TDC Options History — December 2013

In December 2013, TDC traded between $39.52 and $45.81. ATM implied volatility averaged 30.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 0.7% (HV 20d: 31.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2013-12-20: Highest Volume — 5,669 contracts
  • 2013-12-04: Largest IV spike — 12.1% change
  • 2013-12-16: Highest IV Rank — 36.8%
  • 2013-12-19: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.92$39.52$45.81$45.81$45.49
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV30.6%22.8%34.7%23.9%33.0%
Expected Move10.1%9.9%10.4%9.9%9.9%
HV 20d31.3%13.4%39.5%15.6%39.5%
HV 60d50.2%48.3%51.6%48.3%51.6%
IV Rank24.5%1.4%36.8%4.6%31.6%
IV Percentile49.7%0.4%75.4%3.2%67.1%
Term Structure2.9%1.0%5.2%4.6%2.6%
VWIV35.0%33.4%37.7%33.4%37.7%
Skew 25d-0.0%-2.6%2.6%1.8%0.2%
Skew 10d-1.2%-8.2%3.8%2.0%1.2%
Call IV 25d32.8%23.4%38.1%24.0%36.8%
Put IV 25d32.8%24.0%38.0%25.8%37.0%
Bid-Ask Spread %19.1810.1225.7415.6621.58
Gamma HHI0.250.170.630.250.28
Net GEX828.3K-465.1K4.4M2.5M1.3M
Net DEX12.3M-16.0M42.7M-11.2M-16.0M
Net VEX-262.1K-288.1K-229.7K-275.8K-273.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.234.180.810.76
Total Volume2,347.192105,6691,3434,440
Total OI56,778.71450,80963,65852,42853,534

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$45.81$40.0023.9%9.9%15.6%4.6%0.0%1.8%4.6%2.5M-11.2M-275.8K0.8115.66N/AN/A74260133,09019,338
2013-12-03$45.35$40.0022.8%9.9%13.4%1.4%33.4%0.6%5.2%2.3M-4.8M-281.8K0.2916.33N/AN/A69119733,57019,887
2013-12-04$42.53$40.0025.6%9.9%27.1%9.6%36.1%2.4%4.1%697.0K24.8M-235.8K1.2222.61N/AN/A2,4072,94233,30219,939
2013-12-05$41.60$40.0027.0%10.0%28.0%13.8%33.6%0.0%3.7%306.4K29.4M-245.1K0.8319.52N/AN/A1,6361,36434,33521,397
2013-12-06$41.88$40.0026.2%10.0%27.8%11.5%34.2%0.4%3.9%219.9K30.0M-238.5K0.7423.85N/AN/A72954234,25321,975
2013-12-09$41.97$40.0027.8%10.1%27.8%16.2%0.0%1.0%2.4%147.9K30.4M-233.5K0.2510.12N/AN/A1,09427234,29222,237
2013-12-10$41.15$40.0029.2%10.1%28.4%20.5%35.3%-0.6%3.2%-1.1K32.5M-233.7K0.6220.47N/AN/A1,07166535,10922,414
2013-12-11$40.06$40.0029.3%10.1%29.4%20.5%35.5%-1.2%1.9%-244.8K36.7M-229.7K2.0522.07N/AN/A1,3282,72735,86922,110
2013-12-12$39.52$40.0031.9%10.2%27.7%28.6%35.8%-1.6%3.1%-465.1K42.7M-233.8K4.1825.74N/AN/A4631,93636,89424,141
2013-12-13$40.99$40.0033.2%10.1%31.6%32.2%34.6%-0.2%2.8%-139.5K31.4M-270.3K0.4017.80N/AN/A3,1021,25337,03325,185
2013-12-16$41.62$40.0034.7%10.3%31.4%36.8%36.0%0.3%1.4%309.6K23.3M-278.6K0.7713.03N/AN/A53440938,24725,167
2013-12-17$41.73$40.0034.4%10.3%31.5%36.0%0.0%0.9%2.1%258.8K23.8M-273.0K0.6120.71N/AN/A59236038,24925,179
2013-12-18$41.89$40.0034.2%10.3%31.7%35.2%35.6%1.0%1.3%435.0K23.0M-269.7K0.5725.01N/AN/A1347638,51125,147
2013-12-19$42.18$40.0034.7%10.4%31.8%36.7%33.9%2.6%1.8%280.9K20.0M-257.9K0.3315.85N/AN/A1,86761337,66824,196
2013-12-20$44.78$40.0031.4%10.2%38.9%26.8%33.7%-0.1%4.2%4.4M-11.7M-280.7K0.9516.87N/AN/A2,9132,75638,82024,348
2013-12-23$44.30$40.0032.1%10.1%38.9%29.0%0.0%-2.0%3.3%915.7K-8.3M-288.1K0.5417.62N/AN/A1,74293929,32321,486
2013-12-24$44.35$40.0031.6%10.1%39.0%27.7%0.0%-0.8%3.5%998.3K-8.0M-277.9K0.3620.18N/AN/A31611429,92720,910
2013-12-26$44.69$40.0032.2%10.1%39.0%29.2%0.0%-2.1%2.8%1.1M-10.9M-278.1K0.2313.59N/AN/A1,82241730,02120,927
2013-12-27$44.76$40.0032.6%10.0%39.0%30.5%0.0%-2.6%1.9%1.1M-10.6M-277.4K3.4123.56N/AN/A6062,06430,17921,153
2013-12-30$44.70$40.0034.2%9.9%39.0%35.1%34.9%-0.1%1.0%974.6K-8.8M-271.5K0.4620.67N/AN/A56025530,32522,666
2013-12-31$45.49$40.0033.0%9.9%39.5%31.6%37.7%0.2%2.6%1.3M-16.0M-273.9K0.7621.58N/AN/A2,5221,91830,72422,810