$63.76$60.0026.8%8.4%32.8%14.7%29.6%2.6%1.5%1.2M-49.3M-206.7K0.9670.69N/AN/A16115415,25712,998
2013-08-12$64.13$60.0028.7%8.5%32.5%20.4%30.2%2.0%1.9%1.3M-52.6M-199.0K0.7567.80N/AN/A43732915,38313,023
2013-08-13$64.77$60.0025.5%8.2%32.5%11.0%28.6%2.0%2.0%1.5M-57.7M-190.1K0.1974.30N/AN/A4969215,43113,049
2013-08-14$64.17$60.0024.3%8.2%33.0%7.4%28.5%2.7%2.1%1.5M-48.7M-192.2K0.4076.56N/AN/A893614,84413,086
2013-08-15$61.86$60.0030.5%8.7%34.8%25.6%29.6%2.4%1.3%673.7K-33.7M-195.0K0.3275.24N/AN/A73923714,04812,923
2013-08-16$61.69$60.0029.9%8.6%33.9%23.8%30.6%2.3%1.8%507.1K-35.4M-194.2K1.0071.85N/AN/A21621514,32513,054
2013-08-19$60.60$60.0030.2%8.7%34.7%24.7%30.8%3.0%1.5%354.0K-15.4M-190.6K0.4373.21N/AN/A43218610,4779,045
2013-08-20$61.00$60.0029.7%8.5%34.3%21.9%30.0%2.7%1.9%408.8K-17.4M-197.5K1.0774.24N/AN/A849010,8859,119
2013-08-21$59.50$60.0029.4%8.4%35.7%20.9%29.9%2.7%1.5%337.4K-12.6M-192.0K2.8974.44N/AN/A17149510,9149,107
2013-08-22$60.15$60.0028.9%8.3%34.0%19.4%29.0%2.8%2.0%362.2K-14.3M-195.1K7.4077.15N/AN/A7354011,0089,303
2013-08-23$60.94$60.0027.8%8.0%33.1%16.2%27.8%2.3%2.8%446.9K-18.0M-188.8K0.7967.90N/AN/A30724311,0298,871
2013-08-26$60.52$60.0028.4%8.1%33.3%18.0%28.3%1.7%2.1%446.8K-16.9M-183.3K2.8179.57N/AN/A215911,1328,790
2013-08-27$58.70$60.0029.7%8.5%35.2%21.9%30.5%0.7%2.2%296.0K-9.6M-181.0K2.5766.49N/AN/A16442211,1318,830
2013-08-28$58.92$60.0028.7%8.2%35.1%19.0%29.1%0.8%2.6%306.0K-10.4M-178.4K0.8463.93N/AN/A978111,2128,798
2013-08-29$59.87$60.0028.9%8.3%25.8%19.5%30.2%0.3%2.8%382.7K-14.1M-181.6K0.3779.13N/AN/A1385111,2338,797
2013-08-30$58.56$60.0029.1%8.3%26.6%20.1%29.7%1.8%2.5%282.1K-8.7M-177.0K1.6181.72N/AN/A10917511,2918,814