TDC Options History — September 2013

In September 2013, TDC traded between $55.44 and $60.73. ATM implied volatility averaged 28.9%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.1% (HV 20d: 24.8%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.20.

Notable Days

  • 2013-09-20: Highest Volume — 1,843 contracts
  • 2013-09-12: Largest IV spike — 11.1% change
  • 2013-09-06: Highest IV Rank — 27.5%
  • 2013-09-30: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.47$55.44$60.73$58.70$55.44
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV28.9%26.7%31.6%30.0%30.8%
Expected Move9.6%8.1%10.6%8.6%10.6%
HV 20d24.8%23.1%26.6%25.1%24.2%
HV 60d32.7%30.4%34.8%34.6%30.9%
IV Rank19.4%13.0%27.5%22.7%25.3%
IV Percentile31.3%12.7%63.1%46.4%54.8%
Term Structure4.8%2.2%7.6%2.2%5.5%
VWIV33.1%28.9%38.6%30.3%38.6%
Skew 25d1.1%-1.2%2.5%1.8%-1.0%
Skew 10d1.8%-7.3%9.8%-2.1%-2.5%
Call IV 25d29.7%27.4%32.8%30.7%32.8%
Put IV 25d30.9%29.1%33.3%32.5%31.8%
Bid-Ask Spread %39.0412.1882.1482.1413.44
Gamma HHI0.250.170.430.180.28
Net GEX320.2K-83.7K786.3K292.4K36.1K
Net DEX-8.7M-25.4M5.8M-9.0M5.8M
Net VEX-161.9K-175.4K-141.2K-174.0K-141.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.076.180.910.16
Total Volume685.71431,8431431,024
Total OI21,586.7520,19323,67920,19322,182

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$58.70$60.0030.0%8.6%25.1%22.7%30.3%1.8%2.2%292.4K-9.0M-174.0K0.9182.14N/AN/A756811,3398,854
2013-09-04$58.80$60.0028.8%8.2%24.3%19.1%30.1%-0.1%2.4%273.3K-9.1M-170.8K0.8676.23N/AN/A33428711,3518,896
2013-09-05$57.51$60.0028.9%8.3%25.1%19.5%30.3%1.6%2.8%154.7K-3.9M-166.4K0.4272.60N/AN/A1034311,4359,158
2013-09-06$56.92$60.0031.6%9.2%24.5%27.5%31.8%1.5%2.9%129.2K-766.7K-163.6K0.6848.78N/AN/A22815511,4509,178
2013-09-09$57.03$60.0031.2%9.2%24.6%26.4%31.8%1.3%3.0%131.2K-1.3M-158.5K0.7357.26N/AN/A22216211,6039,229
2013-09-10$58.03$60.0027.9%8.5%25.6%16.5%29.7%1.9%4.1%150.3K-4.8M-164.9K0.0761.43N/AN/A1,1068211,6949,362
2013-09-11$58.84$60.0026.7%8.3%26.0%13.0%29.8%1.8%4.4%353.0K-10.2M-168.7K1.8154.80N/AN/A19735612,4849,344
2013-09-12$59.57$60.0029.7%8.5%26.6%21.9%29.9%1.3%3.9%362.0K-14.0M-175.4K0.3955.84N/AN/A1285012,5369,622
2013-09-13$59.31$60.0028.2%8.1%23.6%17.3%28.9%2.5%5.2%332.5K-12.1M-170.4K1.3757.30N/AN/A22330512,5809,575
2013-09-16$59.71$0.0028.5%10.5%23.8%18.2%35.6%1.1%5.1%346.1K-14.3M-168.0K1.6748.01N/AN/A12621112,7389,678
2013-09-17$59.49$60.0027.8%10.4%23.1%16.3%0.0%2.5%5.1%247.6K-12.7M-166.0K1.0627.08N/AN/A13914812,7559,767
2013-09-18$60.48$60.0027.9%10.2%23.7%16.5%34.8%1.8%4.1%258.7K-17.1M-166.1K6.1832.02N/AN/A13684012,7829,886
2013-09-19$59.08$60.0027.9%10.5%23.5%16.6%38.4%1.7%4.5%-83.7K-8.2M-160.2K0.1114.74N/AN/A1,26013512,62010,160
2013-09-20$60.73$60.0028.3%10.4%25.3%17.9%38.6%1.7%4.0%768.8K-25.4M-160.7K0.2012.18N/AN/A1,53430913,45710,222
2013-09-23$59.88$60.0028.2%10.5%25.3%17.3%0.0%1.3%7.3%786.3K-16.1M-155.4K1.3314.22N/AN/A24933111,6388,864
2013-09-24$58.44$60.0028.5%10.3%26.6%18.4%37.8%1.0%7.1%633.5K-9.4M-152.4K1.3514.26N/AN/A25834811,8068,985
2013-09-25$58.05$60.0028.2%10.4%24.4%17.3%0.0%-0.2%7.3%581.8K-8.0M-152.2K0.3413.15N/AN/A1344511,8949,212
2013-09-26$56.90$60.0028.6%10.4%25.3%18.6%38.6%-1.2%7.6%444.0K-3.7M-151.1K3.9812.73N/AN/A3501,39211,9739,244
2013-09-27$56.51$60.0029.5%10.5%24.5%21.4%0.0%0.6%7.0%206.7K69.8K-152.5K0.3712.65N/AN/A45316812,09010,092
2013-09-30$55.44$60.0030.8%10.6%24.2%25.3%0.0%-1.0%5.5%36.1K5.8M-141.2K0.1613.44N/AN/A88414012,09010,092