TDC Options History — November 2013

In November 2013, TDC traded between $42.63 and $45.70. ATM implied volatility averaged 27.1%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 17.5% (HV 20d: 44.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2013-11-07: Highest Volume — 12,722 contracts
  • 2013-11-11: Largest IV spike — 11.4% change
  • 2013-11-11: Highest IV Rank — 30.7%
  • 2013-11-07: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.58$42.63$45.70$44.00$45.64
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV27.1%23.2%32.7%26.3%23.2%
Expected Move10.1%9.7%10.5%10.1%9.8%
HV 20d44.6%15.6%79.6%78.9%15.6%
HV 60d48.8%48.3%49.2%49.0%48.3%
IV Rank14.0%2.4%30.7%11.8%2.5%
IV Percentile21.2%0.8%68.7%8.7%1.2%
Term Structure2.6%-0.1%4.7%1.2%4.7%
VWIV35.6%33.3%37.4%33.4%36.8%
Skew 25d-0.2%-2.2%1.0%1.0%-0.2%
Skew 10d-1.2%-5.2%1.9%-2.3%-2.4%
Call IV 25d27.9%23.1%31.9%29.8%24.0%
Put IV 25d27.7%23.8%31.3%30.8%23.8%
Bid-Ask Spread %14.188.7226.2513.0210.77
Gamma HHI0.260.200.330.200.25
Net GEX1.2M-384.4K2.6M-209.0K2.4M
Net DEX-2.3M-20.0M23.5M17.0M-9.1M
Net VEX-257.1K-289.7K-171.7K-180.5K-283.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.068.540.380.32
Total Volume2,656.4522912,722714229
Total OI47,305.0535,78153,33835,78152,530

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$44.00$40.0026.3%10.1%78.9%11.8%33.4%1.0%1.2%-209.0K17.0M-180.5K0.3813.02N/AN/A51919518,70317,078
2013-11-04$43.01$40.0029.2%10.0%79.0%20.3%36.8%0.4%-0.1%-301.9K21.4M-171.7K1.1014.15N/AN/A80488218,86616,917
2013-11-05$42.63$40.0028.3%10.0%79.0%17.7%33.3%0.6%0.8%-384.4K23.5M-173.6K0.3817.75N/AN/A2,10280319,11017,306
2013-11-06$42.98$40.0028.2%10.1%79.2%17.4%35.4%0.3%1.4%-174.7K19.0M-185.5K0.2613.98N/AN/A3,9761,02320,81417,525
2013-11-07$43.41$40.0030.4%10.5%79.4%24.0%37.2%-0.6%2.2%289.8K8.5M-238.6K0.1011.81N/AN/A11,5251,19724,44418,073
2013-11-08$43.50$40.0029.3%9.9%79.4%20.8%33.9%-0.5%2.9%982.5K970.0K-285.0K0.7026.25N/AN/A67847633,44518,592
2013-11-11$43.79$40.0032.7%10.4%79.6%30.7%0.0%-0.7%1.5%1.2M-1.3M-284.3K0.9413.82N/AN/A78073733,81218,852
2013-11-12$43.93$40.0030.8%10.4%32.7%25.3%0.0%-0.9%2.2%1.2M-2.3M-285.3K0.299.61N/AN/A1,32538534,06119,067
2013-11-13$44.95$40.0028.3%10.4%30.8%17.6%36.1%-1.1%2.8%1.4M-10.2M-289.7K0.0610.06N/AN/A2,28614433,99119,347
2013-11-14$44.80$40.0028.9%10.3%29.9%19.4%0.0%-2.2%2.7%1.3M-10.1M-277.9K1.2718.47N/AN/A8911,13132,39518,560
2013-11-15$45.59$40.0027.8%10.4%30.4%16.3%35.2%-0.4%3.1%1.3M-20.0M-280.6K1.7914.11N/AN/A1,9253,45532,70119,379
2013-11-18$45.45$40.0027.4%10.2%29.9%14.9%37.4%-0.8%2.3%1.4M-11.5M-278.0K0.328.72N/AN/A1,06034428,88916,589
2013-11-19$45.22$40.0025.9%10.1%29.8%10.7%35.9%-1.1%2.9%1.4M-8.3M-269.8K0.3413.26N/AN/A1,70357328,97816,782
2013-11-20$45.40$40.0025.2%9.8%29.4%8.5%0.0%0.4%2.6%1.6M-8.0M-268.1K0.3020.32N/AN/A1,76653129,74216,954
2013-11-21$45.70$40.0024.2%9.9%24.6%5.4%0.0%-0.1%3.7%2.0M-13.6M-279.9K0.1716.75N/AN/A4,81281130,79517,275
2013-11-22$45.29$40.0023.8%9.9%23.4%4.1%0.0%-0.2%4.2%2.6M-12.3M-288.8K0.8310.13N/AN/A47239034,42317,564
2013-11-25$45.22$40.0024.1%9.8%20.5%5.2%0.0%0.8%3.7%2.2M-8.5M-268.4K0.8015.60N/AN/A25420432,70117,515
2013-11-26$45.38$40.0023.9%9.7%20.3%4.5%0.0%0.3%3.7%2.3M-10.3M-267.2K8.5410.05N/AN/A1831,56332,69017,694
2013-11-27$45.68$40.0023.2%9.8%19.5%2.4%0.0%0.8%4.3%2.4M-10.1M-284.6K0.6414.96N/AN/A60838732,80219,140
2013-11-29$45.64$40.0023.2%9.8%15.6%2.5%36.8%-0.2%4.7%2.4M-9.1M-283.7K0.3210.77N/AN/A1735633,18819,342